Nusret Cakici

Nusret Cakici is a professor of finance at Fordham University. He previously taught at Arizona State University and at the City College and Graduate Center of the City University of New York. He was a visiting professor of finance at Columbia Business School during the 2005-2006 year and has taught at Rutgers University and at Odense University, Denmark.

Professor Cakici received his Ph.D. from Baruch College in 1989. He has published more than 30 papers in finance journals, including the 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. He is conducting research on investment strategies, cross-section of expected returns and value at risk.

• Ph.D.: Baruch College, CUNY
• Master's: Istanbul University
• Bachelor's: Istanbul University

• Empirical Asset Pricing
• Derivatives
• International

• “Picking Winners in Factorland: A Machine Learning Approach to Predicting Factor Returns,” with Christian Fieberg, Carlos Osorio, Thorsten Poddig, Adam Zaremba. The Journal of Portfolio Management, April 2025, Vol. 51, No. 6, 96 - 121.
• “Lost in the Multiverse: Methodological Uncertainty in Studying Global Equity Returns,” with Christian Fieberg, Gabor Neszveda, Vanja Piljak, Adam Zaremba. SSRN, April 2025, 5181455.
• “The More, the Better? Predicting Stock Returns with Local and Global Data,” with Adam Zaremba. SSRN, April 2025, 5181449.
• “A factor model for the cross-section of country equity risk premia,” with Christian Fieberg, Gerrit Liedtke, Adam Zaremba. Journal of Banking & Finance, December 2024, Vol. 171, 1-21.
• “Factor momentum versus price momentum: Insights from international markets,” with Christian Fieberg, Daniel Metko, Adam Zaremba. Journal of Banking & Finance, November 2024, Vol. 170, 107332.
• “What drives stock returns across countries? Insights from machine learning models,” with Adam Zaremba. International Review of Financial Analysis, September 2024, Volume 96, Part A, 1-27.
• “Machine learning and the cross-section of cryptocurrency returns,” with Syed Jawad Hussain Shahzad, Barbara Będowska-Sójka, Adam Zaremba. International Review of Financial Analysis, March 2024, Vol. 94, 1-28.
• “Do Anomalies Really Predict Market Returns? New Data and New Evidence,” Review of Finance, January 2024, Volume 28, No. 1, 1–44.
• “Pockets of Predictability: A Replication,” with Christian Fieberg, Tobias Neumaier, Thorsten Poddig, Adam Zaremba. Journal of Finance, January 2024, 1-21.
• “Do Anomalies Really Predict Market Returns? New Data and New Evidence,” with Adam Zaremba, Christian Fieberg, and Daniel Metko. Review of Finance, January 2024 Volume 28, Issue 1, Pages 1–44.
• “ESG investing in good and bad times: An international study,” Journal of International Financial Markets, Institutions and Money, December 2023, Vol. 91, 1-20.
• “Predicting Returns with Machine Learning across Horizons, Firm Size, and Time,” with Christian Fieberg, Daniel Metko, Adam Zaremba. The Journal of Financial Data Science, Fall 2023, Vol. 5, No. 4, 119 - 144.
• “Recency bias and the cross-section of international stock returns,” with Adam Zaremba. Journal of Financial Markets, Institutions and Money, February 2023, Vol. 84, 1-29.
• “Interest rate changes and the cross-section of global equity returns,” with Adam Zaremba, Robert J. Bianchi, and Huaigang Long. Journal of Economic Dynamics & Control, February 2023, Vol. 147, 1-32.
• “Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns” with Adam Zaremba. Journal of Banking & Finance, January 2023, Vol. 149, 106760, 1-21.
• “Salience theory and the cross-section of stock returns: International and further evidence,” with Adam Zaremba. Journal of Financial Economics, November 2022, Volume 146, Issue 2, 689-725.
• Responsible Investing: ESG Ratings and the Cross-Section of International Stock Returns,” with Adam Zaremba. The Journal of Impact and ESG Investing, June 2022, Vol. 3, No. 1, 1-39.
• “Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets,” with Christian Fieberg, Daniel Metko, Adam Zaremba. SSRN, June 2022, 4141663.
• “When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns,” with Adam Zaremba, Ender Demir, and Huaigang Long. Journal of Financial Stability, February 2022, Vol. 58, 1-19.
• “False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987),” with Adam Zaremba, Robert J. Bianchi, and Nga Pham. Pacific-Basin Finance Journal, December 2021, Vol. 70, 101675.
• “Liquidity and the Cross-Section of International Stock Returns,” with Adam Zaremba. Journal of Banking & Finance, June 2021, Volume 127, 106123.
• “The Magic Formula: Value, Profitability, and the Cross-Section of Global Stock Returns,” with Douglas W. Blackburn. Journal of Investment Management, June 2021, Vol. 19, No. 2.
• “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?” with Adam Zaremba. Journal of Investing, June 2021, Vol. 30, No. 4, 65 - 86.
• “Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns,” with Adam Zaremba. Journal of International Financial Markets, Institutions & Money, May 2021, Volume 72, 101333, 1-25.
• “What drives the January seasonality in the illiquidity premium? Evidence from international stock markets,” with Adam Zaremba. Journal of Investment Strategies, March 2021, Vol. 10, No. 1, 43-66.
• “Alternative profitability measures and cross-section of expected stock returns: international evidence,” with Sris Chatterjee, Yi Tang and Lin Tong. Review of Quantitative Finance and Accounting, June 2020, Volume 56, 369–391.
• “Tangible and intangible information in emerging markets,” with Douglas W. Blackburn.
• Review of Quantitative Finance and Accounting, May 2020, Volume 54, 1509–1527.
• “Frontier Stock Markets: Local versus Global Factors,” with Douglas W. Blackburn. Journal of Investing, April 2020, Vol. 29, No. 3, 108 - 127.
• "Default Risk and Cross Section of Returns," with Sris Chatterjee and Ren-Raw Chen. Journal of Risk and Financial Management, June 2019, Vol. 12, No.2, 95, 1-15.
• "Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns" with Blackburn, Douglas W., and Nusret Cakici. May 2019. Journal of Risk and Financial Management Vol. 12, No. 2, 1-29.
• "Equity Options During the Shorting Ban of 2008," with Gautam Goswami and Sinan Tan. Journal of Risk and Financial Management, March 2018, Vol. 11, No. 2, 1-31.
• “Overreaction and the Cross-Section of Returns: International Evidence” with Douglas W. Blackburn. Journal of Empirical Finance, January 2017, Vol. 42, 1-14.
• “The Conditional Beta and the Cross-Section of Expected Returns,” with Turan Bali & Yi Tang. Financial Management, March 2009, Volume 38, Issue 1, 1-219.
• “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.
• “A Model-Independent Measure of Aggregate Idiosyncratic Risk,” with Turan Bali and Haim Levy. Journal of Empirical Finance, February 2008, Volume 15, Issue 5, 878-896
• “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.