Guy Kaplanski

Bar-Ilan University - Graduate School of Business Administration

Ramat Gan

Israel

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 2,215

SSRN RANKINGS

Top 2,215

in Total Papers Downloads

13,246

CITATIONS
Rank 8,804

SSRN RANKINGS

Top 8,804

in Total Papers Citations

51

Scholarly Papers (21)

1.

VAR Risk Measures Versus Traditional Risk Measures: An Analysis and Survey

Journal of Risk, Vol. 4, Issue 3, pp. 1-27, 2002
Number of pages: 34 Posted: 01 Apr 2002 Last Revised: 29 Sep 2013
Guy Kaplanski and Yoram Kroll
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Department of Finance and Banking
Downloads 1,728 (7,636)
Citation 8

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VaR, risk, risk measure, lexicographic, expected utility

2.

Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, pp. 535-553, April 2010
Number of pages: 29 Posted: 27 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,114 (13,052)
Citation 4

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exploitable predictable effect, mood event effect, market sentiment, behavioral finance, abnormal returns

3.

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 (4,321)

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fundamental analysis; technical rules; market efficiency; market anomalies

4.

Sentiment and Stock Prices: The Case of Aviation Disasters

Journal of Financial Economics (JFE), Vol. 95, No. 2, pp. 174-201, February 2010
Number of pages: 53 Posted: 25 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 987 (14,020)
Citation 17

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Mood Event Effect, value stock returns, investors' mood, behavioral finance, disasters, abnormal returns

5.
Downloads 853 ( 23,003)
Citation 2

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 07 May 2003 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 713 (29,188)
Citation 2

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Risk analysis, Risk management, Value-at-Risk, Basel regulations, Square Root Rule

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 16 Apr 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 140 (180,637)
Citation 2

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Risk Analysis, Risk Management, Value-at-Risk, Basel Regulations, Square Root Rule

6.

Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis

Journal of Banking & Finance, Vol. 31, No. 6, pp. 1887-1906, June 2007
Number of pages: 39 Posted: 20 Sep 2004 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 677 (30,007)
Citation 4

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Value-at-Risk, VaR, Basel, regulations, Capital Requirement regulations

7.

Analytical Portfolio Value-at-Risk

Journal of Risk, Vol. 7, Issue 2, pp. 33-54, 2005
Number of pages: 29 Posted: 24 Dec 2004 Last Revised: 29 Sep 2013
Guy Kaplanski
Bar-Ilan University - Graduate School of Business Administration
Downloads 589 (36,206)

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Value-at-Risk, Risk Measurement, Portfolio Optimization, Downsize Risk

8.

The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE)

Quantitative Finance, Vol. 12, Issue 8, pp. 1283-1298, August 2012
Number of pages: 34 Posted: 10 Nov 2009 Last Revised: 04 Apr 2014
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 555 (37,578)
Citation 1

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risk sentiment index (RSI), behavioral finance, perceived risk, market anomalies, market efficiency

9.

Seasonality in Perceived Risk: A Sentiment Effect

Quarterly Journal of Finance, Forthcoming
Number of pages: 24 Posted: 08 Apr 2008 Last Revised: 14 Jan 2016
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 454 (43,789)
Citation 5

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volatility risk premium, market seasonality effects, perceived risk, investor sentiment, market efficiency

10.

Value-at-Risk Capital Requirement Regulation, Risk Taking and Asset Allocation: A Mean-Variance Analysis

European Journal of Finance, Volume 21, Issue 3, (2015), 215-241.
Number of pages: 47 Posted: 07 Jan 2008 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 397 (57,266)

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Risk Management, Capital Requirement Regulation, Value-at-Risk, Basel Regulations, Regulated Capital Market Line

11.

Executive Short-Term Incentive, Risk-Taking and Leverage-Neutral Incentive Scheme

Annals of Financial Economics (AFE), Vol. 7, Issue 1, pp. 1250003-1:45, 2012
Number of pages: 64 Posted: 22 Jul 2009 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 391 (61,447)
Citation 1

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Executive compensation, leverage-neutral bonus scheme, bonus cap, risk-taking

12.

Real Estate Prices: An International Study of Seasonality’s Sentiment Effect

Journal of Empirical Finance, Vol. 19, Issue 1, pp. 123-146, January 2012
Number of pages: 48 Posted: 26 Jul 2009 Last Revised: 28 Feb 2012
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 321 (76,474)

Abstract:

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market sentiment, real estate prices, prices seasonality, behavioral economics

13.

Analysts and Sentiment: A Causality Study

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 35 Posted: 17 Jun 2011 Last Revised: 31 Oct 2016
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 275 (77,535)

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financial analysts, investor sentiment, market efficiency, behavioral finance

14.

Do Happy People Make Optimistic Investors?

Journal of Financial and Quantitative Analysis (JFQA), Volume 50, (2015), 145-168.
Number of pages: 37 Posted: 30 Dec 2015
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 273 (35,832)
Citation 3

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sentiment-creating factors, sentiments, individual investors, mood, seasonal affective disorder

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Forthcoming
Number of pages: 42 Posted: 19 Sep 2012 Last Revised: 23 Nov 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 253 (103,993)

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bivariate preferences, envy, altruism, expected utility burning, contingent money burning, stochastic dominance, decision-making, efficiency analysis

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Vol. 119, Issue 2, pp. 457-483, 2017
Number of pages: 27 Posted: 26 Mar 2017
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1 (595,470)
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Efficient set, expected money burning, social presence, stochastic dominance

16.

Sentiment, Irrationality and Market Efficiency: The Case of the 2010 FIFA World Cup

Journal of Behavioral and Experimental Economics, Volume 49, (2014), 35-43
Number of pages: 27 Posted: 06 Mar 2012 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 247 (84,959)

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market efficiency, investor sentiment, flow of information, behavioral finance, abnormal returns

17.

Trading Breaks and Asymmetric Information: The Option Markets

Journal of Banking and Finance, (2015), Forthcoming
Number of pages: 55 Posted: 24 Mar 2012 Last Revised: 12 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 156 (143,791)

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options market microstructure, asymmetric information, implied volatility, market efficiency

18.

Traditional Beta, Downside Risk Beta and Market Risk Premiums

Quarterly Review of Economics and Finance, Vol. 44, pp. 636-653, 2004
Number of pages: 27 Posted: 20 Sep 2004 Last Revised: 04 Mar 2012
Guy Kaplanski
Bar-Ilan University - Graduate School of Business Administration
Downloads 137 (137,501)
Citation 6

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19.

Investment Performance and Emotions: An International Study

Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 02 Apr 2017
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 43 (257,681)

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Investors’ economic rationality; Altruism; Friendship; Bivariate preference

20.

Past Returns and the Perceived Sharpe Ratio

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 39 Posted: 01 Dec 2014 Last Revised: 22 Nov 2015
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 5 (261,472)

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Expected return; Perceived risk; Perceived Sharpe ratio; stock return autocorrelations

21.

Portfolio Selection in a Two-Regime World

European Journal of Operational Research, volume 242, (2015), 514-524
Number of pages: 33 Posted: 07 May 2016
Moshe Levy and Guy Kaplanski
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Bar-Ilan University - Graduate School of Business Administration
Downloads 0 (161,918)

Abstract:

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Regimes, stochastic dominance, mean-variance, portfolio selection