Jacob S. Sagi

University of North Carolina Kenan-Flagler Business School

Associate Professor

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

http://public.kenan-flagler.unc.edu/faculty/sagij/

SCHOLARLY PAPERS

15

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CITATIONS
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46

Scholarly Papers (15)

Trading Relative Performance with Alpha Indexes

Number of pages: 38 Posted: 16 Oct 2010 Last Revised: 23 Nov 2012
Jacob S. Sagi and Robert E. Whaley
University of North Carolina Kenan-Flagler Business School and Vanderbilt University - Finance
Downloads 982 (16,780)

Abstract:

Options and Futures on Relative Performance, Trading Correlation, Alpha Indexes

Trading Relative Performance with Alpha Indexes

Financial Analysts Journal, Vol. 67, No. 6, 2011
Posted: 23 Nov 2011
Jacob S. Sagi and Robert E. Whaley
University of North Carolina Kenan-Flagler Business School and Vanderbilt University - Finance

Abstract:

Derivatives: Futures Markets and Instruments, Options Markets and Instruments

2.

When Good News Means Higher Risk. . .

Number of pages: 50 Posted: 03 Oct 2004
Jacob S. Sagi and Mark S. Seasholes
University of North Carolina Kenan-Flagler Business School and Hong Kong University of Science & Technology (HKUST)
Downloads 852 (20,908)

Abstract:

Expected Returns, asset pricing, real options, momentum

3.
Downloads 641 ( 31,622)
Citation 33

A Liquidity-Based Theory of Closed-End Funds

EFA 2006 Zurich Meetings, Sixteenth Annual Utah Winter Finance Conference
Number of pages: 50 Posted: 24 Mar 2005
Martin Cherkes, Richard Stanton and Jacob S. Sagi
NYU, University of California, Berkeley - Finance Group and University of North Carolina Kenan-Flagler Business School
Downloads 641 (31,124)
Citation 33

Abstract:

theory of closed-end funds

A Liquidity-Based Theory of Closed-End Funds

The Review of Financial Studies, Vol. 22, Issue 1, pp. 257-297, 2009
Posted: 03 Jan 2009
Martin Cherkes, Jacob S. Sagi and Richard Stanton
NYU, University of North Carolina Kenan-Flagler Business School and University of California, Berkeley - Finance Group

Abstract:

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4.

Do Fund Managers Make Informed Asset Allocation Decisions?

Number of pages: 48 Posted: 25 Mar 2008 Last Revised: 23 Nov 2012
Bradyn M. Breon-Drish and Jacob S. Sagi
University of California, San Diego (UCSD) - Rady School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 485 (41,349)
Citation 4

Abstract:

market timing, asset allocation, portfolio management, mutual funds

5.

Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 14 May 2012 Last Revised: 13 Dec 2013
University of North Carolina (UNC) at Charlotte, Sacred Heart University and University of North Carolina Kenan-Flagler Business School
Downloads 403 (41,459)

Abstract:

Oil, futures, asset pricing, APT, real options, CAPM, Fama-French factors, Markov chain Monte Carlo

6.

The Interaction Between Quality Control and Production

Number of pages: 32 Posted: 24 Aug 1998
Jacob S. Sagi
University of North Carolina Kenan-Flagler Business School
Downloads 387 (59,003)
Citation 1

Abstract:

7.

Information Content of Public Firm Disclosures and the Sarbanes-Oxley Act

Number of pages: 35 Posted: 05 Apr 2010
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, Carnegie Mellon University - David A. Tepper School of Business, University of North Carolina Kenan-Flagler Business School and Carnegie Mellon University - School of Computer Science
Downloads 233 (94,289)
Citation 3

Abstract:

Disclosure, text analysis, Sarbanes-Oxley Act of 2002, volatility forecast

8.

Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Stock Return Patterns

AFA 2011 Denver Meetings Paper
Number of pages: 54 Posted: 26 Jul 2009 Last Revised: 27 Jan 2013
University of North Carolina Kenan-Flagler Business School, Yale University - Yale School of Management, International Center for Finance and University of Alberta - School of Business
Downloads 212 (113,029)
Citation 2

Abstract:

capital investment, profitability of capital, equity issuance, expected return, overlapping generations model, supply shocks

9.

You Need to Recognize Ambiguity to Avoid it

Vanderbilt Owen Graduate School of Management Research Paper No. 2340543
Number of pages: 38 Posted: 16 Oct 2013 Last Revised: 01 Mar 2016
Soo Hong Chew, Mark Ratchford and Jacob S. Sagi
National University of Singapore, Vanderbilt University - Marketing and University of North Carolina Kenan-Flagler Business School
Downloads 115 (161,740)

Abstract:

Ellsberg Paradox, Uncertainty, Ambiguity, Behavioral

10.

Managed Distribution Policies in Closed-End Funds and Shareholder Activism

Number of pages: 42 Posted: 02 Nov 2012
Martin Cherkes, Jacob S. Sagi and Zhi Jay Wang
NYU, University of North Carolina Kenan-Flagler Business School and University of Oregon - Charles H. Lundquist School of Business
Downloads 93 (197,404)

Abstract:

Managed distribution, closed-end funds

11.

An Inequality Measure for Stochastic Allocations

Number of pages: 37 Posted: 13 May 2011
Soo Hong Chew and Jacob S. Sagi
National University of Singapore and University of North Carolina Kenan-Flagler Business School
Downloads 80 (229,228)
Citation 1

Abstract:

12.

Asset-Level Risk and Return in Real Estate Investments

Number of pages: 77 Posted: 20 Apr 2015 Last Revised: 16 Mar 2017
Jacob S. Sagi
University of North Carolina Kenan-Flagler Business School
Downloads 70 (111,468)

Abstract:

Real estate, illiquid assets, holding period returns, search, idiosyncratic risk, transaction risk.

13.

A Neoclassical Model of Managed Distribution Plans: Theory and Evidence

Number of pages: 53 Posted: 19 Mar 2010 Last Revised: 28 Apr 2015
Martin Cherkes, Jacob S. Sagi and Zhi Jay Wang
NYU, University of North Carolina Kenan-Flagler Business School and University of Oregon - Charles H. Lundquist School of Business
Downloads 58 (298,175)
Citation 2

Abstract:

Closed-end funds, CEFs, managed distribution plans, MDPs

14.

Anchored Preference Relations

Journal of Economic Theory, Forthcoming
Posted: 15 Sep 2005
Jacob S. Sagi
University of North Carolina Kenan-Flagler Business School

Abstract:

Non-expected utility, Reference dependence, Cumulative prospect theory, Decision theory, Utility

15.

Inter-temporal Preference for Flexibility and Risky Choice

Sauder School of Business Working Paper
Posted: 16 Dec 1999
Alan Kraus and Jacob S. Sagi
University of British Columbia (UBC) - Division of Finance and University of North Carolina Kenan-Flagler Business School

Abstract: