![](https://preprod.neoma-bs.fr/sites/default/files/uploaded_images/profs-neoma_0.png)# ARISOY Y. Eser { "@context": "https://schema.org", "@type": "BreadcrumbList", "itemListElement": [ { "@type": "ListItem", "position": 1, "name": "Accueil", "item": "https://preprod.neoma-bs.fr/" }, { "@type": "ListItem", "position": 2, "name": "ARISOY\u0020Y.\u0020Eser", "item": "https://preprod.neoma-bs.fr/node/8567.md" } ] } - [Accueil](https://preprod.neoma-bs.fr/) - ARISOY Y. Eser ![](/sites/default/files/styles/large/public/uploaded_images/photos_academ/28646-arisoy-y-eser.jpg?itok=3w5ZL1Iu)ARISOY Y. Eser Professeur - À propos - Publications académiques [Finance](https://preprod.neoma-bs.fr/departements/finance) Habilitation à Diriger des Recherches, Sciences de Gestion Y. Eser ARISOY est Professeur en Finance à NEOMA Business School. Ses recherches se situent autour de trois axes: i) l’évaluation des actifs, ii) la performance et la prise de risques des fonds spéculatifs, et iii) si et comment les biais comportementaux ont l’effet sur les investissements et sur les prix des actions. Ses travaux ont été publiés dans plusieurs revues internationales telles que Journal of Financial Economics, Management Science, et Journal of Banking and Finance. Son travail sur la relation entre la volatilité de volatilité et la performance des fonds spéculatifs a été choisi demi-finaliste dans le catégorie "Investissements" à FMA 2015 Conférence et a reçu le prestigieux "2016 Crowell Third Prize" qui est attribué chaque année à la recherche de haute qualité qui connecte la théorie avec la pratique d'investissement quantitative. Il est membre de Comité de Ethique de la Recherche et co-ordinateur scientifique de thématique "La complexité des problèmes, des solutions et des décisions" dans la domaine d’excellence "L’avantage de complexité" à NEOMA. ### Domaines de recherche - Evaluation des actifs - Fonds spéculatifs - Finance comportementale - Investissements ## Récentes contributions académiques ARISOY, Y. E., T. G. BALI, Y. TANG, "Investor Regret and Stock Returns", *Management Science*, Novembre 2024, vol. 70, no. 11, pp. 7345-8215 DOI : [ 10.1287/mnsc.2022.03389 ](https://dx.doi.org/10.1287/mnsc.2022.03389) ARETZ, K., Y. E. ARISOY, "The Pricing of Skewness Over Different Return Horizons", *Journal of Banking and Finance*, Mars 2023, vol. 148 DOI : [ 10.1016/j.jbankfin.2022.106713 ](https://dx.doi.org/10.1016/j.jbankfin.2022.106713) ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Yasar University, Department of International Finance and Trade*. 2022, Online Invited Seminar, Turquie ## Publications ARISOY, Y. E., T. G. BALI, Y. TANG, "Investor Regret and Stock Returns", *Management Science*, Novembre 2024, vol. 70, no. 11, pp. 7345-8215 DOI : [ 10.1287/mnsc.2022.03389 ](https://dx.doi.org/10.1287/mnsc.2022.03389) ARETZ, K., Y. E. ARISOY, "The Pricing of Skewness Over Different Return Horizons", *Journal of Banking and Finance*, Mars 2023, vol. 148 DOI : [ 10.1016/j.jbankfin.2022.106713 ](https://dx.doi.org/10.1016/j.jbankfin.2022.106713) ABOURA , S., E.ARISOY, "Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?", *Journal of Business Finance and Accounting*, Août 2019, vol. 46, pp. 1263–1298 DOI : [ 10.1111/jbfa.12403 ](https://dx.doi.org/10.1111/jbfa.12403) ARISOY, E., V.AGARWAL, N. Y.NAIK, "Volatility of aggregate volatility and hedge fund returns", *Journal of Financial Economics*, Septembre 2017, vol. 125, no. 3, pp. 491-510 DOI : [ 10.1016/j.jfineco.2017.06.015 ](https://dx.doi.org/10.1016/j.jfineco.2017.06.015) ABOURA, S., E.ARISOY, "Does aggregate uncertainty explain size and value anomalies?", *Applied Economics*, Janvier 2017, vol. 49, no. 32, pp. 3214-3230 DOI : [ 10.1080/00036846.2016.1257107 ](https://dx.doi.org/10.1080/00036846.2016.1257107) FU, X., E.ARISOY, M.UMUTLU, M. B.SHACKLETON, "Option-Implied Volatility Measures and Stock Return Predictability", *The Journal of Derivatives*, Septembre 2016, vol. 24, no. 1, pp. 58-78 DOI : [ 10.3905/jod.2016.24.1.058 ](https://dx.doi.org/10.3905/jod.2016.24.1.058) ARISOY, E., A.ALTAY-SALIH, L.AKDENIZB, "Aggregate volatility expectations and threshold CAPM", *The North American Journal of Economics and Finance*, Novembre 2015, vol. 34, pp. 231-253 DOI : [ 10.1016/j.najef.2015.09.013 ](https://dx.doi.org/10.1016/j.najef.2015.09.013) ARISOY, E., A.ALTAY-SALIH, M. C.PINAR, "Optimal multi-period consumption and investment with short-sale constraints", *Finance Research Letters*, Mars 2014, vol. 11, no. 1, pp. 16-24 DOI : [ 10.1016/j.frl.2013.05.007 ](https://dx.doi.org/10.1016/j.frl.2013.05.007) ARISOY, E., "Aggregate Volatility and Market Jump Risk: A Risk-Based Explanation to Size and Value Premia", *Journal of Futures Markets*, Février 2014, vol. 34, no. 1, pp. 34-55 DOI : [ 10.2139/ssrn.1343626 ](https://dx.doi.org/10.2139/ssrn.1343626) ARISOY, E., "Volatility risk and the value premium: Evidence from the French stock market", *Journal of Banking and Finance*, Mai 2010, vol. 34, no. 5, pp. 975-983 DOI : [ 10.1016/j.jbankfin.2009.10.012 ](https://dx.doi.org/10.1016/j.jbankfin.2009.10.012) ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Is volatility risk priced in the securities market? Evidence from S&P 500 index options", *Journal of Futures Markets*, Juillet 2007, vol. 27, no. 7, pp. 617-642 DOI : [ 10.1002/fut.20242 ](https://dx.doi.org/10.1002/fut.20242) ## Conferences ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", *10th Miami Behavioral Finance Conference*, 2019, Miami, Florida, États-Unis ARISOY, Y. E., T. G.BALI, Y.TANG , "Anticipated Regret and Equity Returns", *17th Paris December Finance Meeting*, 2019, Paris, France ARISOY, E., T. G.BALI, "Regret in Financial Decision Making under Volatility Uncertainty and the Cross-Section of Expected Stock Returns" dans *11th Annual Meeting of the Academy of Behavioral Finance & Economics*, 2018 ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *8th FEBS Conference*, 2018 ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *5th Turkish Finance Workshop*, 2018 ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *Research in Behavioral Finance Conference*, 2018 ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *Academy of Behavioral Finance Annual Meeting*, 2018, Chicago, États-Unis ARISOY, E., "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *Manchester Business School*, 2018, Manchester, Royaume-Uni ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *Global Finance Conference*, 2017 ARISOY, E., "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *World Finance Conference*, 2017 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *FMA European Conference*, 2017 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *EFMA Basel Meeting*, 2016 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *FMA Las Vegas Meeting*, 2016 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *8th French Econometrics Conference*, 2016 AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" dans *AFA San Fransisco Meeting*, 2016 ARISOY, E., "Volatility of Aggregate Volatility and Hedge Fund Returns" dans *7th Annual Hedge Fund Research Conference*, 2015 AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" dans *5th FEBS Conference*, 2015 ARETZ, K., E.ARISOY, "Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?" dans *Paris Financial Management Conference*, 2014 ## Contributions dans une conférence ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" dans *Research in Behavioral Finance Conference*, 2022, Amsterdam, Pays-Bas ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" dans *Southern Finance Association Annual Meeting*, 2022, Key West, Florida, États-Unis ARISOY, Y. E., T. TRINH, V. AGARWAL, "Eponymous Hedge Funds" dans *7th Inter-Business School Finance Seminar*, 2022, Nice, France ARISOY, Y. E., T. TRINH, V. AGARWAL, "Eponymous Hedge Funds" dans *13th Annual Hedge Fund Research Conference*, 2022, Paris, France co-auteurs présentés ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" dans *Academic Research Colloquium*, 2021, Online Conference, États-Unis ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" dans *Financial Management Association Annual Meeting*, 2021, Online Conference, États-Unis co-auteurs présentés ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" dans *FMA San Diego Meeting*, 2018, San Diego, États-Unis ## Séminaires de recherche ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Yasar University, Department of International Finance and Trade*. 2022, Online Invited Seminar, Turquie ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *IIM Bangalore*. 2021, Online Seminar, Inde ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *Shanghai Advanced Institute of Finance*. 2021, Online Seminar, Chine ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *University Carlos 3*. 2021, Online Seminar, Espagne ARISOY, Y. E., V. AGARWAL, T. TRINH, "Eponymous Hedge Funds" *University of Hawai*. 2021, Online Seminar, États-Unis AGARWAL, V., Y. E.ARISOY, T.TRINH, "Eponymous Hedge Funds" *Virtual Asset Management Seminar Series*. 2020, États-Unis AGARWAL, V., Y. E.ARISOY, T.TRINH, "Eponymous Hedge Funds" *Internal Seminar Talk NEOMA Business School Department of Finance*. 2020, Reims, France ARETZ, K., E.ARISOY, "Do Stock Markets Really Care About Skewness?" *Internal Seminar Talk NEOMA Business School Department of Finance*. 2019, Reims, France ARISOY, E., T.BALI , Y.TANG , "Anticipated Regret and Equity Returns" *Inter-Business School Finance Seminar NEOMA Business School*. 2019, Reims, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *ESCP Europe*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *EDHEC Business School*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *NEOMA Business School*. 2018, Paris, France ARISOY, E., T. G.BALI, "Anticipated Regret in Financial Decision Making under Volatility Uncertainty" *AFFI Paris Meeting*. 2018, Paris, France ARISOY, E., T. G.BALI, "Volatility of Aggregate Volatility and Hedge Fund Returns" *PanAgora Asset Management*. 2016, Boston, États-Unis AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" *Dauphine-Amundi Asset Management Workshop*. 2015, Paris, France AGARWAL, V., E.ARISOY, N. Y.NAIK, "Volatility of Aggregate Volatility and Hedge Fund Returns" *HEC Paris*. 2015, Paris, France ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Aggregate Volatility Expectations and Threshold CAPM" *Skema Business School*. 2014, Lille, France ARISOY, E., A.ALTAY-SALIH, L.AKDENIZ, "Aggregate Volatility Expectations and Threshold CAPM" *Université Picardie Jules Verne*. 2013, Amiens, France