Avraham Kamara

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

SCHOLARLY PAPERS

15

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5,139

SSRN CITATIONS
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Top 20,976

in Total Papers Citations

28

CROSSREF CITATIONS

15

Scholarly Papers (15)

1.

Operating Leverage, Profitability and Capital Structure

CICF 2013 Shanghai, China; EFA 2013, Cambridge UK; 24th CFEA (Kenan-Flagler Business School)
Number of pages: 41 Posted: 31 Jan 2013 Last Revised: 22 Oct 2017
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 1,458 (13,586)
Citation 6

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

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 1,036 (22,784)
Citation 11

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3.
Downloads 966 ( 25,235)

Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 21 Jun 2018
University of Washington - Michael G. Foster School of Business, Northwestern University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 966 (24,829)
Citation 18

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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, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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asset pricing model, investment horizon, factors, characteristics

4.

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

Number of pages: 52 Posted: 09 Nov 2006 Last Revised: 19 May 2018
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 774 (34,494)
Citation 11

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systematic liquidity, systematic risk, institutional investors, diversification

5.

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 358 (91,020)
Citation 1

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Earnings Announcements, CAPM, Factor Models, SMB, HML

6.

The Cross-Section of Volatility and Expected Returns: Then and Now

Number of pages: 51 Posted: 26 Sep 2019
University of Denver - Daniels College of Business, Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 175 (187,237)

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Volatility risk, idiosyncratic risk, cross-section of returns, limits to arbitrage

7.

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 172 (190,077)

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

8.

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 105 (279,365)

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9.

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 95 (298,493)
Citation 3

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Systematic risk, Systematic liquidity, Diversi

10.

Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity

Financial Management, Forthcoming
Posted: 27 Dec 2017
Avraham Kamara and Lance A. Young
University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics

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Market Portfolio Composition, Cost of Equity, Capm, Fama-French 3-Factor Model

11.

Short-Horizon Beta or Long-Horizon Alpha?

Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016 Last Revised: 02 Nov 2018
University of Washington - Michael G. Foster School of Business, Northwestern University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors

12.

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

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

13.

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

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

14.

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
University of Washington - Michael G. Foster School of Business and Mississippi State University - College of Business

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15.

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

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