Doron Avramov

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

http://faculty.idc.ac.il/davramov/

SCHOLARLY PAPERS

41

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42,392

SSRN CITATIONS
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Top 2,410

in Total Papers Citations

467

CROSSREF CITATIONS

92

Scholarly Papers (41)

1.
Downloads 4,202 ( 2,840)
Citation 63

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 4,202 (2,794)
Citation 63

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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 2,971 ( 5,190)

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 2,971 (5,095)
Citation 11

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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 2,869 (5,489)
Citation 8

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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 2,766 (5,732)
Citation 48

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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.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Management Science, Accepted
Number of pages: 89 Posted: 18 Sep 2019 Last Revised: 02 Oct 2021
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 1,867 (11,031)
Citation 8

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

6.

Moving Average Distance as a Predictor of Equity Returns

Review of Financial Economics, Forthcoming
Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 01 Sep 2020
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,778 (11,895)
Citation 13

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

7.
Downloads 1,743 ( 12,285)

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 1,743 (12,074)
Citation 38

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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

8.

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 1,742 (12,298)
Citation 3

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Credit spread changes, corporate bonds, structural models of default, default 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 1,738 (12,134)
Citation 50

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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 1,675 (12,862)
Citation 14

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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

11.
Downloads 1,554 ( 14,698)
Citation 32

Stock Return Predictability and Model Uncertainty

Number of pages: 43 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,554 (14,436)
Citation 32

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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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12.
Downloads 1,523 ( 15,038)
Citation 47

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 1,500 (15,286)
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 23 (640,380)
Citation 52

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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

13.

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 1,492 (15,722)
Citation 12

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Momentum, Liquidity

14.

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 1,397 (17,397)
Citation 37

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credit risk effect, credit rating, asset-pricing anomalies

15.
Downloads 1,394 ( 17,444)
Citation 15

Stock Return Predictability and Asset Pricing Models

Number of pages: 62 Posted: 19 Feb 2001
Doron Avramov
Interdisciplinary Center (IDC) Herzliyah
Downloads 1,394 (17,119)
Citation 15

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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 1,130 (23,445)
Citation 34

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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 899 (32,615)
Citation 21

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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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18.

Mutual Funds and Mispriced Stocks

Management Science, Vol. 66, No. 6, 2020
Number of pages: 53 Posted: 18 May 2015 Last Revised: 09 Feb 2021
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 859 (35,252)
Citation 2

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Mutual funds; Managerial Skills; Mispricing

19.

Sustainable Investing with ESG Rating Uncertainty

Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 28 Jul 2021
Doron Avramov, Si Cheng, Abraham Lioui and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 809 (38,238)
Citation 2

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ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model

20.

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 789 (39,601)
Citation 7

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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
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 756 (41,372)
Citation 5

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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

22.

Post-Fundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

Management Science, forthcoming
Number of pages: 80 Posted: 27 Jan 2020 Last Revised: 19 May 2021
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 746 (42,722)

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23.

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 653 (51,026)
Citation 11

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

24.

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 577 (59,750)
Citation 5

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

25.

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 575 (60,026)
Citation 17

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26.

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 546 (64,071)

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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 453 (79,838)
Citation 10

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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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28.

Predicting Corporate Policies Using Downside Risk: A Machine Learning Approach

Journal of Empirical Finance, Forthcoming
Number of pages: 65 Posted: 15 Feb 2016 Last Revised: 15 Jan 2021
Minwen Li, Hao Wang and Doron Avramov
Tsinghua Universitiy - School of Economics and Management, Tsinghua University and Interdisciplinary Center (IDC) Herzliyah
Downloads 423 (87,365)

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risk shock, corporate policies, texual analysis, LASSO

29.

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 409 (90,815)
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 272 (141,303)

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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 123 (286,607)

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

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 372 (101,294)

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

32.

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 306 (125,526)
Citation 3

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33.
Downloads 271 (142,531)
Citation 5

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 262 (146,918)
Citation 4

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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 9 (754,319)
Citation 1

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34.

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 220 (174,771)
Citation 3

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

35.

The Distress Anomaly is Deeper than you Think: Evidence from Stocks and Bonds

Number of pages: 68 Posted: 17 Nov 2020 Last Revised: 30 Aug 2021
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 189 (200,963)

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Financial distress, anomalies, credit risk, distress puzzle, stocks, bonds

36.

Dynamic ESG Equilibrium

Number of pages: 67 Posted: 05 Oct 2021 Last Revised: 20 Oct 2021
Doron Avramov, Abraham Lioui, Yang Liu and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, EDHEC Business School and Scientific Beta Research Chair, The University of Hong Kong - Faculty of Business and Economics and Catholic University of Milan
Downloads 145 (251,508)

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ESG, Dynamic equilibrium, Asset pricing, Preference shock

37.

Integrating Factor Models

Number of pages: 93 Posted: 16 Sep 2021
Doron Avramov, Si Cheng, Lior Metzker and Stefan Voigt
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and University of Copenhagen
Downloads 112 (305,001)

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Asset pricing models, Model integration, Posterior probability, Stock return predictability, Mispricing

38.

Uncertainty Shocks and Corporate Policies

Number of pages: 68 Posted: 17 Aug 2020
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 47 (491,939)

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uncertainty shocks, first-moment shocks, leverage, investment, employment, payouts, cash holdings

39.

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

40.

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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41.

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