Faculty and ResearchExpert Guide

Mustafa O. Caglayan

Mustafa O. Caglayan

Knight-Ridder Research Fellowship

Associate Professor
Department of Finance

College of Business
Florida International University

Modesto A. Maidique Campus
11200 S.W. 8th St, RB 229B
Miami, FL 33199

(305) 348-8430
(305) 348-2680
Mustafa.Caglayan@fiu.edu

Curriculum Vitae

Education

  • Ph.D. in Economics
    The City University of New York, New York, New York

Areas of Expertise

  • Asset Pricing
  • Hedge Funds
  • Investments
  • Portfolio Theory, Optimization, and Asset Allocation

Professional Activities

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 EconomicsJournal of Financial and Quantitative Analysis, Journal of Banking and FinanceFinancial ManagementFinancial Review, European Journal of Finance, Pacific-Basin Finance Journal, Journal of Futures MarketsJournal of Portfolio ManagementJournal 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.

Courses Taught

  • Corporate Finance
  • Financial Issues in the Global Environment
  • Financial Management
  • Securities Analysis
  • Seminar in Investments

Refereed Journal Articles

Caglayan M. O., Celiker U., & Lawrence E.

(2021).

Sell-side Analyst Recommendation Revisions and Hedge Fund Trading before and after Regulation Fair Disclosure.

Financial Review

.


Caglayan M. O., Celiker U., & Sonaer G.

(2021).

Industry Herding by Hedge Funds.

European Journal of Finance

.


Caglayan M. O., Hu Y., & Xue W.

(2021).

Mutual Fund Herding and Return Co-movement in Chinese Equities.

Pacific-Basin Finance Journal

.


Caglayan M. O., Xue W., & Zhang L.

(2020).

Global Investigation on the Country-level Idiosyncratic Volatility and Its Determinants.

Journal of Empirical Finance

.


Bali T. G., Brown S. J., Caglayan M. O., & Celiker U.

(2020).

Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows? .

Journal of Financial and Quantitative Analysis

.


Bali T. G., Brown S. J., & Caglayan M. O.

(2019).

Upside Potential of Hedge Funds as a Predictor of Future Performance.

Journal of Banking & Finance

, 98(January 2019)

.


Caglayan M. O., Celiker U., & Sonaer G.

(2018).

Hedge Fund vs. Non-Hedge Fund Institutional Demand and the Book-to-Market Effect.

Journal of Banking & Finance

, 92(July 2018)

.


Bali, T. G., Brown, S. J., & Caglayan, M. O. (2014). Macroeconomic Risk and Hedge Fund Returns. Journal of Financial Economics, 114.


Caglayan, M. O., & Ulutas, S. (2014). Emerging Market Exposures and the Predictability of Hedge Fund Returns. Financial Management, 43.


Caglayan, M. O., & Pinter, J. D. (2013). Development and Calibration of a Currency Trading Strategy Using Global Optimization. Journal of Global Optimization, 56.


Bali, T. G., Brown, S. J., & Caglayan, M. O. (2012). Systematic Risk and the Cross-section of Hedge Fund Returns. Journal of Financial Economics, 106.


Bali, T. G., Brown, S. J., & Caglayan, M. O. (2011). Do Hedge Funds' Exposures to Risk Factors Predict Their Future Returns? Journal of Financial Economics, 101.


Edwards, F. R., & Caglayan, M. O. (2001). Hedge Fund and Commodity Fund Investments in Bull and Bear Markets. Journal of Portfolio Management, 27.


Edwards, F. R., & Caglayan, M. O. (2001). Hedge Fund Performance and Manager Skill. Journal of Futures Markets, 21.


Edwards F. R., & Caglayan M. O.

(2000).

Comments and Discussion.

Brookings-Wharton Papers on Financial Services

.


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