Sabancı University Center of Excellence in Finance (CEF) hosted a lecture by Georgetown University Robert Parker Chair Professor of Finance Turan G. Bali.
The guest lecturer in the second event of the series by Sabancı University Center of Excellence in Finance (CEF) established with the founding sponsorship of Akbank was Georgetown University Robert Parker Chair Professor of Finance Turan G. Bali.
Professor Turan G. Bali gave a lecture titled "The pricing of economic uncertainty in the stock and bond markets" on Friday, April 27 at the Sabancı Center Sadıka Ana Hall.
Sabancı University Finance Chair and CEF Founding Chairperson Professor Özgür Demirtaş expressed their pleasure to host a global academic like Prof. Turan G. Bali. Demirtaş continued, "CEF will continue to organize certificate programs and series of seminars on finance in its second year. CEF has already become a leader in finance education in Turkey", and emphasized the importance of having a person as important as Turan G. Bali for the lecture.
Professor Bali: “Macroeconomic variables are good candidates for systemic risk factors”
According to Professor Bali:
- The capital asset pricing model (CAPM) predicts a positive correlation between the expected returns of stocks and market betas.
- In the simple CAPM universe, the only systemic risk factor is the general market portfolio; however, subsequent studies have considered other systemic risk factors.
- Macroeconomic variables are good candidates for systemic risk factors, because unexpected changes in macroeconomic variables may have a global impact on the key variables of companies such as cash flow, risk-adjusted discount rates, and/or investment abilities.
- Literature provides theoretical and empirical proof that the conditional fluctuation of macroeconomic shocks are correlated to real economic activity and share earnings.
The role of macroeconomic factors in the pricing of individual shares and company stocks
Professor Bali stated, "Based on these studies, we analyzed the role of macroeconomic factors in the pricing of individual shares and company stocks. Shares (0.50% per month), investable stocks (0.43% per month) and speculative bonds (0.94% per month) include a statistically-significant macroeconomic uncertainty premium. This result is due to the high performance of shares and stocks with high uncertainty risks."
Professor Turan G. Bali: Founding Member of the "Society for Financial Econometrics"
Turan G. Bali is the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown University. He also held visiting faculty positions at New York University and Princeton University.
Professor Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives.
A founding member of the Society for Financial Econometrics, he worked on consulting projects sponsored by major financial institutions and government organizations in the U.S. and other countries.
He regularly presents his work at central banks, regulatory agencies, investment banks, hedge funds, and academic conferences.
Professor Bali published three books and more than 50 articles in economics and finance journals, and has won several awards, including the Q-Group's Jack Treynor Prize for quantitative research in finance.
He currently serves as an Associate Editor of Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Financial Management, and Journal of Portfolio Management.