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K. Ozgur Demirtas

Associate Professor of Finance

Associate Professor of Finance

Ozgur.Demirtas@baruch.cuny.edu
personal-website: http://www.ozgur-demirtas.com

Education:

B.S. Bogazici University Electrical and Electronics Engineering
Ph.D. Boston College Finance

Areas of Expertise:

Empirical Asset Pricing, Time-Series and Cross-Sectional Anomalies, Asset Allocation, Financial Risk Management, Optimal Portfolio Selection, Empirical Corporate Finance, Earnings Management.

Selected Publications:

Bond versus Stock: Investors’ Age and Risk Taking
Journal of Monetary Economics, September 2009, 56(6), 817-830. (with T. Bali, H. Levy and A. Wolf)

Is There an Intertemporal Relation Between Downside Risk and Expected Returns?
Journal of Financial and Quantitative Analysis, 2009, 44 (4), 883-909 (with Turan G. Bali and Haim Levy)

Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns
Journal of Financial and Quantitative Analysis, September 2008, 43(3), 657-684 (with
Turan G. Bali and Hassan Tehranian)

Contrarian Investment, New Share Issues and Repurchases
Review of Finance, forthcoming (with Turan G. Bali and Armen Hovakimian),

Nonlinear Mean Reversion in Stock Prices
Journal of Banking and Finance, May 2008, 32(5), 767-782 (with Turan G. Bali and Haim Levy)

Nonlinear Asymmetric Models of the Short Term Interest Rate
Journal of Futures Markets, 26 (9) 2006.

Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance
Journal of Portfolio Management, Spring 2006, 32(3), 80-92 (with Turan G. Bali, Armen Hovakimian, and John Merrick)

Testing Mean Reversion in Financial Market Volatility: Evidence from S&P 500 Index Futures
Journal of Futures Markets, January 2008, 28(1), 1-33 (with Turan G. Bali)

Small Sample Bias in Panel Data
Finance Letters, forthcoming (with Turan G. Bali)

Can Overreaction Explain Part of The Size Premium
International Journal of Revenue Management, 2008, 2(3) (with A. Burak Guner)

Persistence of Risk Parameters in International Stock Markets
Stock Market Volatility, February 2009 edited by Greg N. Gregoriou, Publisher: Chapman Hall CRC/Taylor and Francis, London, UK. (with Turan Bali)

Risk-Neutral Skewness Matters!
(with Yigit Atilgan and Turan Bali)

Initial Credit Ratings and Earnings Management, working paper (with Aloke Ghosh, Kimberly J. Rodgers)

Academic Activities:

MFA meetings Chicago, Spring 2009

University of Priaeus, Spring 2009

FMA meetings Dallas, Fall 2008

European Finance Association: Is There a Relation Between Downside Risk and Expected Stock Returns?, 2006.

University of Massachusetts Amherst: Contrarian Investment, New Share Issues and Repurchases, 2006.

Penn State University: Contrarian Investment, New Share Issues and Repurchases, 2005.

European Finance Association: Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns, 2004.

Professional Activities:

Reviewer for the Management Science, Journal of Banking and Finance, Review of Quantitative Finance and Accounting, Multinational Finance Journal, Journal of Applied Finance

Editorial Board Member of the International Journal of Revenue Management

Teaching Mentor for New Business School Faculty, 2005-2006

Awards, Honors, etc.:

Recepient of Eugene M. Lang Research Fellowship, 2007

Presidential Excellence Award for Distinguished Teaching, 2006.

Faculty Recognition Award for Scholarly and Creative Achievements, 2009

Faculty Recognition Award for Scholarly and Creative Achievements, 2008

Faculty Recognition Award for Scholarly and Creative Achievements, 2007

Faculty Recognition Award for Scholarly and Creative Achievements, 2006

Zicklin School of Business Teaching Excellence Award, 2004-2005.

Donald J. White Teaching Excellence Award, Boston College, 2002.

PSC-CUNY Research Award Recipient, 2009.

PSC-CUNY Research Award Recipient, 2008.

PSC-CUNY Research Award Recipient, 2007.

PSC-CUNY Research Award Recipient, 2006.

PSC-CUNY Research Award Recipient, 2005.

PSC-CUNY Research Award Recipient, 2004.

Graduate Fellowship, Boston College, 1998-2002.

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