P.O. Box 167
Herzliya, 46150
Israel
http://faculty.idc.ac.il/davramov/
Interdisciplinary Center (IDC) Herzliyah
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Equity mutual fund, asset allocation, manager skills, business cycle
Machine Learning, Return Prediction, Neural Networks, Financial Distress, Fintech
ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model
fundamental analysis; technical rules; market efficiency; market anomalies
Asset pricing models, size, value, liquidity, momentum, time varying risk
market efficiency, technical analysis, moving averages, crossing rules,anchoring bias
momentum, credit risk, credit rating
Momentum, asset-pricing anomalies, credit risk
Credit spread changes, corporate bonds, structural models of default, default risk
hedge funds, predictability, managerial skills, macroeconomic variables
Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables
Stock return predictability, model uncertainty, parameter uncertainty, Bayesian model averaging, portfolio selection, Bayesian weighted predictive distribution
asset-pricing anomalies, credit risk, financial distress, downgrades
asset-pricing anomalies, credit risk, momentum, dispersion, asset growth, capital investments, accruals, idiosyncratic volatility
asset-pricing anomalies, market efficiency, credit rating, credit risk
Momentum, Liquidity
credit risk effect, credit rating, asset-pricing anomalies
Dispersion in analyst forecasts, asset-pricing anomalies, credit risk, credit rating
Mutual funds; Managerial Skills; Mispricing
asymmetric volatility, informed trades, liquidity based trades
Factor models, Model integration, Posterior probability, Stock return predictability, Mispricing
ESG, Dynamic equilibrium, Asset pricing, Preference shock
Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging
Hedge Fund Performance, Return Predictability, Combination Forecasts
sentiment, mispricing, anomalies, bonds, stocks, financial distress
Momentum, Duffie-Epstein Preferences, Information Uncertainty, Early Resolution of Uncertainty
risk shock, corporate policies, texual analysis, LASSO
Loglinearization, Currency Market Return, Forward Premium Puzzle, Trading Strategy
Momentum, Cross-Sectional Dynamics, Long-Run Risk, Bayesian Filtering
ESG, Information acquisition, Mutual funds, Asset pricing
sovereign credit risk, credit rating, emerging markets, international asset-pricing, market efficiency
Financial distress, anomalies, credit risk, distress puzzle, stocks, bonds
risk, uncertainty, leverage, investment, employment, payoutS, cash holdings, textual analysis
uncertainty shocks, first-moment shocks, leverage, investment, employment, payouts, cash holdings
Momentum, anomaly
Debt Investments, Credit Analysis, Portfolio Management, Debt Strategies
