Doron Avramov

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Professor of Finance

Mount Scopus

Jerusalem, 91905

Israel

http://pluto.huji.ac.il/~davramov/

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 505

SSRN RANKINGS

Top 505

in Total Papers Downloads

31,000

CITATIONS
Rank 963

SSRN RANKINGS

Top 963

in Total Papers Citations

559

Scholarly Papers (31)

1.
Downloads 3,928 ( 1,596)
Citation 50

Investing in Mutual Funds when Returns are Predictable

Number of pages: 58 Posted: 08 Jun 2004
Doron Avramov and Russ Wermers
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland - Robert H. Smith School of Business
Downloads 3,928 (1,570)
Citation 50

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland - Robert H. Smith School of Business

Abstract:

2.
Downloads 2,724 ( 3,086)
Citation 21

Predicting Stock Returns

Number of pages: 58 Posted: 27 Jul 2003
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 2,724 (3,018)
Citation 21

Abstract:

Predicting Stock Returns

Journal of Financial Economics, Forthcoming
Posted: 01 Aug 2005
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

3.
Downloads 2,333 ( 4,042)
Citation 76

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 2,333 (3,954)
Citation 76

Abstract:

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

Asset Pricing Models and Financial Market Anomalies

Review of Financial Studies, Forthcoming
Posted: 22 May 2005
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance

Abstract:

4.
Downloads 1,609 ( 7,719)
Citation 53

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,609 (7,559)
Citation 53

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 1,608 (7,567)
Citation 62

Abstract:

Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

6.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,572 (7,587)
Citation 9

Abstract:

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

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,542 (8,088)
Citation 14

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

Abstract:

Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

8.
Downloads 1,319 ( 10,675)
Citation 117

Stock Return Predictability and Model Uncertainty

Number of pages: 43 Posted: 19 Feb 2001
Doron Avramov
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,319 (10,450)
Citation 117

Abstract:

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

Stock Return Predictability and Model Uncertainty

Journal of Financial Economics, Vol. 64, No. 3, June 2002
Posted: 12 Jan 2004
Doron Avramov
Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

9.
Downloads 1,315 ( 10,588)
Citation 16

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,307 (10,615)
Citation 16

Abstract:

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

Anomalies and Financial Distress

Number of pages: 53 Posted: 15 Mar 2010
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 8 (512,249)
Citation 16

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

Anomalies and Financial Distress

Journal of Financial Economics (JFE), Forthcoming
Posted: 01 Jul 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

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

10.
Downloads 1,265 ( 11,421)
Citation 40

Stock Return Predictability and Asset Pricing Models

EFA 2001 Barcelona Meetings
Number of pages: 62 Posted: 19 Feb 2001
Doron Avramov
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,265 (11,170)
Citation 40

Abstract:

Stock Return Predictability and Asset Pricing Models

Review of Financial Studies, Forthcoming
Posted: 04 Aug 2003
Doron Avramov
Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

11.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,200 (11,589)
Citation 32

Abstract:

credit risk effect, credit rating, asset-pricing anomalies

12.

Talking Numbers: Technical versus Fundamental Investment Recommendations

Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 23 Feb 2017
Doron Avramov, Guy Kaplanski and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,094 (4,725)

Abstract:

fundamental analysis; technical rules; market efficiency; market anomalies

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 1,066 (14,609)
Citation 12

Abstract:

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: 19 Mar 2009
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

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

14.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 23 Mar 2015
Doron Avramov, Si Cheng and Allaudeen Hameed
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,014 (16,067)

Abstract:

Momentum, Liquidity

15.
Downloads 834 ( 21,511)
Citation 22

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 834 (21,145)
Citation 22

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

16.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of Maryland and Emory University - Department of Finance
Downloads 732 (25,159)
Citation 4

Abstract:

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

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 667 (29,148)
Citation 3

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School

Abstract:

Hedge Fund Performance, Return Predictability, Combination Forecasts

18.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Federal Reserve Bank of Boston
Downloads 585 (35,278)
Citation 2

Abstract:

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

19.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of Arizona - Department of Finance and Federal Reserve Bank of Boston
Downloads 452 (44,166)
Citation 1

Abstract:

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

AFA 2003 Washington, DC Meetings
Number of pages: 33 Posted: 12 Nov 2001
Doron Avramov and John C. Chao
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland
Downloads 414 (54,153)
Citation 8

Abstract:

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

Journal of Business, Forthcoming
Posted: 03 Sep 2003
Doron Avramov and John C. Chao
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Maryland

Abstract:

21.

Characteristic Scaled Betas

Number of pages: 29 Posted: 16 Jul 2001
Doron Avramov and Tarun Chordia
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Emory University - Department of Finance
Downloads 386 (57,914)
Citation 4

Abstract:

22.
Downloads 219 (111,050)
Citation 3

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 212 (114,345)
Citation 3

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Downloads 7 (517,493)
Citation 3

Abstract:

23.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and University of Arizona - Department of Finance
Downloads 217 (93,458)
Citation 2

Abstract:

24.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Federal Reserve Bank of Boston
Downloads 201 (120,800)

Abstract:

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

25.

Mutual Funds and Mispriced Stocks

Number of pages: 66 Posted: 18 May 2015 Last Revised: 19 Aug 2016
Doron Avramov, Si Cheng and Allaudeen Hameed
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 166 (58,102)

Abstract:

Overpricing, mutual funds, managerial skill, sentiment, fund flows

26.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 88 (164,408)

Abstract:

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

27.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of Arizona - Department of Finance and Free University, Amsterdam
Downloads 64 (108,135)

Abstract:

28.

Risk and Corporate Policies: A Text-Based Analysis

Number of pages: 54 Posted: 15 Feb 2016 Last Revised: 28 Oct 2016
Doron Avramov, Minwen Li and Hao Wang
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 0 (156,145)

Abstract:

risk shock, corporate policies, texual analysis

29.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming
Number of pages: 31 Posted: 31 Dec 2015 Last Revised: 07 Jun 2016
Doron Avramov, Si Cheng, Amnon Schreiber and Koby Shemer
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta
Downloads 0 (39,125)

Abstract:

Momentum, anomaly

30.

Bayesian Portfolio Analysis

Annual Review of Financial Economics, Vol. 2, pp. 25-47, 2010
Posted: 12 Nov 2010
Doron Avramov and Guofu Zhou
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Washington University in St. Louis - Olin School of Business

Abstract:

31.

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, George Washington University - Department of Finance and George Mason University - Finance Area

Abstract:

Debt Investments, Credit Analysis, Portfolio Management, Debt Strategies