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

39

DOWNLOADS
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Top 1,323

in Total Papers Downloads

17,614

CITATIONS
Rank 3,639

SSRN RANKINGS

Top 3,639

in Total Papers Citations

149

Scholarly Papers (39)

1.

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 1,221 (10,911)
Citation 8

Abstract:

asset pricing, cumulative prospect theory, capital asset pricing model

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 (12,509)
Citation 4

Abstract:

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 (4,564)

Abstract:

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 (14,192)
Citation 17

Abstract:

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

5.

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
Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 893 (19,946)
Citation 28

Abstract:

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

6.

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 - Robert Emmett McDonough School of Business, Sabanci University, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 889 (18,077)
Citation 3

Abstract:

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

7.
Downloads 849 ( 21,471)
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 711 (27,239)
Citation 2

Abstract:

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 138 (172,092)
Citation 2

Abstract:

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

8.

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 - Robert Emmett McDonough School of Business, Sabanci University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 752 (23,578)
Citation 18

Abstract:

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

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 691 (28,323)
Citation 2

Abstract:

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

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

European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20 Posted: 17 Mar 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Banking and Finance
Downloads 0
Citation 2

Abstract:

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

10.

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 (28,333)
Citation 4

Abstract:

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

11.

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 - Robert Emmett McDonough School of Business, Fordham University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 624 (31,445)
Citation 4

Abstract:

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

12.

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 - Robert Emmett McDonough School of Business, Sabanci University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 561 (33,680)
Citation 7

Abstract:

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

13.

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 (35,743)
Citation 1

Abstract:

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

14.

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 (42,779)
Citation 5

Abstract:

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

15.

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 (54,409)

Abstract:

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

16.

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 (57,544)
Citation 1

Abstract:

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

17.

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
Koc University - Graduate School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 359 (66,222)
Citation 31

Abstract:

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

18.

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 (72,235)

Abstract:

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

19.

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 286 (66,884)
Citation 1

Abstract:

20.

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 (75,354)

Abstract:

financial analysts, investor sentiment, market efficiency, behavioral finance

21.

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 (36,097)
Citation 3

Abstract:

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 248 (99,503)

Abstract:

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 (564,137)

Abstract:

Efficient set, expected money burning, social presence, stochastic dominance

23.

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 (82,758)

Abstract:

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

24.

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 (140,111)

Abstract:

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

25.

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 141 (154,047)

Abstract:

Utility Theory, Prospect Theory, value function, risk attitude

26.

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 117 (170,658)

Abstract:

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

27.

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 87 (201,564)

Abstract:

home-bias, international diversification, portfolio optimization, correlation

28.

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, New York University (NYU) - Leonard N. Stern School of Business and Georgia State University - J. Mack Robinson College of Business
Downloads 83 (239,391)
Citation 3

Abstract:

Correlation Coefficient, Regression Coefficient (Beta), Time Interval

29.

Option Pricing with the Logistic Return Distribution

Number of pages: 30 Posted: 24 Sep 2014
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 70 (209,844)

Abstract:

option pricing, distribution of returns, logistic distribution, holding period.

30.

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 66 (255,972)

Abstract:

IHB-investment home bias, EHB-economic home bias

31.

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 (252,214)

Abstract:

Investors’ economic rationality; Altruism; Friendship; Bivariate preference

32.

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 37 (316,527)

Abstract:

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

33.

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:

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

34.

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 20 (356,477)

Abstract:

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

35.

First Degree Stochastic Dominance Violations: Decision Weights and Bounded Rationality

The Economic Journal, Vol. 118, Issue 528, pp. 759-774, April 2008
Number of pages: 16 Posted: 27 Mar 2008
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 8 (498,916)
Citation 1

Abstract:

36.

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 (257,933)

Abstract:

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

37.

The CAPM is Alive and Well: A Review and Synthesis

European Financial Management, Vol. 16, No. 1, pp. 43-71, January 2010
Number of pages: 29 Posted: 28 Dec 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 4 (516,655)
Citation 6

Abstract:

38.

The Marginal Cost of Capital: A Portfolio Theory Perspective

Number of pages: 45 Posted: 25 Feb 2016
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 0 (266,168)

Abstract:

Average cost of capital, marginal cost of capital, portfolio theory, CAPM, GCAPM, segmented market model, seasoned equity offering, IPO, stock repurchase

39.

A Negative Equilibrium Interest Rate

Financial Analysts Journal, Vol. 59, No. 2, March/April 2003
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:

Investment Theory: portfolio theory, Portfolio Management: asset allocation