Doron Avramov

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

SCHOLARLY PAPERS

37

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367

CROSSREF CITATIONS

102

Scholarly Papers (37)

Investing in Mutual Funds When Returns are Predictable

Number of pages: 58 Posted: 08 Jun 2004
Doron Avramov and Russ Wermers
Interdisciplinary Center (IDC) Herzliyah and University of Maryland - Robert H. Smith School of Business
Downloads 4,147 (2,357)
Citation 50

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Equity mutual fund, asset allocation, manager skills, business cycle

Investing in Mutual Funds When Returns are Predictable

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jun 2005
Doron Avramov and Russ Wermers
Interdisciplinary Center (IDC) Herzliyah and University of Maryland - Robert H. Smith School of Business

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2.
Downloads 2,928 ( 4,302)
Citation 4

Predicting Stock Returns

Number of pages: 58 Posted: 27 Jul 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,928 (4,215)
Citation 4

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Predicting Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Aug 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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Talking Numbers: Technical versus Fundamental Investment Recommendations

Journal of Banking and Finance, Volume 92, 2018, 100-114
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 08 Jun 2018
Doron Avramov, Guy Kaplanski and Haim Levy
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,752 (4,771)
Citation 9

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fundamental analysis; technical rules; market efficiency; market anomalies

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 2,673 (4,906)
Citation 41

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Asset pricing models, size, value, liquidity, momentum, time varying risk

Asset Pricing Models and Financial Market Anomalies

Posted: 22 May 2005
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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Asset Pricing Models and Financial Market Anomalies

The Review of Financial Studies, Vol. 19, Issue 3, pp. 1001-1040, 2006
Posted: 29 Feb 2008
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

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5.

Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals

AFA 2005 Philadelphia Meetings
Number of pages: 27 Posted: 17 Mar 2004
Doron Avramov, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,716 (10,513)
Citation 3

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Credit spread changes, corporate bonds, structural models of default, default risk

6.
Downloads 1,698 ( 10,691)

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,698 (10,510)
Citation 27

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momentum, credit risk, credit rating

Momentum and Credit Rating

Journal of Finance, Vol. 62, No. 5, pp. 2503-2520, 2007
Posted: 20 Jan 2007 Last Revised: 26 Feb 2008
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Momentum, asset-pricing anomalies, credit risk

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 1,673 (10,757)
Citation 45

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Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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Hedge Funds, Managerial Skill, and Macroeconomic Variables

AFA 2008 New Orleans Meetings Paper
Number of pages: 47 Posted: 22 Mar 2007 Last Revised: 15 Nov 2013
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,642 (11,076)
Citation 11

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hedge funds, predictability, managerial skills, macroeconomic variables

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Journal of Financial Economics, Vol. 99, Issue 3, pp. 672-692, March 2011
Posted: 22 Feb 2010 Last Revised: 15 Nov 2013
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

9.
Downloads 1,497 ( 13,032)
Citation 27

Stock Return Predictability and Model Uncertainty

Number of pages: 43 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,497 (12,772)
Citation 27

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Stock return predictability, model uncertainty, parameter uncertainty, Bayesian model averaging, portfolio selection, Bayesian weighted predictive distribution

Stock Return Predictability and Model Uncertainty

Posted: 12 Jan 2004
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah

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10.
Downloads 1,479 ( 13,152)
Citation 40

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,459 (13,313)
Citation 2

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asset-pricing anomalies, credit risk, financial distress, downgrades

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 20 (586,469)
Citation 45

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asset-pricing anomalies, credit risk, momentum, dispersion, asset growth, capital investments, accruals, idiosyncratic volatility

Anomalies and Financial Distress

FDIC Working Paper No. 2011-02
Posted: 09 Jan 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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asset-pricing anomalies, market efficiency, credit rating, credit risk

11.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis, Vol. 51, No. 6, 2016
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 12 Sep 2019
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,389 (14,687)
Citation 8

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Momentum, Liquidity

12.

Moving Average Distance as a Predictor of Equity Returns

Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 03 Apr 2020
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,371 (14,996)
Citation 8

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market efficiency, technical analysis, moving averages, crossing rules,anchoring bias

13.

Credit Ratings and the Cross-Section of Stock Returns

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 08 Feb 2009
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,366 (15,045)
Citation 34

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credit risk effect, credit rating, asset-pricing anomalies

14.
Downloads 1,350 ( 15,300)
Citation 11

Stock Return Predictability and Asset Pricing Models

Number of pages: 62 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,350 (14,986)
Citation 11

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Stock Return Predictability and Asset Pricing Models

Posted: 04 Aug 2003
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah

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Dispersion in Analysts' Earnings Forecasts and Credit Rating

AFA 2008 New Orleans Meetings Paper
Number of pages: 39 Posted: 21 Mar 2007 Last Revised: 09 Jan 2008
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,117 (20,048)
Citation 29

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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

Dispersion in Analysts' Earnings Forecasts and Credit Rating

Journal of Financial Economics (JFE), Vol. 91, pp. 83-101, 2009
Posted: 26 Feb 2008 Last Revised: 13 Jan 2020
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance

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Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating

The Impact of Trades on Daily Volatility

Number of pages: 46 Posted: 21 Mar 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 880 (28,429)
Citation 19

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asymmetric volatility, informed trades, liquidity based trades

The Impact of Trades on Daily Volatility

Review of Financial Studies, Forthcoming
Posted: 12 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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The Impact of Trades on Daily Volatility

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1241-1277, 2006
Posted: 29 Feb 2008
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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Mutual Funds and Mispriced Stocks

Management Science, Forthcoming
Number of pages: 53 Posted: 18 May 2015 Last Revised: 12 Sep 2019
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 782 (34,019)
Citation 2

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Mutual funds; Managerial Skills; Mispricing

18.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah, University of Maryland and Emory University - Department of Finance
Downloads 781 (34,097)
Citation 6

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Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging

19.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Number of pages: 72 Posted: 18 Sep 2019 Last Revised: 06 Apr 2020
Doron Avramov, Si Cheng and Lior Metzker
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and Hebrew University of Jerusalem
Downloads 747 (36,288)
Citation 5

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Machine Learning, Return Prediction, Neural Networks, Financial Distress, Fintech

Hedge Fund Return Predictability Under the Magnifying Glass

Number of pages: 69 Posted: 01 Aug 2010 Last Revised: 12 Jul 2013
Doron Avramov, Laurent Barras and Robert Kosowski
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 740 (36,151)
Citation 4

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Hedge Fund Performance, Return Predictability, Combination Forecasts

Hedge Fund Return Predictability Under the Magnifying Glass

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Mar 2012
Doron Avramov, Laurent Barras and Robert Kosowski
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School

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Hedge Fund Performance, Return Predictability, Combination Forecasts

21.

Momentum, Information Uncertainty, and Leverage - An Explanation Based on Recursive Preferences

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 45 Posted: 05 Mar 2008 Last Revised: 14 Dec 2008
Doron Avramov and Satadru Hore
Interdisciplinary Center (IDC) Herzliyah and Federal Reserve Bank of Boston
Downloads 632 (45,373)
Citation 11

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Momentum, Duffie-Epstein Preferences, Information Uncertainty, Early Resolution of Uncertainty

22.

Cross-Sectional Asset Pricing Puzzles: A Long-Run Perspective

Third Singapore International Conference on Finance 2009, AFA 2010 Atlanta Meetings Paper
Number of pages: 71 Posted: 12 Dec 2008 Last Revised: 29 Nov 2011
Doron Avramov, Scott Cederburg and Satadru Hore
Interdisciplinary Center (IDC) Herzliyah, University of Arizona - Department of Finance and Federal Reserve Bank of Boston
Downloads 560 (52,996)
Citation 17

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23.

Are Stocks Riskier Over the Long Run? Taking Cues from Economic Theory

Number of pages: 70 Posted: 09 Jun 2015 Last Revised: 03 Mar 2017
Interdisciplinary Center (IDC) Herzliyah, University of Arizona - Department of Finance and University of Pavol Jozef Šafárik in Kosice
Downloads 498 (61,466)
Citation 1

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24.

Post-Fundamentals Drift in Stock Prices: A Machine-Learning Approach

Number of pages: 71 Posted: 27 Jan 2020 Last Revised: 29 Jun 2020
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 493 (62,276)

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25.

Bonds, Stocks, and Sources of Mispricing

George Mason University School of Business Research Paper No. 18-5
Number of pages: 78 Posted: 02 Nov 2017 Last Revised: 29 Mar 2019
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 454 (68,891)
Citation 2

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sentiment, mispricing, anomalies, bonds, stocks, financial distress

An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Number of pages: 33 Posted: 12 Nov 2001
Doron Avramov and John C. Chao
Interdisciplinary Center (IDC) Herzliyah and University of Maryland
Downloads 442 (70,518)
Citation 9

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An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Posted: 03 Sep 2003
Doron Avramov and John C. Chao
Interdisciplinary Center (IDC) Herzliyah and University of Maryland

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27.

Characteristic Scaled Betas

Number of pages: 29 Posted: 16 Jul 2001
Doron Avramov and Tarun Chordia
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance
Downloads 405 (78,985)
Citation 8

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Cross-Sectional Factor Dynamics and Momentum Returns

Number of pages: 65 Posted: 27 Oct 2015 Last Revised: 09 Aug 2016
Doron Avramov and Satadru Hore
Interdisciplinary Center (IDC) Herzliyah and Federal Reserve Bank of Boston
Downloads 263 (126,759)

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Momentum, Cross-Sectional Dynamics, Long-Run Risk, Bayesian Filtering

Cross-Sectional Factor Dynamics and Momentum Returns

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 15-2
Number of pages: 59 Posted: 07 Sep 2017
Doron Avramov and Satadru Hore
Interdisciplinary Center (IDC) Herzliyah and Federal Reserve Bank of Boston
Downloads 103 (285,098)

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Momentum, Cross-Sectional Dynamics, Long-Run Risk, Bayesian Filtering

29.

Downside Risk and Corporate Policies: A Text-Based Analysis

Number of pages: 59 Posted: 15 Feb 2016 Last Revised: 13 May 2018
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 355 (91,962)
Citation 1

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risk shock, corporate policies, texual analysis

30.

Implications of Long-Run Risk for Asset Allocation Decisions

Netspar Discussion Paper No. 03/2012-011
Number of pages: 36 Posted: 28 Apr 2012
Doron Avramov and Scott Cederburg
Interdisciplinary Center (IDC) Herzliyah and University of Arizona - Department of Finance
Downloads 294 (113,235)
Citation 3

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Predicting Currency Returns and Exchange Rate Fluctuations

Number of pages: 67 Posted: 20 Jun 2018 Last Revised: 01 Oct 2019
Doron Avramov and Yan Xu
Interdisciplinary Center (IDC) Herzliyah and HKU, Faculty of Business and Economics
Downloads 275 (121,997)

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Loglinearization, Currency Market Return, Forward Premium Puzzle, Trading Strategy

32.
Downloads 261 (128,450)
Citation 4

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 253 (131,991)
Citation 3

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sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency

The World Price of Credit Risk

Number of pages: 48 Posted: 17 Mar 2012
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 8 (675,959)
Citation 1

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Risk Shocks, Uncertainty Shocks, and Corporate Policies

Number of pages: 55 Posted: 15 Dec 2014 Last Revised: 30 Jun 2015
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 206 (162,321)
Citation 2

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risk, uncertainty, leverage, investment, employment, payoutS, cash holdings, textual analysis

34.

Uncertainty Shocks and Corporate Policies

Number of pages: 68
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
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uncertainty shocks, first-moment shocks, leverage, investment, employment, payouts, cash holdings.

35.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming, https://doi.org/10.3905/joi.2017.26.3.089
Posted: 21 May 2019
Doron Avramov, Si Cheng, Amnon Schreiber and Koby Shemer
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta

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Momentum, anomaly

36.

Bayesian Portfolio Analysis

Annual Review of Financial Economics, Vol. 2, pp. 25-47, 2010
Posted: 12 Nov 2010
Doron Avramov and Guofu Zhou
Interdisciplinary Center (IDC) Herzliyah and Washington University in St. Louis - John M. Olin Business School

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Understanding Changes in Corporate Credit Spreads

Financial Analysts Journal, Vol. 63, No. 2, pp. 90-105, 2007
Posted: 18 Apr 2007
Doron Avramov, Gergana Jostova and Alexander Philipov
Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance

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Debt Investments, Credit Analysis, Portfolio Management, Debt Strategies