Alexander Philipov

George Mason University - Department of Finance

Associate Professor of FInance

Fairfax, VA 22030

United States

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

SCHOLARLY PAPERS

16

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Top 3,364

in Total Papers Downloads

15,792

SSRN CITATIONS
Rank 3,676

SSRN RANKINGS

Top 3,676

in Total Papers Citations

329

CROSSREF CITATIONS

37

Scholarly Papers (16)

1.
Downloads 1,778 ( 13,659)
Citation 38

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,778 (13,432)
Citation 38

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Momentum, asset-pricing anomalies, credit risk

2.

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
Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,766 (13,823)
Citation 3

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

3.
Downloads 1,749 ( 14,032)
Citation 51

Momentum in Corporate Bond Returns

Number of pages: 63 Posted: 02 Aug 2010 Last Revised: 08 Jan 2013
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 1,493 (17,518)
Citation 9

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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
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 256 (166,923)
Citation 44

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Bond Marke, Price Momentum, Credit Risk

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

Number of pages: 47 Posted: 08 Jan 2016 Last Revised: 11 Jan 2020
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 1,724 (14,106)
Citation 4

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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
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

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Hedge Funds, Mutual Funds, Momentum, Performance

5.
Downloads 1,550 ( 16,727)
Citation 47

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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,526 (16,988)
Citation 2

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 24 (691,437)
Citation 52

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Anomalies and Financial Distress

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

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,436 (18,929)
Citation 37

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credit risk effect, credit rating, asset-pricing anomalies

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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,136 (26,366)
Citation 34

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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

8.
Downloads 985 ( 32,862)
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 985 (32,391)
Citation 23

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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

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

9.

Analyst Bias and Mispricing

7th Miami Behavioral Finance Conference 2016
Number of pages: 49 Posted: 02 Sep 2015 Last Revised: 05 Aug 2018
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 756 (47,304)
Citation 4

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

10.

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 711 (51,312)
Citation 14

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

11.

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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 663 (56,217)
Citation 5

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

12.

Smart Equity Lending, Stock Loan Fees, and Private Information

Number of pages: 54 Posted: 20 May 2017 Last Revised: 12 Jul 2021
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 563 (69,196)

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

13.

The Social Media Risk Premium

Number of pages: 83 Posted: 29 Jan 2020 Last Revised: 09 Mar 2022
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 449 (91,154)

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Social media risk factor, cross-section of stock and bond returns, machine learning, Twitter.

14.
Downloads 275 (155,841)
Citation 5

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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 265 (161,244)
Citation 4

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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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 10 (820,013)
Citation 1

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15.

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
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 251 (170,806)

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

16.

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
Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance

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Debt Investments, Credit Analysis, Portfolio Management, Debt Strategies