Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

22

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CITATIONS
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81

Scholarly Papers (22)

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 2,341 (5,492)

Abstract:

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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 754 (32,086)
Citation 4

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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
Number of pages: 47 Posted: 29 Oct 2009 Last Revised: 14 Nov 2010
Iuliana Ismailescu and Hossein B. Kazemi
Pace University - Lubin School of Business and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 684 (36,630)
Citation 2

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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 656 (38,688)
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
University of Massachusetts Amherst - Department of Finance, University of Massachusetts at Amherst - Isenberg School of Management and Providence College
Downloads 483 (57,538)

Abstract:

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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 381 (76,549)
Citation 1

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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 307 (97,208)

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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 (482,543)
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8.

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
University of Massachusetts Amherst - Department of Finance and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 333 (89,414)

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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 305 (98,409)

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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 and Hossein B. Kazemi
Cornell University and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 194 (155,372)

Abstract:

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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 156 (188,163)

Abstract:

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12.

Is There Any Contagion in Emerging Debt Markets?

Pace University Finance Research Paper
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 80 (303,575)

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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 74 (317,674)

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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 66 (338,158)

Abstract:

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

15.

Option Informed Stock Picking

Number of pages: 23 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
Downloads 54 (373,366)

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Implied Volatility, Stock Picking, Skew, Option Volume

16.

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

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

17.

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

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

18.

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:

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

19.

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

20.

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

21.

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

22.

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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