
Overview
overview
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Dr. Caglayan is an Associate Professor of Finance and Knight-Ridder Research Fellow at the College of Business in Florida International University. After completing his Ph.D. in Economics with a concentration in Finance from The Graduate Center, City University of New York in 2000, Dr. Caglayan first worked at JPMorgan Chase headquarters in New York as an Associate (2000–2002) and then as a Vice President (2003–2006) in the Foreign Exchange Research group. He developed quantitative currency trading models for the Bank, and presented currency views and trade recommendations to the top clients of JPMorgan Chase. He contributed to the group’s regular daily, weekly, and monthly publications on currencies as well. Later, Dr. Caglayan worked as a Portfolio Manager at Millennium Partners Hedge Fund in New York (2006–2008), where he generated and traded quantitative currency trading models, managing the fund’s $150 million portfolio devoted to currency trading.
Dr. Caglayan returned to academia in 2008, and first taught at Ozyegin University in Istanbul, Turkey as an Assistant and Associate Professor of Finance for nine years, both at the undergraduate and graduate levels. He joined the Department of Finance at Florida International University in August 2017 and since then has taught courses in seven different programs including the Ph.D. Program in Finance, the Doctorate of Business Administration (DBA), the Executive MBA (EMBA), Master of Science in Finance (MSF), International MBA (IMBA), Professional MBA (PMBA), and Undergraduate.
Dr. Caglayan’s research focuses primarily on asset pricing, investments, hedge funds, financial risk management, and portfolio optimization. His publications have appeared in top finance journals, including the Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Financial Management, Financial Review, European Journal of Finance, Pacific-Basin Finance Journal, Journal of Futures Markets, Journal of Portfolio Management, Journal of Global Optimization, and Brookings-Wharton Papers on Financial Services. His work has been presented at various national and international conferences as well, including the American Finance Association (AFA), the Financial Management Association (FMA), and the Eastern Finance Association (EFA).
During his academic career, Dr. Caglayan has also taught executive-level courses on various topics in finance to a broad range of organizations and professionals. Some of these executive level courses include Financial Statement Analysis, Valuation of Financial Instruments, Project Analysis and Evaluation, The Concepts of Risk, Return, Beta, and the Capital Asset Pricing Model (CAPM), and the Performance Evaluation of Hedge Funds.
research interests
- Asset Pricing; Hedge Funds; Investments; Portfolio Theory, Optimization, and Asset Allocation
Scholarly & Creative Works
selected publications
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Article
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2022Disagreement between hedge funds and other institutional investors and the cross-section of expected stock returnsFull Text via DOI: 10.1111/fire.12308 Web of Science: 000807561300001
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2021How do investors trade R&D-intensive Stocks? Evidence from hedge funds and other institutional investorsFull Text via DOI: 10.1016/j.jbankfin.2021.106337 Web of Science: 000718382100001
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2021Decision time and investors' portfolio strategiesFull Text via DOI: 10.1016/j.pacfin.2020.101344
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2021Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?Full Text via DOI: 10.1017/S0022109020000794 Web of Science: 000693071000011
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2021Hindering human capital accumulation: A hidden cost of the silent mafia?Full Text via DOI: 10.1016/j.jebo.2021.05.029
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2021Mutual fund herding and return comovement in Chinese equitiesFull Text via DOI: 10.1016/j.pacfin.2021.101599 Web of Science: 000687316800005
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2021Industry herding by hedge fundsFull Text via DOI: 10.1080/1351847X.2021.1918206 Web of Science: 000649595900001
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2020Asset mispricing in peer-to-peer loan secondary marketsFull Text via DOI: 10.1016/j.jcorpfin.2020.101769
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2020The risk‐taking channel in the United States: A GVAR approachFull Text via DOI: 10.1002/ijfe.2096
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2020The impact of uncertainty on financial institutions: A cross‐country studyFull Text via DOI: 10.1002/ijfe.1983
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2020Global investigation on the country-level idiosyncratic volatility and its determinantsFull Text via DOI: 10.1016/j.jempfin.2019.11.006 Web of Science: 000510316700008
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2019Upside potential of hedge funds as a predictor of future performanceFull Text via DOI: 10.1016/j.jbankfin.2018.11.003 Web of Science: 000454465300014
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2018Hedge fund vs. non-hedge fund institutional demand and the book-to-market effectFull Text via DOI: 10.1016/j.jbankfin.2018.04.021 Web of Science: 000438478500004
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2017Financial Depth and the Asymmetric Impact of Monetary PolicyFull Text via DOI: 10.1111/obes.12160
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2016Capital structure adjustments: Do macroeconomic and business risks matter?Full Text via DOI: 10.1007/s00181-016-1178-1
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2016Inflation volatility effects on the allocation of bank loansFull Text via DOI: 10.1016/j.jfs.2016.04.008
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2015Uncertainty Effects of Inflation on Output: A MRS-IV ApproachFull Text via DOI: 10.15353/rea.v7i1.1483
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2014Macroeconomic risk and hedge fund returnsFull Text via DOI: 10.1016/j.jfineco.2014.06.008 Web of Science: 000342475700001
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2014Emerging Market Exposures and the Predictability of Hedge Fund ReturnsFull Text via DOI: 10.1111/fima.12029 Web of Science: 000339852300006
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2014Allocation effects of uncertainty on resources in JapanFull Text via DOI: 10.1016/j.econlet.2013.10.023
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2013The Effects of Future Capital Investment and R&D Expenditures on Firms' LiquidityFull Text via DOI: 10.1111/roie.12048
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2012Systematic risk and the cross section of hedge fund returnsFull Text via DOI: 10.1016/j.jfineco.2012.05.005 Web of Science: 000308274500006
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2012Inventories, sales uncertainty, and financial strengthFull Text via DOI: 10.1016/j.jbankfin.2012.05.006
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2011Do hedge funds' exposures to risk factors predict their future returns?Full Text via DOI: 10.1016/j.jfineco.2011.02.008 Web of Science: 000291067800003
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2010Parliamentary election cycles and the Turkish banking sectorFull Text via DOI: 10.1016/j.jbankfin.2010.05.013
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2010Does Real Exchange Rate Volatility Affect Sectoral Trade Flows?Full Text via DOI: 10.4284/sej.2010.77.2.313
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2010On the investment sensitivity of debt under uncertaintyFull Text via DOI: 10.1016/j.econlet.2009.09.015
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2009On the sensitivity of firms' investment to cash flow and uncertaintyFull Text via DOI: 10.1093/oep/gpp015
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2008Inflation, price dispersion, and market structureFull Text via DOI: 10.1016/j.euroecorev.2008.01.003
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2008Uncertainty determinants of corporate liquidityFull Text via DOI: 10.1016/j.econmod.2007.11.006
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2004Nonlinear effects of exchange rate volatility on the volume of bilateral exportsFull Text via DOI: 10.1002/jae.725
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2003Nonlinear impact of inflation on relative price variabilityFull Text via DOI: 10.1016/s0165-1765(02)00302-6
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2002Exchange rate effects on the volume and variability of trade flowsFull Text via DOI: 10.1016/s0261-5606(02)00003-7
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2001Hedge fund performance and manager skillFull Text via DOI: 10.1002/fut.2102 Web of Science: 000170954300002
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2001Exchange rate uncertainty and firm profitabilityFull Text via DOI: 10.1016/s0164-0704(01)00178-1
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2001Hedge fund and commodity fund investments in bull and bear marketsFull Text via DOI: 10.3905/jpm.2001.319817 Web of Science: 000170258200011
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2000Uncertainty Resolution and Strategic Trade Policy in Oligopolistic IndustriesFull Text via DOI: 10.1111/1467-9396.00223
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1999Persistence in International Inflation RatesFull Text via DOI: 10.1002/j.2325-8012.1999.tb00207.x
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Conference
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2013Development and calibration of a currency trading strategy using global optimization. 353-371.Full Text via DOI: 10.1007/s10898-012-9879-2 Web of Science: 000320117100011
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Preprint
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2021Hot Potatoes: Underpricing of Stocks following Extreme Negative ReturnsFull Text via DOI: 10.2139/ssrn.3760190
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2020Mutual Fund Herding and Return Comovement in Chinese EquitiesFull Text via DOI: 10.2139/ssrn.3684148
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2017Hedge Fund vs. Non-Hedge Fund Institutional Demand and the Book-to-Market EffectFull Text via DOI: 10.2139/ssrn.2864800
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2014Upside Potential of Hedge Funds as a Predictor of Future PerformanceFull Text via DOI: 10.2139/ssrn.2661752
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2012Emerging Market Exposures and the Predictability of Hedge Fund ReturnsFull Text via DOI: 10.2139/ssrn.2037039
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2011Systematic Risk and the Cross-Section of Hedge Fund ReturnsFull Text via DOI: 10.2139/ssrn.1993284
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2010Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?Full Text via DOI: 10.2139/ssrn.1553911
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2004The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial FirmsFull Text via DOI: 10.2139/ssrn.555952
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2001Hedge Funds and Commodity Fund Investments in Bull and Bear MarketsFull Text via DOI: 10.2139/ssrn.281522
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Review
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2021Sell-side analyst recommendation revisions and hedge fund trading before and after regulation fair disclosure. 563-590.Full Text via DOI: 10.1111/fire.12273 Web of Science: 000656993700001
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Contact
full name
- Mustafa Caglayan
Identifiers
ORCID iD
- https://orcid.org/0000-0002-8598-4269 (confirmed)
visualizations
publication subject areas
Citation index-derived subject areas the researcher has published in