Nusret Cakici

• Bachelors: Istanbul University
• Masters: Istanbul University
• PhD: Baruch College, CUNY

• Empirical Asset Pricing
• Derivatives
• International

• “A model-Independent Measure of Aggregate Idiosyncratic Risk,” with Turan Bali and Haim Levy. Forthcoming in Journal of Empirical Finance.
• “The Conditional Beta and the Cross-Section of Expected Returns,” with Turan Bali & Yi Tang.  Forthcoming in Financial Management.
• “Idiosyncratic Volatility and the Cross-Section of Expected Returns,” with Turan Bali. Journal of Financial and Quantitative Analysis, March 2008, Vol. 43, No. 1, 29-58.
• “Hedge Fund Mergers,” with Sris Chatterjee.  Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007.
•  “Aggregate Idiosyncratic Risk and Market Returns,” with Turan Bali.  Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006.
•  “Does Idiosyncratic Risk Really Matter?” with Turan Bali, Xuemin (Sterling) Yan and Zhe Zhang. Journal of Finance, April 2005, 60(2), 905-929
•  “Value at Risk and Expected Stock Returns,” with Turan Bali. Financial Analyst Journal, Vol. 60, No. 2,  57-73, March/April 2004.
•  “Value at Risk for Interest Rate-Dependent Securities: A Nonparametric Two-Dimensional Kernel Approach,” with Kevin Foster.  Journal of Fixed Income, Vol. 12, No. 4, 81-95, March 2003.

Nusret Cakici is a Professor of Finance at Fordham University. He previously taught at Arizona State University and the City College and the Graduate Center of CUNY. He was a visiting Professor of Finance at Columbia for the academic year 2005-2006. He also taught at Rutgers University and Odense University (Denmark). He received his Ph.D. from Baruch College in 1989. Professor Cakici has published more than thirty papers in finance journals, including Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Financial Management, Journal of Banking and Finance, Financial Analysts Journal, Journal of Futures Markets, Journal of Financial Engineering, Journal of Computational Finance, Journal of Fixed Income and Risk. His research addresses issues in derivatives, corporate finance, international finance, risk management and investments. Currently, he is conducting research on investment strategies, cross-section of expected returns and value at risk.