Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

  • University of Massachusetts at Amherst - Isenberg School of Management

SCHOLARLY PAPERS

23

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16

CROSSREF CITATIONS

95

Scholarly Papers (23)

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1.

A New Approach to the Valuation of Interest Rate Derivatives: Arrow-Debreu Prices Implicit in the Term Structure of Interest Rates

Number of pages: 31 Posted: 12 Oct 1998
Padideh Jalali and Hossein B. Kazemi
University of Massachusetts Amherst - Isenberg School of Management and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 2,348 (7,616)

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2.

Market Timing of CTAs: An Examination of Systematic CTAs vs. Discretionary CTAs

Number of pages: 40 Posted: 17 Mar 2008 Last Revised: 26 Jun 2009
Hossein B. Kazemi and Ying Li
University of Massachusetts at Amherst - Isenberg School of Management and University of Washington, Bothell - Business
Downloads 778 (40,417)
Citation 6

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CTA, discretionary, systematic, market timing, volatility timing

3.

The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes

Journal of Banking and Finance, Vol. 34, pp. 2861-2873, 2010, Pace University Finance Research Paper No. 2009/09
Number of pages: 47 Posted: 29 Oct 2009 Last Revised: 04 Sep 2019
Iuliana Ismailescu and Hossein B. Kazemi
Pace University - Lubin School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 714 (45,445)
Citation 8

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CDS markets, CDS spreads, credit rating events, emerging markets, spillover effects

4.

Hedge Funds: Stale Prices Revisited

Number of pages: 26 Posted: 26 Apr 2004
Hossein B. Kazemi and Thomas Schneeweis
University of Massachusetts at Amherst - Isenberg School of Management and University of Massachusetts Amherst - Isenberg School of Management
Downloads 667 (49,673)
Citation 5

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Hedge Funds, Stale Prices, Data Smoothing

5.

Redefining Hedge Fund Alpha and Risk Exposures after the Financial Crisis

Number of pages: 26 Posted: 12 Nov 2009 Last Revised: 29 Nov 2009
Raj Gupta, Hossein B. Kazemi and Edward Szado
American College of Healthcare Trustees, University of Massachusetts at Amherst - Isenberg School of Management and Providence College
Downloads 493 (72,776)

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hedge fund performance, alpha financial credit crisis

6.

The Impact of Deviations from Random Walk in Security Prices on Option Prices

Number of pages: 20 Posted: 09 Apr 1998
Thomas Henker and Hossein B. Kazemi
Bond University and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 386 (97,199)
Citation 1

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7.

Factor Exposures and Hedge Fund Operational Risk: The Case of Amaranth

Number of pages: 21 Posted: 19 Nov 2009
Raj Gupta and Hossein B. Kazemi
American College of Healthcare Trustees and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 374 (100,774)
Citation 1

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8.

Conditional Properties of Hedge Funds: Evidence from Daily Returns

Downloads 349 (108,867)
Citation 20

Conditional Properties of Hedge Funds: Evidence from Daily Returns

Number of pages: 29 Posted: 12 Jan 2007
Ying Li and Hossein B. Kazemi
University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 320 (119,050)
Citation 1

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Hedge funds, contagion, conditional volatility, skewness, market timing

Conditional Properties of Hedge Funds: Evidence from Daily Returns

European Financial Management, Vol. 13, No. 2, pp. 211-238, March 2007
Number of pages: 28 Posted: 04 Mar 2007
Ying Li and Hossein B. Kazemi
University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 29 (598,291)
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9.

Compensation Option, Managerial Incentives and Risk-Shifting in Hedge Funds

Number of pages: 37 Posted: 17 Jul 2007 Last Revised: 11 Nov 2007
Ying Li and Hossein B. Kazemi
University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 313 (122,619)

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Risk-taking, managerial incentives, hedge funds

10.

Bid Ask Spread in a Competitive Market With Institutions and Order Size

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 21 Posted: 21 Jul 2007 Last Revised: 25 Apr 2011
Malay K. Dey, Malay K. Dey and Hossein B. Kazemi
Cornell UniversityQuinnipiac University - Lender School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 200 (191,190)

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Information asymmetry, Sequential equilibrium, Order size, Security price, Bid-ask spread, Institutions

11.

An Academic Response to the 'Hedge Fund Mirage'

Number of pages: 19 Posted: 06 Mar 2013
Thomas Schneeweis and Hossein B. Kazemi
University of Massachusetts Amherst - Isenberg School of Management and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 165 (226,102)
Citation 2

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12.

Is There Any Contagion in Emerging Debt Markets?

Pace University Finance Research Paper No. 2009/10
Posted: 30 Oct 2009
Iuliana Ismailescu and Hossein B. Kazemi
Pace University - Lubin School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 85 (365,074)

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contagion, credit events, emerging markets, sovereign debt, volatility spillover

13.

Duration of Poor Performance, Fund Flows and Risk-Shifting by Hedge Fund Managers

Number of pages: 37 Posted: 04 Jan 2015
Ying Li, A. Steven Holland and Hossein B. Kazemi
University of Washington, Bothell - Business, University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 83 (370,284)
Citation 1

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hedge fund, fund flow, performance, incentive, risk

14.

Issues in Hedge Fund Analysis: What a Difference a Day, Week, Month Makes

Number of pages: 49 Posted: 24 Jan 2013
Thomas Schneeweis, Hossein B. Kazemi and Edward Szado
University of Massachusetts Amherst - Isenberg School of Management, University of Massachusetts at Amherst - Isenberg School of Management and Providence College
Downloads 69 (411,080)

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Hedge Fund, Bias, Biases, Database, Daily, Weekly, Monthly Returns, Performance

15.

Hedged Mutual Funds and Competition for Sources of Alpha

Number of pages: 44 Posted: 11 May 2021 Last Revised: 16 Aug 2021
Asli Eksi and Hossein B. Kazemi
Salisbury University - Perdue School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 36 (543,915)

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Hedged Mutual Funds, Hedge Funds, Arbitrage Opportunities, Competition

16.

Option Informed Stock Picking

http://jai.pm-research.com/content/21/1/48
Posted: 06 Jun 2019
Edward Szado, Hossein B. Kazemi and Thomas Schneeweis
Providence College, University of Massachusetts at Amherst - Isenberg School of Management and University of Massachusetts Amherst - Isenberg School of Management

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Implied Volatility, Stock Picking, Skew, Option Volume

17.

Collaring the Cube: Protection Options for a QQQ ETF Portfolio

https://doi.org/10.3905/JAI.2009.11.4.024
Posted: 22 May 2019
Edward Szado and Hossein B. Kazemi
Providence College and University of Massachusetts at Amherst - Isenberg School of Management

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collar, options, qqq, qqqq, etf, strategy, portfolio, protection, insurance, trading, option, exchange, traded, fund, funds

18.

Hedge Fund Database 'Deconstruction': Are Hedge Fund Databases Half Full or Half Empty?

https://doi.org/10.3905/jai.2011.14.2.065
Posted: 22 May 2019
Thomas Schneeweis, Hossein B. Kazemi and Edward Szado
University of Massachusetts Amherst - Isenberg School of Management, University of Massachusetts at Amherst - Isenberg School of Management and Providence College

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Hedge Fund Database, Biases, HFR, CISDM, TASS, Backfill, Survivorship, Duplication, Performance

19.

Hedge Fund Return-Based Style Estimation: A Review on Comparison Hedge Fund Indices

https://doi.org/10.3905/jai.2012.15.2.024
Posted: 22 May 2019
Thomas Schneeweis, Hossein B. Kazemi and Edward Szado
University of Massachusetts Amherst - Isenberg School of Management, University of Massachusetts at Amherst - Isenberg School of Management and Providence College

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Hedge Funds, Database, Bias, TASS, CISDM, HFR

20.

Do Hedge Funds Conduct Mid-Year Risk Shifting?

Posted: 18 Mar 2011
Ying Li and Hossein B. Kazemi
University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management

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Hedge funds, risk, performance, incentive

21.

Managerial Incentives and Shift of Risk-Taking in Hedge Funds

Posted: 23 Mar 2009 Last Revised: 27 May 2009
Hossein B. Kazemi and Ying Li
University of Massachusetts at Amherst - Isenberg School of Management and University of Washington, Bothell - Business

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managerial incentive, risk-taking, performance

22.

Incentives from Compensation Option and Risk-Taking - Hedge Funds

Posted: 23 Mar 2007
Ying Li and Hossein B. Kazemi
University of Washington, Bothell - Business and University of Massachusetts at Amherst - Isenberg School of Management

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managerial incentive, option

23.

Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model

Review of Financial Studies, Vol. 12, Issue 3
Posted: 19 May 1999
Cynthia J. Campbell, Hossein B. Kazemi and Prasad Nanisetty
Iowa State University - Department of Accounting and Finance, University of Massachusetts at Amherst - Isenberg School of Management and Prudential Securities

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