Sina Ehsani

Northern Illinois University

Assistant Professor

Chicago, IL 60115

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 10,040

SSRN RANKINGS

Top 10,040

in Total Papers Downloads

6,273

SSRN CITATIONS
Rank 25,006

SSRN RANKINGS

Top 25,006

in Total Papers Citations

25

CROSSREF CITATIONS

13

Scholarly Papers (11)

1.
Downloads 2,947 ( 5,477)
Citation 10

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 2,867 (5,624)
Citation 6

Abstract:

Loading...

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: 25 Oct 2021
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 80 (393,066)
Citation 3

Abstract:

Loading...

2.

Is Sector-neutrality in Factor Investing a Mistake?

Number of pages: 31 Posted: 10 Nov 2021
Sina Ehsani, Campbell R. Harvey and Feifei Li
Northern Illinois University, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 751 (44,053)

Abstract:

Loading...

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

3.

Exchange Traded Funds, Liquidity, and Market Volatility

Applied Financial Economics (2013)
Number of pages: 37 Posted: 29 Sep 2012 Last Revised: 13 Jan 2017
Penn State Behrend, Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 745 (44,299)
Citation 10

Abstract:

Loading...

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

4.

Time-Series Efficient Factors

Tuck School of Business Working Paper No. 3555473
Number of pages: 66 Posted: 01 Apr 2020 Last Revised: 29 Nov 2021
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 656 (52,454)

Abstract:

Loading...

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

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 345 (113,678)

Abstract:

Loading...

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

6.

The Invisible Portfolio: A General Approach to Improving Inefficient Asset Pricing Models

Number of pages: 59 Posted: 28 May 2021 Last Revised: 10 Dec 2021
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 310 (127,677)

Abstract:

Loading...

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

7.

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 184 (212,014)
Citation 5

Abstract:

Loading...

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

8.

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 119 (300,806)

Abstract:

Loading...

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

9.

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 96 (347,957)
Citation 1

Abstract:

Loading...

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

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 67 (434,467)

Abstract:

Loading...

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

Effects of Passive Intensity on Aggregate Price Dynamics

Financial Review, Vol. 50, Issue 3, pp. 363-391, 2015
Number of pages: 29 Posted: 17 Jul 2015
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 0
  • Add to Cart

Abstract:

Loading...

passive investment, comovement, systematic volatility, idiosyncratic volatility

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 53 (480,015)

Abstract:

Loading...

loan trading, secondary loan market, loan return