Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Mount Scopus

Jerusalem, 91905

Israel

http://pluto.huji.ac.il/~mshlevy/

Fordham University

140 West 62nd Street

New York, NY 10023

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 1,920

SSRN RANKINGS

Top 1,920

in Total Papers Downloads

29,620

SSRN CITATIONS
Rank 4,163

SSRN RANKINGS

Top 4,163

in Total Papers Citations

211

CROSSREF CITATIONS

224

Scholarly Papers (40)

1.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 7,006 (1,938)
Citation 6

Abstract:

Loading...

Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

2.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 3,245 (7,100)
Citation 13

Abstract:

Loading...

fundamental analysis; technical rules; market efficiency; market anomalies

3.

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 1,751 (18,851)
Citation 12

Abstract:

Loading...

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

4.

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 1,648 (20,709)
Citation 11

Abstract:

Loading...

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

5.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,612 (21,402)
Citation 2

Abstract:

Loading...

asset pricing, cumulative prospect theory, capital asset pricing model

6.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,096 (37,754)
Citation 32

Abstract:

Loading...

Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

7.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Thierry Post, Pim van Vliet and Haim Levy
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,024 (41,642)
Citation 20

Abstract:

Loading...

asset pricing, risk aversion, skewness preference, representative investor, three-moment model

8.
Downloads 998 (43,237)
Citation 3

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: 11 Dec 2019
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 782 (59,440)

Abstract:

Loading...

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 216 (260,636)

Abstract:

Loading...

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

9.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 870 (52,256)
Citation 6

Abstract:

Loading...

mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

10.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 786 (59,931)
Citation 37

Abstract:

Loading...

asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium.

11.

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 758 (62,938)
Citation 4

Abstract:

Loading...

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

12.

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 741 (64,887)
Citation 3

Abstract:

Loading...

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

13.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - McDonough School of Business, Fordham university and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 737 (65,336)
Citation 3

Abstract:

Loading...

idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

14.

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 683 (72,041)
Citation 2

Abstract:

Loading...

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

15.

Seasonality in Perceived Risk: A Sentiment Effect

Quarterly Journal of Finance, 2017, 7(1), 1650015:1-21.
Number of pages: 24 Posted: 08 Apr 2008 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 641 (78,068)
Citation 11

Abstract:

Loading...

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

16.

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 489 (109,270)
Citation 1

Abstract:

Loading...

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

17.

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 460 (117,529)

Abstract:

Loading...

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

18.

Behavioral Economics and Asset Pricing

Number of pages: 50 Posted: 18 Mar 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 428 (127,936)
Citation 1

Abstract:

Loading...

19.

Analysts and Sentiment: A Causality Study

Quarterly Review of Economics and Finance, Volume 63, February 2017, Pages 315-327
Number of pages: 35 Posted: 17 Jun 2011 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 419 (131,074)
Citation 2

Abstract:

Loading...

financial analysts, investor sentiment, market efficiency, behavioral finance

20.

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 410 (134,373)
Citation 1

Abstract:

Loading...

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

21.

Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences

The Review of Financial Studies, Vol. 18, No. 3, pp. 925-953, 2005, ERIM Report Series Reference No. ERS-2002-50-F&A
Number of pages: 53 Posted: 17 Aug 2002 Last Revised: 30 Aug 2012
Thierry Post and Haim Levy
Graduate School of Business of Nazarbayev University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 409 (134,740)
Citation 8

Abstract:

Loading...

Asset pricing, risk seeking, specification error, prospect theory, stochastic dominance

22.

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 390 (142,248)

Abstract:

Loading...

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

23.

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 300 (188,952)
Citation 2

Abstract:

Loading...

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

24.

Could Omega Ratio Perform Better than Sharpe Ratio?

Number of pages: 19 Posted: 21 Jun 2018 Last Revised: 26 Sep 2018
Beijing Normal University (BNU), Hebrew University of Jerusalem - Jerusalem School of Business Administration, Feng Chia University and Asia University, Department of Finance
Downloads 298 (190,322)
Citation 8

Abstract:

Loading...

stochastic dominance, omega ratio, utility

25.

The Benefits of Differential Variance-Based Constraints in Portfolio Optimization

European Journal of Operational Research, 2013
Number of pages: 31 Posted: 28 Apr 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 259 (219,406)
Citation 5

Abstract:

Loading...

mean-variance analysis, portfolio optimization, portfolio constraints, estimation error

26.

Trading Breaks and Asymmetric Information: The Option Markets

Journal of Banking and Finance, Vol. 58, 2015
Number of pages: 55 Posted: 24 Mar 2012 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 257 (221,147)

Abstract:

Loading...

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

27.

Stocks versus Bonds and the Investment Horizon

Number of pages: 40 Posted: 03 Oct 2019 Last Revised: 28 Jan 2020
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 229 (247,478)
Citation 1

Abstract:

Loading...

stocks versus bonds, investment horizon, First-degree Stochastic Dominance with a Riskless asset (FSDR)

28.

Prospect Theory and Utility Theory: Temporary Versus Permanent Attitude towards Risk

Number of pages: 47 Posted: 26 Jan 2013
Haim Levy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 215 (262,704)
Citation 1

Abstract:

Loading...

Utility Theory, Prospect Theory, value function, risk attitude

29.

The Cost of Diversification Over Time, and a Simple Way to Improve Target-Date Funds

Number of pages: 56 Posted: 21 Jul 2018 Last Revised: 29 Jan 2020
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 201 (279,417)

Abstract:

Loading...

diversification across time, diversification throughout time, lifecycle investing, target-date fund, glide-path, market timing, return chasing, stochastic dominance

30.

Past Returns and the Perceived Sharpe Ratio

Journal of Economic Behavior and Organization,(2016) , Volume 123, 149-167.
Number of pages: 39 Posted: 01 Dec 2014 Last Revised: 05 Feb 2018
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 172 (321,067)
Citation 3

Abstract:

Loading...

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

31.

Prospect Theory, Constant Relevant Risk Aversion, and the Investment Horizon

Number of pages: 59 Posted: 23 Oct 2017 Last Revised: 22 Apr 2019
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 170 (324,355)
Citation 7

Abstract:

Loading...

Prospect Theory, constant relative risk aversion, asset allocation, investment horizon, equity premium puzzle

32.

Why Does the Home Bias Persist?

Number of pages: 32 Posted: 29 Jun 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 164 (334,527)
Citation 3

Abstract:

Loading...

home-bias, international diversification, portfolio optimization, correlation

33.

Consistent Tests for Almost Stochastic Dominance

Number of pages: 11 Posted: 10 Apr 2015 Last Revised: 11 Apr 2015
Xu Guo, Haim Levy and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Asia University, Department of Finance
Downloads 150 (360,395)
Citation 3

Abstract:

Loading...

stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics

34.

What is the Economic Cost of the Investment Home Bias?

Number of pages: 33 Posted: 26 Oct 2013
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 145 (370,473)
Citation 4

Abstract:

Loading...

IHB-investment home bias, EHB-economic home bias

35.

Investment Performance and Emotions: An International Study

Studies in Economics and Finance, (2018), Volume 36, 32-50
Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 26 Sep 2021
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 136 (389,504)
Citation 2

Abstract:

Loading...

Investors' Economic Rationality, Altruism, Friendship, Bivariate Preference

36.

Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework

Management Science, Vol. 47, No. 8, pp. 1150-1159, August 2001
Number of pages: 10 Posted: 14 Jul 2007
Haim Levy, Ilan Guttman and Isabel Tkatch
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Leonard N. Stern School of Business, New York University and Georgia State University - J. Mack Robinson College of Business
Downloads 122 (423,324)

Abstract:

Loading...

Correlation Coefficient, Regression Coefficient (Beta), Time Interval

37.

Probability Dominance

INSEAD Working Paper No. 2018/49/DSC
Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 17 Oct 2018
Enrico Diecidue, Haim Levy and Moshe Levy
INSEAD – Decision Sciences, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 116 (439,582)
Citation 2

Abstract:

Loading...

probability dominance, regret aversion, risk aversion, prospect theory, stochastic dominance, winner-take-all

38.

More Possessions, More Worry

Fordham University Schools of Business Research Paper No. 2392530
Number of pages: 41 Posted: 09 Feb 2014 Last Revised: 03 Apr 2014
Haim Levy and Yusif Simaan
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Fordham University - Graduate School of Business
Downloads 85 (542,337)
Citation 2

Abstract:

Loading...

portfolio theory, estimation risk, CAPM, rational choice, optimization under estimation risk

39.

Aging Population, Retirement, and Risk Taking

Management Science, Vol. 62, No. 5, pp. 1415–1430, May 2016
Posted: 08 Oct 2013 Last Revised: 11 May 2016
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

Loading...

first-degree stochastic dominance; asymptotic stochastic dominance; almost stochastic dominance; maximum geometric mean; FSD violation area; life-cycle funds; prospect theory

40.

A Negative Equilibrium Interest Rate

Posted: 06 May 2003
Moshe Levy, Haim Levy and Avi Edry
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Abstract:

Loading...

Investment Theory: portfolio theory, Portfolio Management: asset allocation