Haim Kassa

Miami University

Assistant Professor

800 E. Main St

The Farmer School of Business

Oxford, OH 45056

United States

http://fsb.miamioh.edu/kassah

SCHOLARLY PAPERS

11

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1,539

SSRN CITATIONS
Rank 31,787

SSRN RANKINGS

Top 31,787

in Total Papers Citations

20

CROSSREF CITATIONS

7

Scholarly Papers (11)

1.

On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 18 Aug 2010 Last Revised: 03 Jun 2014
Hui Guo, Haim Kassa and Michael F. Ferguson
University of Cincinnati - Department of Finance - Real Estate, Miami University and University of Cincinnati - Department of Finance - Real Estate
Downloads 660 (50,164)
Citation 14

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EGARCH, idiosyncratic volatility, cross-section of stock returns

2.

Lottery Preferences and the Idiosyncratic Volatility Puzzle

Number of pages: 59 Posted: 07 Feb 2014 Last Revised: 28 Jan 2018
University of Denver - Reiman School of Finance, Miami University and University of Cincinnati - Department of Finance - Real Estate
Downloads 156 (236,470)
Citation 3

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idiosyncratic volatility, skewness, lottery preferences, economic conditions.

3.

Hazard Stocks and Expected Returns

Journal of Banking and Finance, Vol. 121, 2021
Number of pages: 69 Posted: 09 Jul 2020 Last Revised: 19 Mar 2021
Utah State University, University of Cincinnati - Department of Finance - Real Estate, Miami University and West Virginia University, Department of Finance
Downloads 151 (242,833)

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hazard stocks, anomaly, lottery stocks, MAX, underreaction, equity returns, tail risk, information uncertainty, limits to arbitrage, asymmetric arbitrage

4.

What Information Matters to Investors at Different Stages of a Firm's Life Cycle?

Number of pages: 39 Posted: 07 Aug 2018
University of Mississippi - Patterson School of Accountancy, Miami University and University of Northern Colorado - Monfort College of Business
Downloads 126 (279,664)
Citation 4

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Life Cycle, Value Relevance, Relative Relevance, Analysts’ Forecasts

5.

Idiosyncratic Risk, Investor Base and Returns

Number of pages: 42 Posted: 15 May 2014
University of Denver - Reiman School of Finance, University of Cincinnati - Department of Finance - Real Estate and Miami University
Downloads 107 (314,125)
Citation 3

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Idiosyncratic Volatility, Investor Base, cross section of stock returns

6.

Betting Against Beta Under Incomplete Information

Number of pages: 50 Posted: 16 Jan 2018 Last Revised: 28 Jan 2018
T. Colin Campbell and Haim Kassa
University of Cincinnati - Department of Finance - Real Estate and Miami University
Downloads 88 (356,275)
Citation 1

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Betting Against Beta, BAB, Low Beta Anomaly, Incomplete Information, Merton (1987), Frazzini and Pedersen (2014)

7.
Downloads 79 (380,084)
Citation 2

Does MAX Matter for Mutual Funds?

Number of pages: 47 Posted: 13 Nov 2017
Miami University, Miami University and Miami University
Downloads 79 (383,953)

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Mutual fund flows and performance, MAX, lottery preferences, skewness

Does Max Matter for Mutual Funds?

European Financial Management, Vol. 25, Issue 4, pp. 777-806, 2019
Number of pages: 30 Posted: 19 May 2020
Miami University, Miami University and Miami University
Downloads 0
Citation 2
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lottery preferences, MAX, mutual fund flows and performance, skewness

8.

The Inevitable Tension between Long-Term and Short-Term Managerial and Investor Incentives

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 25 Jan 2013
Haim Kassa and Steve L. Slezak
Miami University and University of Cincinnati - Department of Finance - Real Estate
Downloads 71 (403,616)

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Crowding out, Short-term managers, Short-term Investors, Short-term Contracts, Incentive Contract, Principal Agent Problem

9.

Is Idiosyncratic Volatility Related to Returns? Evidence from a Subset of Firms with Quality Idiosyncratic Volatility Estimates

Number of pages: 40 Posted: 05 Mar 2018 Last Revised: 25 Mar 2018
Mikael C. Bergbrant and Haim Kassa
St. Johns University and Miami University
Downloads 65 (422,985)

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Idiosyncratic Volatility, Priced Risk Factors, GARCH, EGARCH, Conditional Expected Volatility

10.

Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence Using Portfolios as Test Assets

Forthcoming at European Financial Management
Number of pages: 44 Posted: 12 Mar 2021 Last Revised: 14 May 2021
Miami University, Miami University and Clemson University - College of Business
Downloads 36 (542,420)

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Idiosyncratic volatility, IVOL puzzle, missing risk factor

11.

Variation in Option Implied Volatility Spread and Future Stock Returns

Posted: 20 May 2020
Utah State University, Seattle University, Ohio University and Miami University

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options, implied volatility spread, information, stock returns