Doron Avramov

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

SCHOLARLY PAPERS

36

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335

CROSSREF CITATIONS

86

Scholarly Papers (36)

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 4,124 (2,173)
Citation 44

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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 2,903 ( 4,026)
Citation 19

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 2,903 (3,942)
Citation 19

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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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3.

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 2,698 (4,563)
Citation 7

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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 2,645 (4,621)
Citation 40

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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
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 1,702 (9,847)
Citation 3

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

6.
Downloads 1,680 ( 10,068)

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 1,680 (9,885)
Citation 21

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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 1,662 (10,075)
Citation 42

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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 1,622 (10,496)
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 1,474 ( 12,387)
Citation 20

Stock Return Predictability and Model Uncertainty

Number of pages: 43 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,474 (12,137)
Citation 20

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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

Journal of Financial Economics, Vol. 64, No. 3, June 2002
Posted: 12 Jan 2004
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah

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10.
Downloads 1,464 ( 12,402)
Citation 37

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 1,444 (12,544)
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 (556,660)
Citation 42

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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.

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 1,347 (14,308)
Citation 34

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credit risk effect, credit rating, asset-pricing anomalies

12.

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 1,337 (14,471)
Citation 6

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Momentum, Liquidity

13.
Downloads 1,336 ( 14,496)
Citation 8

Stock Return Predictability and Asset Pricing Models

EFA 2001 Barcelona Meetings
Number of pages: 62 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,336 (14,190)
Citation 8

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Stock Return Predictability and Asset Pricing Models

Review of Financial Studies, Forthcoming
Posted: 04 Aug 2003
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah

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14.

Stock Return Predictability from Moving Averages of Prices

Number of pages: 48 Posted: 16 Feb 2018 Last Revised: 27 Nov 2019
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,190 (17,337)
Citation 5

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market efficiency, technical analysis, moving averages, crossing rules

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 1,111 (18,815)
Citation 25

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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

AFA 2005 Philadelphia Meetings
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 875 (26,727)
Citation 18

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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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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 778 (31,996)
Citation 6

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

18.

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 740 (34,278)

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Mutual funds; Managerial Skills; Mispricing

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 730 (34,414)
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

20.

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 628 (42,804)
Citation 11

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

21.

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 552 (50,698)
Citation 17

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22.

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 485 (59,628)

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23.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Number of pages: 68 Posted: 18 Sep 2019 Last Revised: 15 Dec 2019
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 458 (64,124)

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

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
Interdisciplinary Center (IDC) Herzliyah and University of Maryland
Downloads 441 (66,222)
Citation 8

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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
Interdisciplinary Center (IDC) Herzliyah and University of Maryland

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25.

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 403 (74,643)
Citation 8

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26.

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 399 (75,497)
Citation 3

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

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 258 (121,683)

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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 95 (284,882)

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

28.

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 329 (94,136)
Citation 2

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risk shock, corporate policies, texual analysis

29.

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 291 (107,686)
Citation 3

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Downloads 255 (123,794)
Citation 2

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 247 (127,287)
Citation 1

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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 (640,753)
Citation 1

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31.

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 230 (137,805)

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

32.

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 203 (154,575)
Citation 2

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

33.

Anchoring on Past Fundamentals

Number of pages: 73
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 45

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34.

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

35.

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