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

13

DOWNLOADS
Rank 39,397

SSRN RANKINGS

Top 39,397

in Total Papers Downloads

1,831

SSRN CITATIONS
Rank 31,125

SSRN RANKINGS

Top 31,125

in Total Papers Citations

20

CROSSREF CITATIONS

7

Scholarly Papers (13)

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 680 (56,702)
Citation 14

Abstract:

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EGARCH, idiosyncratic volatility, cross-section of stock returns

2.

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 178 (244,887)

Abstract:

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

3.

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 169 (254,655)
Citation 3

Abstract:

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idiosyncratic volatility, skewness, lottery preferences, economic conditions.

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 132 (310,621)
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 120 (333,054)
Citation 3

Abstract:

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Idiosyncratic Volatility, Investor Base, cross section of stock returns

6.

Expected Idiosyncratic Volatility

Number of pages: 68 Posted: 26 Aug 2022
Columbia University - Columbia Business School, Finance, St. Johns University and Miami University
Downloads 115 (343,241)

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Idiosyncratic Volatility, Volatility Forecasting, Priced Risk Factors, Martingale, EGARCH, ARIMA, HAR, Realized Variances

7.

Betting Against Beta Under Incomplete Information

Number of pages: 53 Posted: 16 Jan 2018 Last Revised: 16 Feb 2022
T. Colin Campbell and Haim Kassa
University of Cincinnati - Department of Finance - Real Estate and Miami University
Downloads 105 (365,330)
Citation 2

Abstract:

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

8.
Downloads 100 (377,319)
Citation 2

Does MAX Matter for Mutual Funds?

Number of pages: 47 Posted: 13 Nov 2017
Miami University, Miami University and Miami University
Downloads 89 (409,634)

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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 11 (847,884)
Citation 2

Abstract:

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

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 79 (435,786)

Abstract:

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

10.

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 75 (448,653)

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

11.

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 47 (560,734)

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Idiosyncratic volatility, IVOL puzzle, missing risk factor

12.

Variability of Mispricing Characteristics and Future Stock Returns

Number of pages: 26 Posted: 26 Sep 2022
Utah State University, Seattle University, Ohio University and Miami University
Downloads 31 (650,520)

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anomalies, Information, stock returns, mispricing characteristics, portfolio choice

13.

Variation in Option Implied Volatility Spread and Future Stock Returns

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

Abstract:

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options, implied volatility spread, information, stock returns