Iman Honarvar

Robeco Quantitative Investments

Quant Researcher

Rotterdam

Netherlands

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 7,010

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Top 7,010

in Total Papers Downloads

13,196

TOTAL CITATIONS

5

Scholarly Papers (6)

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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
David Blitz, Matthias X. Hanauer, Iman Honarvar, Rob Huisman and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 8,495 (1,625)
Citation 5

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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 3,389 (7,641)

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

3.

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

Number of pages: 53 Posted: 26 Apr 2024
Iman Honarvar and Clint Howard
Robeco Quantitative Investments and Abu Dhabi Investment Authority
Downloads 736 (75,672)

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

4.

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 434 (145,412)

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

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 142 (440,932)

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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
Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert
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