Gergana Jostova

George Washington University - Department of Finance

Professor of Finance

2201 G St NW

Funger Hall, Suite 501

Washington, DC 20052

United States

http://business.gwu.edu/gergana-jostova

SCHOLARLY PAPERS

17

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19,388

SSRN CITATIONS
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Top 2,726

in Total Papers Citations

601

CROSSREF CITATIONS

58

Scholarly Papers (17)

1.
Downloads 2,033 (14,891)
Citation 102

Momentum in Corporate Bond Returns

Number of pages: 63 Posted: 02 Aug 2010 Last Revised: 08 Jan 2013
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 1,730 (18,863)
Citation 17

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momentum, credit risk, corporate bonds, TRACE, anomalies, market efficiency

Momentum in Corporate Bond Returns

Number of pages: 41 Posted: 04 Jun 2010 Last Revised: 14 Sep 2014
George Washington University - Department of Finance, University of Nebraska-Lincoln, George Mason University - Department of Finance and Investment Company Institute
Downloads 303 (185,698)
Citation 95

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Bond Marke, Price Momentum, Credit Risk

2.
Downloads 1,898 (16,585)
Citation 38

Momentum and Credit Rating

Number of pages: 28 Posted: 09 Jun 2005
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,898 (16,306)
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
Reichman University - 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

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Number of pages: 47 Posted: 08 Jan 2016 Last Revised: 11 Jan 2020
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance, Board of Governors of the Federal Reserve System and George Mason University - Department of Finance
Downloads 1,860 (16,863)
Citation 4

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Hedge funds, mutual funds, momentum, contrarian, anomalies, stock-picking skill

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Management Science, Forthcoming
Posted: 29 Jan 2020
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance, Board of Governors of the Federal Reserve System and George Mason University - Department of Finance

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Hedge Funds, Mutual Funds, Momentum, Performance

4.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,823 (17,707)
Citation 3

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

5.
Downloads 1,688 (19,758)
Citation 86

Anomalies and Financial Distress

Number of pages: 45 Posted: 21 Apr 2010 Last Revised: 04 Apr 2012
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,623 (20,816)
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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 65 (640,896)
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
Reichman University - 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
Reichman University - 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

6.

Determinants of Corporate Bond Trading: A Comprehensive Analysis

Number of pages: 36 Posted: 19 Jul 2007
Edith S. Hotchkiss and Gergana Jostova
Boston College - Carroll School of Management and George Washington University - Department of Finance
Downloads 1,619 (21,262)
Citation 27

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Institutional trading, liquidity, corporate bonds, NAIC

7.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,541 (22,986)
Citation 37

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credit risk effect, credit rating, asset-pricing 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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,202 (32,594)
Citation 54

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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
Reichman University - 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

9.
Downloads 1,029 (41,333)
Citation 3

Analyst Bias and Mispricing

7th Miami Behavioral Finance Conference 2016
Number of pages: 53 Posted: 02 Sep 2015 Last Revised: 29 Mar 2023
Mark Grinblatt, Gergana Jostova and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,014 (41,564)
Citation 2

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Analyst bias, credit risk, anomalies, market efficiency, behavioral

Analyst Bias and Mispricing

NBER Working Paper No. w31094
Number of pages: 53 Posted: 03 Apr 2023 Last Revised: 18 Jun 2023
Mark Grinblatt, Gergana Jostova and Alexander Philipov
University of California, Los Angeles (UCLA) - Finance Area, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 15 (1,039,373)
Citation 1
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10.
Downloads 1,012 (42,341)
Citation 23

Bayesian Analysis of Stochastic Betas

AFA 2005 Philadelphia Meetings, Forthcoming
Number of pages: 49 Posted: 26 Apr 2004
Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 1,012 (41,686)
Citation 23

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Stochastic beta, time-varying systematic risk, asset-pricing anomalies, hedging

Bayesian Analysis of Stochastic Betas

Journal of Financial and Quantitative Analysis, Vol. 40, No. 4, pp. 747-778, 2005
Posted: 08 Dec 2004
Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance and George Mason University - Department of Finance

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Stochastic betas, mean-reverting systematic risk, size effect, book-to-market effect

Predictability in Emerging Sovereign Debt Markets

Number of pages: 51 Posted: 11 Jul 2001
Gergana Jostova
George Washington University - Department of Finance
Downloads 882 (50,531)

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Predictability, credit risk, credit spreads, emerging debt markets, Brady bonds, efficiency

Predictability in Emerging Sovereign Debt Markets

Journal of Business 2006, Vol. 79, No. 2., p. 527-565
Posted: 23 Feb 2004
Gergana Jostova
George Washington University - Department of Finance

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predictability, credit risk, credit spreads, emerging debt markets, Brady bonds, inefficiency

12.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 818 (56,806)
Citation 3

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

13.

Strategic Behavior By Equity Lenders

Number of pages: 61 Posted: 20 May 2017 Last Revised: 27 Nov 2023
Brian J. Henderson, Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 660 (75,242)

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short sales, lending fees, private information, equity mispricing, market frictions

14.

The Social Media Risk Premium

Number of pages: 73 Posted: 29 Jan 2020 Last Revised: 16 May 2023
George Washington University - Department of Finance, George Washington University - Department of Finance, George Mason University - Department of Finance and George Washington University - School of Business - Department of Finance
Downloads 601 (84,537)

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Social media risk factor, cross-section of stocks and bonds, machine learning, Twitter.

15.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 365 (153,152)
Citation 5

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

16.
Downloads 357 (156,993)
Citation 9

The World Price of Credit Risk

Number of pages: 56 Posted: 27 Jun 2012 Last Revised: 15 Sep 2012
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 314 (178,751)
Citation 8

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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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance, George Washington University - Department of Finance and George Mason University - Department of Finance
Downloads 43 (778,631)
Citation 1

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17.

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
Reichman University - 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