Iman Honarvar

Robeco Quantitative Investments

Quant Researcher

Rotterdam

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 8,286

SSRN RANKINGS

Top 8,286

in Total Papers Downloads

10,314

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Beyond Fama-French Factors: Alpha from Short-Term Signals

WP version of Financial Analysts Journal, 2023, 79(4): 96-117. https://doi.org/10.1080/0015198X.2023.2173492
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 15 Dec 2023
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 7,016 (1,945)
Citation 5

Abstract:

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short-term signals, market frictions, portfolio construction, transaction costs, investments, market efficiency

2.

Reversing the Trend of Short-Term Reversal

Number of pages: 19 Posted: 16 Oct 2023
David Blitz, Bart van der Grient and Iman Honarvar
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,398 (11,564)

Abstract:

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Asset pricing, short-term reversal, momentum, factor investing, market efficiency, liquidity

3.

VIX and Liquidity Premium

International Review of Financial Analysis, Vol. 74, No. 101655, 2021
Number of pages: 46 Posted: 24 Dec 2015 Last Revised: 31 Dec 2021
Dennis Bams and Iman Honarvar
Maastricht University - Department of Finance and Robeco Quantitative Investments
Downloads 388 (143,574)

Abstract:

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Short-term Reversal, VIX, Liquidity Spillover, Market Maker

4.

Better Opt Out: Revisiting the Predictive Power of Options-implied Signals

Number of pages: 48 Posted: 26 Apr 2024
Iman Honarvar and Clint Howard
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 378 (147,774)

Abstract:

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options, asset pricing, implied volatility, volatility smile, skewness, replication, falsification

5.

From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Number of pages: 42 Posted: 24 Nov 2015
Dennis Bams, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Robeco Quantitative Investments and University of Luxembourg
Downloads 134 (395,190)

Abstract:

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Time-varying Risk-aversion, Market Moments’ Risk Premia, Investor Sentiment Index, Intertemporal Capital Asset Pricing Model, Volatility Risk, Skewness Risk, Kurtosis Risk, Cross-Section of Expected Returns

6.

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Journal of Empirical Finance, Vol. 44, 2017
Posted: 24 Nov 2015 Last Revised: 31 Dec 2021
Maastricht University - Department of Finance, Maastricht University, Robeco Quantitative Investments and University of Luxembourg

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Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation