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Browsing School of Hotel Administration by Author "Kadan, Ohad"
Now showing items 1-5 of 5
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A Forward-Looking Factor Model for Volatility: Estimation and Implications for Predicting Disasters
(2017-10-01)We show that any factor structure for stock returns can be naturally translated into a factor structure for return volatility. We use this structure to propose a methodology for estimating forward-looking variances and ... -
Generalized Systematic Risk
(2014-10-01)We generalize the concept of .systematic risk to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different ... -
Performance Evaluation with High Moments and Disaster Risk
(2014-07-01)Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance ... -
Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes
(2015-12-07)We study how short-lived private information affects trading strategies and liquidity provision. Our empirical identification rests on information acquisition before analyst recommendations are publically announced. ... -
Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes
(2017-05-24)We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information ...
