Alexander Philipov

George Mason University - Department of Finance

Associate Professor of FInance

Fairfax, VA 22030

United States

http://mason.gmu.edu/~aphilipo

  • George Mason University - Department of Finance

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 4,051

SSRN RANKINGS

Top 4,051

in Total Papers Downloads

18,105

SSRN CITATIONS
Rank 2,782

SSRN RANKINGS

Top 2,782

in Total Papers Citations

626

CROSSREF CITATIONS

39

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

Momentum in Corporate Bond Returns

Downloads 2,090 (14,742)
Citation 107

Momentum in Corporate Bond Returns

Number of pages: 63 Posted: 02 Aug 2010 Last Revised: 08 Jan 2013
Gergana Jostova, Stanislava (Stas) Nikolova, Alexander Philipov and Christof W. Stahel
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 1,784 (18,616)
Citation 19

Abstract:

Loading...

momentum, credit risk, corporate bonds, TRACE, anomalies, market efficiency

Momentum in Corporate Bond Returns

Number of pages: 41 Posted: 04 Jun 2010 Last Revised: 14 Sep 2014
Gergana Jostova, Stanislava (Stas) Nikolova, Alexander Philipov and Christof W. Stahel
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 306 (189,575)
Citation 99

Abstract:

Loading...

Bond Marke, Price Momentum, Credit Risk

2.

Momentum and Credit Rating

Downloads 1,911 (16,988)

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,911 (16,698)
Citation 38

Abstract:

Loading...

momentum, credit risk, credit rating

Momentum and Credit Rating

Journal of Finance, Vol. 62, No. 5, pp. 2503-2520, 2007
Posted: 20 Jan 2007 Last Revised: 26 Feb 2008
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Momentum, asset-pricing anomalies, credit risk

3.

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Downloads 1,882 (17,422)
Citation 4

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Number of pages: 47 Posted: 08 Jan 2016 Last Revised: 11 Jan 2020
Mark Grinblatt, Gergana Jostova, Lubomir Petrasek and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance, Board of Governors of the Federal Reserve System and George Mason University - Department of Finance
Downloads 1,882 (17,116)
Citation 4

Abstract:

Loading...

Hedge funds, mutual funds, momentum, contrarian, anomalies, stock-picking skill

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Management Science, Forthcoming
Posted: 29 Jan 2020
Mark Grinblatt, Gergana Jostova, Lubomir Petrasek and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance, Board of Governors of the Federal Reserve System and George Mason University - Department of Finance

Abstract:

Loading...

Hedge Funds, Mutual Funds, Momentum, Performance

4.

Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals

AFA 2005 Philadelphia Meetings
Number of pages: 27 Posted: 17 Mar 2004
Doron Avramov, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,827 (18,264)
Citation 3

Abstract:

Loading...

Credit spread changes, corporate bonds, structural models of default, default risk

5.

Anomalies and Financial Distress

Downloads 1,703 (20,182)
Citation 90

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,635 (21,325)
Citation 2

Abstract:

Loading...

asset-pricing anomalies, credit risk, financial distress, downgrades

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 68 (646,306)
Citation 52

Abstract:

Loading...

asset-pricing anomalies, credit risk, momentum, dispersion, asset growth, capital investments, accruals, idiosyncratic volatility

Anomalies and Financial Distress

FDIC Working Paper No. 2011-02
Posted: 09 Jan 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

asset-pricing anomalies, market efficiency, credit rating, credit risk

6.

Credit Ratings and the Cross-Section of Stock Returns

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 08 Feb 2009
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,555 (23,412)
Citation 37

Abstract:

Loading...

credit risk effect, credit rating, asset-pricing anomalies

7.

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Downloads 1,210 (33,890)
Citation 55

Dispersion in Analysts' Earnings Forecasts and Credit Rating

AFA 2008 New Orleans Meetings Paper
Number of pages: 39 Posted: 21 Mar 2007 Last Revised: 09 Jan 2008
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,210 (33,345)
Citation 56

Abstract:

Loading...

Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Journal of Financial Economics (JFE), Vol. 91, pp. 83-101, 2009
Posted: 26 Feb 2008 Last Revised: 13 Jan 2020
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

8.

Analyst Bias and Mispricing

Downloads 1,050 (41,502)
Citation 3

Analyst Bias and Mispricing

7th Miami Behavioral Finance Conference 2016
Number of pages: 53 Posted: 02 Sep 2015 Last Revised: 29 Mar 2023
Mark Grinblatt, Gergana Jostova and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,035 (41,718)
Citation 2

Abstract:

Loading...

Analyst bias, credit risk, anomalies, market efficiency, behavioral

Analyst Bias and Mispricing

NBER Working Paper No. w31094
Number of pages: 53 Posted: 03 Apr 2023 Last Revised: 18 Jun 2023
Mark Grinblatt, Gergana Jostova and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 15 (1,070,355)
Citation 1
  • Add to Cart

Abstract:

Loading...

9.

Bayesian Analysis of Stochastic Betas

Downloads 1,017 (43,448)
Citation 23

Bayesian Analysis of Stochastic Betas

AFA 2005 Philadelphia Meetings, Forthcoming
Number of pages: 49 Posted: 26 Apr 2004
Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,017 (42,768)
Citation 23

Abstract:

Loading...

Stochastic beta, time-varying systematic risk, asset-pricing anomalies, hedging

Bayesian Analysis of Stochastic Betas

Journal of Financial and Quantitative Analysis, Vol. 40, No. 4, pp. 747-778, 2005
Posted: 08 Dec 2004
Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Stochastic betas, mean-reverting systematic risk, size effect, book-to-market effect

10.

Bonds, Stocks, and Sources of Mispricing

George Mason University School of Business Research Paper No. 18-5
Number of pages: 78 Posted: 02 Nov 2017 Last Revised: 29 Mar 2019
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 837 (56,858)
Citation 3

Abstract:

Loading...

sentiment, mispricing, anomalies, bonds, stocks, financial distress

11.

Multivariate Stochastic Volatility Via Wishart Random Processes

Number of pages: 57 Posted: 25 Dec 2004
Alexander Philipov and Mark E. Glickman
George Mason University - Department of Finance and Harvard University - Department of Statistics
Downloads 761 (64,635)
Citation 17

Abstract:

Loading...

Bayesian time series, Financial data, Stochastic covariance, Time-varying correlations

12.

Strategic Behavior By Equity Lenders

Number of pages: 61 Posted: 20 May 2017 Last Revised: 27 Nov 2023
Brian J. Henderson, Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 683 (74,342)

Abstract:

Loading...

short sales, lending fees, private information, equity mispricing, market frictions

13.

The Social Media Risk Premium

Downloads 673 (75,716)

The Social Media Risk Premium

Number of pages: 73 Posted: 29 Jan 2020 Last Revised: 16 May 2023
Amin Hosseini, Gergana Jostova, Alexander Philipov and Robert Savickas
George Washington University - Department of Finance, George Washington University - Department of Finance, George Mason University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 611 (84,356)

Abstract:

Loading...

Social media risk factor, cross-section of stocks and bonds, machine learning, Twitter.

The Social Media Risk Premium

Number of pages: 72 Posted: 05 Jun 2024
Amin Hosseini, Gergana Jostova, Alexander Philipov and Robert Savickas
George Washington University - Department of Finance, George Washington University - Department of Finance, George Mason University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 62 (678,834)

Abstract:

Loading...

Social media risk factor, cross-section of stocks and bonds, machine learning, Twitter.

14.

The Distress Anomaly is Deeper than you Think: Evidence from Stocks and Bonds

Number of pages: 68 Posted: 17 Nov 2020 Last Revised: 30 Aug 2021
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 374 (153,875)
Citation 5

Abstract:

Loading...

Financial distress, anomalies, credit risk, distress puzzle, stocks, bonds

15.

The World Price of Credit Risk

Downloads 368 (157,062)
Citation 9

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 320 (181,309)
Citation 8

Abstract:

Loading...

sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency

The World Price of Credit Risk

Number of pages: 48 Posted: 17 Mar 2012
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 48 (765,543)
Citation 1

Abstract:

Loading...

16.

Data Uncertainty in Corporate Bonds

Number of pages: 103 Posted: 29 May 2024
Gergana Jostova, Stanislava (Stas) Nikolova and Alexander Philipov
George Washington University - Department of Finance, University of Nebraska-Lincoln and George Mason University - Department of Finance
Downloads 164 (345,693)

Abstract:

Loading...

Corporate bonds, data uncertainty, TRACE, momentum, replication, Bayesian, asset pricing, anomalies.

17.

Understanding Changes in Corporate Credit Spreads

Financial Analysts Journal, Vol. 63, No. 2, pp. 90-105, 2007
Posted: 18 Apr 2007
Doron Avramov, Gergana Jostova and Alexander Philipov
Reichman University - Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance

Abstract:

Loading...

Debt Investments, Credit Analysis, Portfolio Management, Debt Strategies