Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 11,759

SSRN RANKINGS

Top 11,759

in Total Papers Downloads

7,694

SSRN CITATIONS
Rank 15,596

SSRN RANKINGS

Top 15,596

in Total Papers Citations

17

CROSSREF CITATIONS

76

Scholarly Papers (23)

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 2,378 (11,639)

Abstract:

Loading...

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 850 (54,012)
Citation 5

Abstract:

Loading...

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 - Department of Finance and Economics and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 781 (60,575)
Citation 8

Abstract:

Loading...

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 691 (71,077)
Citation 5

Abstract:

Loading...

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 524 (100,632)

Abstract:

Loading...

hedge fund performance, alpha financial credit crisis

6.

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 505 (105,298)
Citation 1

Abstract:

Loading...

7.

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 417 (132,016)
Citation 2

Abstract:

Loading...

8.

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 351 (160,087)
Citation 1

Abstract:

Loading...

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

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 333 (169,406)

Abstract:

Loading...

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 223 (254,147)

Abstract:

Loading...

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 184 (302,822)
Citation 2

Abstract:

Loading...

12.

Hedged Mutual Funds and Competition for Sources of Alpha

Financial Analysts Journal, 2022, 78(3): 70-93. DOI: 10.1080/0015198X.2022.2065870
Number of pages: 64 Posted: 11 May 2021 Last Revised: 02 Aug 2022
Asli Eksi and Hossein B. Kazemi
Salisbury University - Perdue School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 141 (379,183)
Citation 2

Abstract:

Loading...

Hedged Mutual Funds, Hedge Funds, Arbitrage Opportunities, Competition

13.

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 - Department of Finance and Economics and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 113 (448,913)

Abstract:

Loading...

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

14.

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 108 (463,945)
Citation 1

Abstract:

Loading...

hedge fund, fund flow, performance, incentive, risk

15.

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 95 (506,607)

Abstract:

Loading...

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

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

Abstract:

Loading...

Implied Volatility, Stock Picking, Skew, Option Volume

17.

Collaring the Cube: Protection Options for a QQQ ETF Portfolio

Posted: 22 May 2019
Edward Szado and Hossein B. Kazemi
Providence College and University of Massachusetts at Amherst - Isenberg School of Management

Abstract:

Loading...

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?

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

Abstract:

Loading...

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

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...