Avraham Kamara

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

  • University of Washington - Michael G. Foster School of Business

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    • Tel: 206-543-0652
    • Fax: 206-221-6856
SCHOLARLY PAPERS

15

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19

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15

Scholarly Papers (15)

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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 1,362 (14,051)
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
Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun
Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 1,008 (22,111)
Citation 10

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3.

Horizon Pricing

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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
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
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 951 (23,667)
Citation 11

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asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
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 765 (32,734)
Citation 10

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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
Thomas Gilbert, Christopher M. Hrdlicka and Avraham Kamara
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 345 (89,186)
Citation 2

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Earnings Announcements, CAPM, Factor Models, SMB, HML

6.

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 171 (180,352)
Citation 1

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

7.

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

Number of pages: 51 Posted: 26 Sep 2019
Andrew L. Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun
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 129 (227,524)

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

8.

The Nontradability Premium of Derivatives Contracts

Journal of Business, Vol. 79, No. 5, September 2006
Number of pages: 48 Posted: 13 Jun 2005
Rafi (Rafael) Eldor, Shmuel Hauser, Michael Kahn and Avraham Kamara
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 (264,257)

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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 (282,584)
Citation 2

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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
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
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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