Simon Benninga

Tel Aviv University - Faculty of Management

Professor

P.O. Box 39010

Ramat Aviv, Tel Aviv, 69978

Israel

SCHOLARLY PAPERS

21

DOWNLOADS
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6,955

CITATIONS
Rank 13,176

SSRN RANKINGS

Top 13,176

in Total Papers Citations

56

Scholarly Papers (21)

1.

Estimating the Covariance Matrix for Portfolio Optimization

Number of pages: 52 Posted: 02 Jan 2006
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 1,678 (9,596)
Citation 3

Abstract:

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portfolio optimization, covariance matrix, short sales

2.
Downloads 1,146 ( 17,545)
Citation 5

The Timing of Initial Public Offerings

EFA 2001 Barcelona Meetings
Number of pages: 31 Posted: 09 Jan 2001
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 1,146 (17,207)
Citation 5

Abstract:

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IPO, diversification, buyout

The Timing of Initial Public Offerings

Journal of Financial Economics, Forthcoming
Posted: 09 Aug 2003
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship

Abstract:

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IPO, diversification, buyout

The Timing of Initial Public Offerings

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 17 Nov 2009
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and affiliation not provided to SSRN

Abstract:

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Experimental/primary research, Initial public offerings (IPO), Private offerings, Public offerings, Cash flow

On the Use of Numeraires in Option Pricing

Number of pages: 25 Posted: 20 Jan 2002
Tomas Bjork, Simon Benninga and Zvi Wiener
Stockholm School of Economics - Swedish House of Finance, Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 850 (26,724)
Citation 3

Abstract:

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Options, Numeraire, Convertible Bonds, Employee Stock Options, Currency Options

On the Use of Numeraires in Option Pricing

Journal of Derivatives, December 2002
Posted: 20 Jan 2003
Simon Benninga, Tomas Bjork and Zvi Wiener
Tel Aviv University - Faculty of Management, Stockholm School of Economics - Swedish House of Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

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options, numeraire

4.

Risk and Return in the Presence of Differential Taxation: Integrating the CAPM and Capital Structure Theory

Number of pages: 37 Posted: 21 Feb 1998
Oded Sarig and Simon Benninga
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and Tel Aviv University - Faculty of Management
Downloads 758 (31,866)
Citation 2

Abstract:

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5.

The Uncertainty Premium in an Ambiguous Economy

Number of pages: 44 Posted: 12 Dec 2006 Last Revised: 28 May 2012
Yehuda (Yud) Izhakian and Simon Benninga
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Tel Aviv University - Faculty of Management
Downloads 602 (43,449)
Citation 7

Abstract:

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Ambiguity, risk aversion, ambiguity aversion, uncertainty, utility

6.

Heterogeneity and Option Pricing

Number of pages: 39 Posted: 13 May 1997
Joram Mayshar and Simon Benninga
Hebrew University of Jerusalem - Department of Economics and Tel Aviv University - Faculty of Management
Downloads 487 (56,922)
Citation 36

Abstract:

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7.

Hedging with Forwards and Puts in Complete and Incomplete Markets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 17 Mar 2002
Casper Oosterhof and Simon Benninga
affiliation not provided to SSRN and Tel Aviv University - Faculty of Management
Downloads 427 (66,890)

Abstract:

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Hedging; Put options; Forward contracts; Unbiasedness

8.

Expected Bond Returns and the Credit Risk Premium

Number of pages: 26 Posted: 02 Jan 2014 Last Revised: 19 Jul 2014
Zvika Afik and Simon Benninga
Ben Gurion University and Tel Aviv University - Faculty of Management
Downloads 254 (119,607)

Abstract:

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expected bond returns, corporate bonds, credit risk premium, yield to maturity

9.

A Model of Implied Expected Bond Returns

Number of pages: 38 Posted: 04 Mar 2010 Last Revised: 13 Jan 2013
Zvika Afik and Simon Benninga
Ben Gurion University and Tel Aviv University - Faculty of Management
Downloads 199 (151,687)

Abstract:

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Expected Returns, Corporate Bonds, Credit Risk

The Two-Block Covariance Matrix and the CAPM

Number of pages: 19 Posted: 22 Nov 2011 Last Revised: 31 Jan 2012
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 149 (195,933)

Abstract:

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portfolio optimization, block covariance matrix, CAPM

The Two-Block Covariance Matrix and the CAPM

International Journal of Portfolio Analysis & Management, Forthcoming
Posted: 01 Feb 2012
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management

Abstract:

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portfolio optimization, block covariance matrix, tangency portfolio, market portfolio, CAPM

11.

The Cost of Equity for Private Firms

Number of pages: 37 Posted: 26 May 2015 Last Revised: 30 Nov 2015
Menachem (Meni) Abudy, Simon Benninga and Efrat Shust
Bar-Ilan University - Graduate School of Business Administration, Tel Aviv University - Faculty of Management and The Department of Management and Economics, The Open University of Israel
Downloads 143 (202,153)

Abstract:

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Non-marketability, non-diversification, cost of capital, private firm valuation

12.

Valuing Restricted Stock Grants to Non-Executive Employees

Number of pages: 46 Posted: 29 Oct 2014 Last Revised: 26 Feb 2016
Menachem (Meni) Abudy and Simon Benninga
Bar-Ilan University - Graduate School of Business Administration and Tel Aviv University - Faculty of Management
Downloads 92 (278,387)

Abstract:

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Marketability, discount, restricted stocks compensation

13.

Options in Markets with Tax-Induced Incompleteness

Number of pages: 31 Posted: 21 Feb 2002
Naomi Belfer and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 89 (284,284)

Abstract:

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taxation, incomplete markets, asset pricing

14.

Non-marketability and the Value of Employee Stock Options

Forthcoming in the Journal of Banking and Finance
Number of pages: 33 Posted: 21 Nov 2011 Last Revised: 06 Oct 2013
Menachem (Meni) Abudy and Simon Benninga
Bar-Ilan University - Graduate School of Business Administration and Tel Aviv University - Faculty of Management
Downloads 81 (301,330)

Abstract:

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employee stock options, under pricing

15.

Shrinking the Covariance Matrix

Journal of Portfolio Management, Vol. 33, No. 4, 2007
Posted: 04 Mar 2011
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management

Abstract:

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16.

Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems

Posted: 02 Apr 2001
Simon Benninga
Tel Aviv University - Faculty of Management

Abstract:

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17.

Implementing Numerical Option Pricing Models

Posted: 21 Oct 2000
Simon Benninga, Raz Steinmetz and John Stroughair
Tel Aviv University - Faculty of Management, University of Pennsylvania - The Wharton School and Oliver, Wyman & Company, LLC.

Abstract:

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18.

Forward and Future Prices with Markovian Interest-Rate Processes

Journal of Business, Vol. 67, No 3, July 1994
Posted: 27 Oct 1999
Aris Protopapadakis and Simon Benninga
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Tel Aviv University - Faculty of Management

Abstract:

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19.

Limiting Differences between Forward and Futures Prices in a Lucas Consumption Model

Rodney L. White Center Working Paper No. 17-94
Posted: 03 Sep 1999
Zvi Wiener, Simon Benninga and Aris Protopapadakis
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Tel Aviv University - Faculty of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Abstract:

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20.

An Investigation of Cheapest to Deliver on Treasury Bond Futures Contracts

Posted: 21 Jun 1998
Zvi Wiener and Simon Benninga
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Tel Aviv University - Faculty of Management

Abstract:

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21.

Dynamic Wealth Redistribution, Trade, and Asset Pricing

Posted: 14 May 1998
Simon Benninga and Joram Mayshar
Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Department of Economics

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