Avraham Kamara

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

SCHOLARLY PAPERS

13

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CITATIONS
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SSRN RANKINGS

Top 15,400

in Total Papers Citations

23

Scholarly Papers (13)

1.
Downloads 782 ( 24,422)

Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 28 Dec 2016
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 782 (24,023)

Abstract:

asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

Abstract:

asset pricing model, investment horizon, factors, characteristics

2.

The Systematic Risk of Idiosyncratic Volatility

Number of pages: 45 Posted: 05 Aug 2011 Last Revised: 13 Apr 2014
Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 680 (21,498)
Citation 1

Abstract:

3.

The Divergence of Liquidity Commonality in the Cross-Section of Stocks

Number of pages: 52 Posted: 09 Nov 2006
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 668 (27,297)
Citation 20

Abstract:

systematic liquidity, systematic risk, institutional investors, diversification

4.

Operating Leverage, Profitability and Capital Structure

CICF 2013 Shanghai, China, European Financial Association 2013 Annual meeting, Cambridge, UK
Number of pages: 54 Posted: 31 Jan 2013 Last Revised: 06 Sep 2016
Zhiyao Chen, Jarrad Harford and Avraham Kamara
The Chinese University of Hong Kong (CUHK) - Department of Finance, University of Washington and University of Washington - Michael G. Foster School of Business
Downloads 186 (43,938)
Citation 1

Abstract:

operating leverage, capital structure, financial leverage, trade-off theory,profitability, default risk

5.

Market Design and the Efficiency of a Stock Market Under Liquidity Stress

Number of pages: 66 Posted: 21 Mar 2009
Shmuel Hauser, Itzhak Shurki and Avraham Kamara
Ben-Gurion University of the Negev - School of Management, Israel Securities Authority and University of Washington - Michael G. Foster School of Business
Downloads 157 (149,596)

Abstract:

Market design, preopening and opening prices, informational efficiency, options expirations, manipulation, international equity market

6.

The Nontradability Premium of Derivatives Contracts

Journal of Business, Vol. 79, No. 5, September 2006
Number of pages: 48 Posted: 13 Jun 2005
Interdisciplinary Center (IDC) Herzliya - Arison School of Business, Ben-Gurion University of the Negev - School of Management, Independent and University of Washington - Michael G. Foster School of Business
Downloads 100 (214,391)

Abstract:

7.

Has the US Stock Market Become More Vulnerable Over Time?

Number of pages: 24 Posted: 02 Nov 2012
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 53 (252,353)
Citation 1

Abstract:

Systematic risk, Systematic liquidity, Diversi

8.

Short-Horizon Beta or Long-Horizon Alpha?

Number of pages: 20 Posted: 29 Dec 2016
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 0 (42,743)

Abstract:

9.

The Structure of Information Release and the Factor Structure of Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 74 Posted: 12 May 2016 Last Revised: 14 Feb 2017
University of Washington - Department of Finance and Business Economics, University of Washington - Michael G. Foster School of Business and University of Washington - Michael G. Foster School of Business
Downloads 0 (137,757)

Abstract:

Earnings Announcements, CAPM, Factor Models, SMB, HML

10.

Has the U.S. Stock Market Become More Vulnerable Over Time?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

Abstract:

Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios

11.

Conditional Time-Varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market

Journal of Money, Credit, and Banking, Forthcoming
Posted: 16 Aug 2005
Alan C. Hess and Avraham Kamara
University of Washington - Michael G. Foster School of Business and University of Washington - Michael G. Foster School of Business

Abstract:

Term Structure, Treasury bill forward and futures rates, time varying conditional term premium

12.

Daily and Intradaily Tests of European Put-Call Parity

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol 30 No 4, December 1995
Posted: 24 Aug 1998
Avraham Kamara and Thomas W. Miller Jr.
University of Washington - Michael G. Foster School of Business and Mississippi State University - College of Business

Abstract:

13.

New Evidence on the Monday Seasonal in Stock Returns

J. OF BUSINESS, Vol. 70 No. 1, January 1997
Posted: 26 Mar 1997
Avraham Kamara
University of Washington - Michael G. Foster School of Business

Abstract: