Professor Turan G. Bali, McDonough School of Business, Georgetown University
We investigate whether the distributional characteristics of corporate bonds predict the cross-sectional differences in future bond returns. The results indicate a significantly positive (negative) link between volatility (skewness) and expected returns, whereas kurtosis does not make a robust incremental contribution to the predictability of bond returns. These findings remain intact after controlling for transaction costs, liquidity, and bond characteristics. We also propose new risk factors based on the distributional moments of corporate bond returns, and show that the new risk factors represent an important source of common return variation missing from the long-established stock and bond market factors.
Turan G. Bali is the Robert Parker Chair Professor of Finance at Georgetown University. He received his PhD from the Graduate School and University Center of the City University of New York in 1999. Before joining Georgetown University, Professor Bali was the David Krell Chair Professor of Finance at the City University of New York. He also held visiting faculty positions at New York University and Princeton University, reviewed books for several publishers, and served on the review committees of the National Science Foundation, Research Grants Council of Hong Kong, Social Sciences and Humanities Research Council of Canada, and Scientific and Technological Research Council of Turkey.
Professor Bali specialises in asset pricing, risk management, fixed income securities, and financial derivatives. A founding member of the Society for Financial Econometrics, he has worked on consulting projects sponsored by major financial institutions and government organisations in the US and other countries. In addition, he currently serves as an Associate Editor for the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, the Journal of Futures Markets, and the Journal of Portfolio Management.
Professor Bali published three books and more than 70 articles in economics and finance journals. Bali’s work has about 4,500 citations in Google Scholar and appeared in top academic journals, such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Business, and the Review of Economics and Statistics. He also serves as a reviewer for numerous journals in economics, finance, statistics, and operations research.