PUBLISHED
1- Dark side of the day: Overnight price jumps and short-term return predictability. 2026. Journal of Behavioral and Experimental Finance,(with L. Dam and H. Gonenc) 51, 101220
2- Day and Night Expected Returns Under Overnight Information Shocks: New Tug-of-War Pattern. 2025. Finance Research Letters, 86, 108591
3- High Frequency Correlation Dynamics and Day-of-the-Week Effect: A score-Driven Approach in an Emerging Market Stock Exchange. 2022. International Review of Financial Analysis, (with Cenk C. Karahan), 80, 102008
4- Epps Effect still existent: Differing unconditional correlation behaviors for inter-sector stock pairs. 2020. International Journal of Disciplines Economics & Administrative Sciences Studies, 6(24), 797-805
WORKING PAPERS
1-Market Ambiguity and Mispricing in S&P500 Futures Contracts
(with Cenk C. Karahan)
Abstract
The present study provides empirical evidence on the effect of multiple priors on futures mispricing, a setting in which traditional mean-variance optimization and the Bayesian framework offer limited explanatory power. We show that the magnitude and direction of mispricing in S&P 500 E-Mini futures contracts are associated with the prevailing degree of market ambiguity, even after controlling for other relevant factors. Our analysis further demonstrates that different levels of uncertainty have distinct implications for both the direction and magnitude of futures mispricing in the U.S. market. A more detailed investigation reveals an asymmetric relationship between ambiguity and mispricing across periods of market euphoria and market distress. Specifically, ambiguity negatively predicts mispricing during the early phases of E-Mini futures trading, whereas this relationship reverses and becomes increasingly positive around the Global Financial Crisis. The existing literature on ambiguity and its market implications relies predominantly on experimental evidence. By employing real market data, this study contributes to the relatively limited empirical literature on ambiguity and asset pricing.
ONGOING
1‑ Solving Idiosyncratic Volatility Puzzle: Discrete vs Continuous Information Flows
2- Discontinuity-induced Circuit Breaker and Price Efficiency in Stock Markets