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

20

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7,338

SSRN CITATIONS
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Top 9,691

in Total Papers Citations

43

CROSSREF CITATIONS

86

Scholarly Papers (20)

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 1,042 (29,562)

Abstract:

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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

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Derivatives: Futures Markets and Instruments, Options Markets and Instruments

2.

Asset-Level Risk and Return in Real Estate Investments

Forthcoming in The Review of Financial Studies
Number of pages: 57 Posted: 20 Apr 2015 Last Revised: 02 Oct 2020
Jacob S. Sagi
University of North Carolina Kenan-Flagler Business School
Downloads 887 (37,633)
Citation 18

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

3.

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 Arizona State University (ASU)
Downloads 876 (38,278)
Citation 1

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Expected Returns, asset pricing, real options, momentum

4.
Downloads 735 ( 48,509)
Citation 14

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 - Haas School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 735 (47,865)
Citation 14

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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 - Haas School of Business

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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 675 (54,311)
Citation 11

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

6.

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 598 (63,402)
Citation 1

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market timing, asset allocation, portfolio management, mutual funds

7.
Downloads 586 ( 65,022)
Citation 6

The Asymmetry in Responsible Investing Preferences

Number of pages: 50 Posted: 21 May 2020 Last Revised: 19 Aug 2021
University of Queensland - Business School, Reichman University - Arison School of Business, University of North Carolina Kenan-Flagler Business School and University of Texas at Austin - Department of Finance
Downloads 580 (65,131)
Citation 7

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Social Preferences, Responsible Investment (RI), Social Responsible Investment (SRI)

The Asymmetry in Responsible Investing Preferences

NBER Working Paper No. w29288
Number of pages: 51 Posted: 28 Sep 2021 Last Revised: 18 Nov 2021
University of Queensland - Business School, Reichman University - Arison School of Business, University of North Carolina Kenan-Flagler Business School and University of Texas at Austin - Department of Finance
Downloads 6 (849,889)
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8.

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 413 (99,274)
Citation 1

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9.

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

Number of pages: 35 Posted: 05 Apr 2010
Reichman University - Arison School of Business, 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 334 (125,987)
Citation 15

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

10.

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 250 (169,622)
Citation 1

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

11.

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 Oct 2020
Soo Hong Chew, Mark Ratchford and Jacob S. Sagi
Southwestern University of Finance and Economics, Tulane University - A.B. Freeman School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 236 (179,288)
Citation 5

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Ellsberg Paradox, Uncertainty, Ambiguity, Behavioral

12.

Leverage in Private Equity Real Estate

Kenan Institute of Private Enterprise Research Paper No. 4061210
Number of pages: 36 Posted: 06 Apr 2022
Jacob S. Sagi and Zipei Zhu
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 164 (248,404)

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Real Estate, Private equity, Leverage

13.

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 150 (267,310)
Citation 4

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Managed distribution, closed-end funds

14.

An Inequality Measure for Stochastic Allocations

Number of pages: 37 Posted: 13 May 2011
Soo Hong Chew and Jacob S. Sagi
Southwestern University of Finance and Economics and University of North Carolina Kenan-Flagler Business School
Downloads 109 (338,739)
Citation 1

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15.

Building Energy Retrofit Hurdle Rates and Risk Arbitrage in Energy Efficiency Investments

Kenan Institute of Private Enterprise Research Paper No. 20-07
Number of pages: 26 Posted: 11 Sep 2020
Massachusetts Institute of Technology (MIT), New York University (NYU) - Center for Urban Science and Progress, University of Cambridge - Department of Land Economy, University of Arizona, University of North Carolina Kenan-Flagler Business School and New York University - Center for Urban Science and Progress
Downloads 87 (391,363)

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energy retrofits; building energy performance; retrofit investment; energy efficiency

16.

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 74 (429,755)
Citation 1

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

17.

A Parsimonious Theory of Subjective Probability

Number of pages: 38 Posted: 18 Mar 2021 Last Revised: 07 Jun 2022
Soo Hong Chew, Jacob S. Sagi and Wenqian Wang
Southwestern University of Finance and Economics, University of North Carolina Kenan-Flagler Business School and Hong Kong University of Science and Technology (Guangzhou)
Downloads 66 (456,491)

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Subjective Probability, Finite State Spaces, Exchangeability, Probabilistic Sophistication, State Dependence, Source Preference

18.

Experimental Evidence of Source Preference: Familiarity and Home Bias

Number of pages: 30 Posted: 02 Jul 2021
Soo Hong Chew, King King Li and Jacob S. Sagi
Southwestern University of Finance and Economics, Shenzhen University WeBank Institute of Fintech and University of North Carolina Kenan-Flagler Business School
Downloads 56 (494,118)
Citation 1

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Source Preference, Familiarity Bias, Home Bias, Investment

19.

Anchored Preference Relations

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

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

20.

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

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