About

Adem Atmaz is an Associate Professor of Finance at the Mitch Daniels School of Business, Purdue University. His academic work focuses on financial markets, particularly exploring topics such as stock market dynamics, option pricing, and asset pricing under various market frictions. His research contributions include the study of costly short-selling and lending in dynamic equilibrium models, the behavior of stock market momentum and reversal influenced by investor types such as contrarians and extrapolators, and the pricing of no-dividend stocks. He has also investigated the implications of belief dispersion among investors and its effects on stock market outcomes. Adem Atmaz's work is published in leading finance journals including the Review of Financial Studies, Journal of Finance, Journal of Financial Economics, and Management Science. His research often involves collaboration with other scholars and addresses complex issues in financial economics, such as volatility disagreement, sentiment spillover, and the role of option prices in understanding variance risk premiums.

Research topics

• Financial economics
• Economics
• Monetary economics
• Business
• Mathematics
• Econometrics

Selected publications

• Internet Appendix for "Volatility Disagreement and Asset Prices"

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access1st authorCorresponding
  PublisherDOI

• Index Investing and Sentiment Spillover

  SSRN Electronic Journal · 2024-01-01 · 1 citations

  preprintOpen access1st authorCorresponding
  PublisherDOI

• Atmaz, Basak, and Ruan, 2023, MATLAB code to replicate the Figures in "“Dynamic Equilibrium with Costly Short-Selling and Lending Market”

  Harvard Dataverse · 2023-06-21

  datasetOpen access1st authorCorresponding

  This zipped folder contains the MATLAB files to replicate the Figures in the paper "“Dynamic Equilibrium with Costly Short-Selling and Lending Market” by Atmaz, Basak, and Ruan Adem Atmaz.

  PublisherDOI

• Contrarians, Extrapolators, and Stock Market Momentum and Reversal

  Management Science · 2023-10-19 · 15 citations

  article1st authorCorresponding

  We document considerable cross-investor variation in survey expectations about aggregate stock market returns. Although most investors are extrapolators who expect higher returns after a good market performance, some are contrarians who expect lower returns after a good performance. More notably, compared with extrapolators, contrarians have less persistent expectations that are corrected more quickly. We then develop a dynamic equilibrium model accounting for these differences in expectations and find that the equilibrium stock price exhibits short-term momentum and long-term reversal as in the data. Furthermore, we test the key predictions of our model linking the observable differences in extrapolators’ and contrarians’ expectations to aggregate stock market momentum and future stock performance and find supportive evidence for our model mechanism. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4960 .

  PublisherDOI

• Dynamic Equilibrium with Costly Short-Selling and Lending Market

  Review of Financial Studies · 2023 · 27 citations

  1st authorCorresponding
  • Monetary economics
  • Economics
  • Financial economics

  Abstract We develop a dynamic model of costly stock short-selling and lending market and obtain implications that simultaneously support many empirical regularities related to short-selling. In our model, investors’ belief disagreement leads to shorting demand, whereby short-sellers pay shorting fees to borrow stocks from lenders. Our main novel results are as follows. Short interest is positively related to shorting fee and predicts stock returns negatively. Higher short-selling risk can be associated with lower stock returns and less short-selling activity. Stock volatility is increased under costly short-selling. An application to GameStop episode yields implications consistent with observed patterns.

  PublisherOA PDFDOI

• Volatility Disagreement and Equilibrium Volatility Trading

  SSRN Electronic Journal · 2023-01-01

  articleOpen access1st authorCorresponding
  PublisherDOI

• Stock Return Extrapolation, Option Prices, and Variance Risk Premium

  Review of Financial Studies · 2021 · 29 citations

  1st authorCorresponding
  • Economics
  • Econometrics
  • Financial economics

  Abstract This paper presents a tractable dynamic equilibrium model of stock return extrapolation in the presence of stochastic volatility. In the model, consistent with survey evidence, investors expect future returns to be higher (lower) but also less (more) volatile following positive (negative) stock returns. The biased volatility expectation introduces a new channel through which past returns and investor sentiment affect derivative prices. In particular, through this novel channel, the model reconciles the otherwise puzzling evidence of past returns affecting option prices and the evidence of variance risk premium predicting future stock market returns even after controlling for the realized variance.

  PublisherDOI

• Stock Market and No‐Dividend Stocks

  The Journal of Finance · 2021-12-04

  preprintOpen access1st authorCorresponding

  ABSTRACT We develop a stationary model of the aggregate stock market featuring both dividend‐paying and no‐dividend stocks within a familiar, parsimonious consumption‐based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption‐based asset pricing models have difficulty reconciling. Namely, the presence of no‐dividend stocks in the stock market leads to a lower correlation between stock market returns and the aggregate consumption growth rate, a nonmonotonic and even negative relation between the stock market risk premium and its volatility, and a downward‐sloping term structure of equity risk premia.

  PublisherOA PDFDOI

• MATLAB replication files for "Stock Return Extrapolation, Option Prices, and Variance Risk Premium"

  Harvard Dataverse · 2021-04-27

  datasetOpen access1st authorCorresponding

  These files contain the MATLAB code to replicate the calibration and generate the tables in the paper "Stock Return Extrapolation, Option Prices, and Variance Risk Premium" by Adem Atmaz.

  PublisherDOI

• Different Extrapolators and Stock Market Momentum and Reversal

  SSRN Electronic Journal · 2020-01-01 · 2 citations

  articleOpen access1st authorCorresponding
  PublisherOA PDFDOI

Frequent coauthors

• Suleyman Basak

  London Business School

  65 shared

• Fangcheng Ruan

  Purdue University West Lafayette

  4 shared

• Huseyin Gulen

  2 shared

• Stefano Cassella

  2 shared

• Andrea M Buffa

  University of Colorado Boulder

  1 shared

• Zibo Zhou

  1 shared

Education

• Ph.D., Finance

  Purdue University