Document Actions
Yigit Atilgan
Finance
(o) 646-312-3527
(f) 646-312-3351
Yigit.Atilgan@baruch.cuny.edu
Education
- Baruch College, CUNY, Ph.D. Finance, 2005 – May 2010 (expected).
- Simon School of Business, University of Rochester, M.S. Finance, 2003 – 2005.
- Bogazici University, B.A. Management, 1999 – 2003.
Research Interest
Investments, Options, International Finance, Corporate Finance
Working Papers
- Risk-Neutral Skewness Matters!, 2009, with Turan G. Bali and K. Ozgur Demirtas, 2009.
Abstract: This paper investigates the intertemporal relation between conditional skewness and expected returns on the aggregate stock market. The results provide evidence for a significantly negative link between expected future returns and the risk-neutral skewness measured by the spread between out-of-the-money put and at-the-money call options’ implied volatilities of the S&P 500 index. The intertemporal relation is robust across different market portfolios and different measures of risk-neutral skewness, and it remains strongly negative after controlling for (i) various measures of conditional volatility, (ii) a large set of macroeconomic variables, (iii) non-synchronicity between the options and stock markets, (iv) small sample biases, and (v) distributional assumptions. The results also indicate that it is not just the average skewness preference, but also the time-varying skewness preference that is an important determinant of future market returns.
- “Deviations from Put-Call Parity and Earnings Announcement Returns”, 2009.
Abstract: This paper investigates whether deviations from put-call parity can predict earnings announcement returns. These deviations are measured by the implied volatility spread between pairs of matched put and call options. During a two-day earnings announcement window, the abnormal returns to a portfolio that buys stocks with relatively expensive call options (both a low level and a large decrease of volatility spreads) is about 2 percent greater than the abnormal returns to a portfolio that buys stocks with relatively expensive put options (both a high level and a large increase of volatility spreads). This result is robust after (i) measuring deviations from put-call parity in alternative ways, (ii) using value-weighted portfolio returns, and (iii) controlling for contemporaneous and lagged risk factors and lagged stock returns. The degree of announcement return predictability is stronger when (i) deviations from put-call parity are measured using more liquid options, (ii) information environment is more asymmetric, and (iii) stock liquidity is low.
- “U.S. Cross-Listing, Rating Conservatism and the Cost of Debt”, 2008, with Aloke Ghosh, Paquita Davis Friday and Jieying Zhang.
Best Paper Award, International Accounting Section of American Accounting Association Midyear Conference
Accepted for presentation at the 2008 American Accounting Association annual meeting
Accepted for presentation at the 2008 Columbia Accounting Symposium
Awards and Prizes
- Best Paper Award, International Accounting Section of American Accounting Association Midyear Conference, February 2008
- Graduate Teaching Fellowship, The Graduate Center, CUNY, Fall 2006 – Present
- Research Assistantship, Baruch College, Fall 2005 to Spring 2008
- Robert L. and Mary L. Sproull Fellowship, University of Rochester, 2003 – 2005
Teaching Experiences
Baruch College, City University of New York Instructor (Full Responsibilities)
- “Corporate Finance (FIN 3610)”, undergraduate course. Fall 2008, Spring 2009, Fall 2009
- “Principles of Finance (FIN 3000)”, undergraduate course. Fall 2007, Spring 2008, Summer 2008
University of Rochester Recitation Instructor
- “Managerial Economics”, MBA course. Spring 2005
- “Capital Budgeting and Corporate Objectives”, MBA course. Fall 2004
Organizations
- International Honor Society Beta Gamma Sigma