Sina Ehsani

Northern Illinois University

Assistant Professor

Chicago, IL 60115

United States

  • Northern Illinois University

SCHOLARLY PAPERS

13

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12,242

SSRN CITATIONS
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SSRN RANKINGS

Top 10,160

in Total Papers Citations

135

CROSSREF CITATIONS

14

Scholarly Papers (13)

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1.

Factor Momentum and the Momentum Factor

Downloads 5,449 ( 2,736)
Citation 59

Factor Momentum and the Momentum Factor

Journal of Finance, Forthcoming
Number of pages: 84 Posted: 07 Aug 2017 Last Revised: 20 Mar 2021
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 5,211 (2,913)
Citation 6

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Anomalies; Autocorrelation; Factors; Momentum

Factor Momentum and the Momentum Factor

NBER Working Paper No. w25551
Number of pages: 54 Posted: 19 Feb 2019 Last Revised: 26 Apr 2023
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 238 (220,000)
Citation 3

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2.

Is Sector-neutrality in Factor Investing a Mistake?

Number of pages: 42 Posted: 10 Nov 2021 Last Revised: 08 Aug 2023
Sina Ehsani, Campbell R. Harvey and Feifei Li
Northern Illinois University, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 2,482 (9,969)

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Sector neutralization, industry factors, equity factors, sector neutral, sector bet, sector tilt, factor zoo, portfolio management, smart beta

3.

Time-Series Efficient Factors

Tuck School of Business Working Paper No. 3555473
Number of pages: 61 Posted: 01 Apr 2020 Last Revised: 02 Sep 2022
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 1,061 (36,717)
Citation 5

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Factors, Asset Pricing Models, Anomalies, Momentum, Risk-Return Tradeoff

4.

Exchange Traded Funds, Liquidity, and Market Volatility

Applied Financial Economics (2013)
Number of pages: 37 Posted: 29 Sep 2012 Last Revised: 13 Jan 2017
Timothy A. Krause, Sina Ehsani and Donald D. Lien
Penn State Behrend, Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 843 (50,475)
Citation 13

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Exchange Traded Fund, ETF, Volatility Spillover, Liquidity, Volume

5.

Compensated and Uncompensated Risks In Global Factor Investing

Number of pages: 38 Posted: 13 Jul 2020 Last Revised: 14 Jul 2020
Sina Ehsani, Michael Hunstad and Manan Mehta
Northern Illinois University, Northern Trust Asset Management and Northern Trust Asset Management
Downloads 767 (57,256)
Citation 2

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International Equity Factors, Asset Pricing Models, Portfolio Management, Sector-Neutral factors

6.

Correcting Asset Pricing Models

Number of pages: 62 Posted: 28 May 2021 Last Revised: 17 Mar 2022
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 461 (108,549)

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Beta, Betting against beta, Security market line, Factor model, Mean-variance efficiency

7.

What Does Residual Momentum Tell Us About Firm-Specific Momentum?

Tuck School of Business Working Paper No. 4059632
Number of pages: 48 Posted: 13 Apr 2022
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 414 (123,132)

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8.

The Cross-Section of Expected Returns in the Secondary Corporate Loan Market

Review of Asset Pricing Studies, Forthcoming
Number of pages: 40 Posted: 15 Feb 2018
Mehdi Beyhaghi and Sina Ehsani
Federal Reserve Banks - Federal Reserve Bank of Richmond and Northern Illinois University
Downloads 236 (222,689)
Citation 5

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Default risk, Expected return, Momentum, Secondary corporate loan market

9.

The Factor Risk in Low-Risk Anomalies

Number of pages: 55 Posted: 13 Nov 2019 Last Revised: 11 Nov 2021
Sina Ehsani
Northern Illinois University
Downloads 182 (282,728)

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Risk Return Trade-off, Volatility Effect, Variance Anomaly, Factor Risk

10.

A Note on Minimum Riskiness Hedge Ratio

Finance Research Letters, Vol. 15, 2015
Number of pages: 11 Posted: 17 Aug 2014 Last Revised: 13 Jan 2017
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 113 (413,683)
Citation 1

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riskiness, economic index of riskiness, operational measure of riskiness, hedge ratio

11.

Calculating Returns in the Secondary Corporate Loan Market

Number of pages: 5 Posted: 16 Jul 2019
Mehdi Beyhaghi and Sina Ehsani
Federal Reserve Banks - Federal Reserve Bank of Richmond and Northern Illinois University
Downloads 92 (476,613)

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loan trading, secondary loan market, loan return

12.

Effects of Passive Intensity on Aggregate Price Dynamics

Number of pages: 39 Posted: 17 Aug 2014 Last Revised: 09 Jun 2015
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 78 (530,752)

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passive investment, price dynamics, comovement, synchronism, systematic volatility, idiosyncratic volatility

13.

Second Moment Asset Pricing

Number of pages: 51 Posted: 19 Jun 2023
Sina Ehsani and Junbo L. Wang
Northern Illinois University and Louisiana State University, Baton Rouge
Downloads 64 (586,575)

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