Prof. Guy Kaplanski

Books

• “Introduction to Finance,” Kaplanski Guy and Haim Levy, 2008. Magnes Press – Hebrew University, Jerusalem (508 pages).

• “Solutions to Exams in Finance,” Kaplanski Guy, 1999, Academon, Jerusalem (300 pages).

Journal Papers

• Turning Adversity into Opportunity: Market Power, Public Policy, and Financial Markets Dynamics in Times of War,” Transportation Research Part A: Policy and Practice,  (2026), 203,104753. VIDEO

• “The Box Office as a Leading Investor Sentiment Indicator,” Finance Research Letters, (2025),85, (2025), 107990. VIDEO

• “Market Timing with Moving Average Distance: International Evidence,” Journal of International Financial Markets, Institutions and Money, 97, (2024), 102065 (with M. Abudy, Y. Mugerman).

• “The Race to Exploit Anomalies and the Cost of Slow Trading,” Journal of Financial Markets (2023), 62, 100754, 1-20.  VIDEO

• “Post-Fundamentals Price Drift in Capital Markets: A Regression Regularization Perspective,” Management Science, (2022), 68(10), 7658-7681. (w D. Avramov, A. Subrahmanyam) VIDEO

• “Moving average distance as a predictor of equity returns,” Review of Financial Economics (2021) 39, 127-145. (w D. Avramov, A. Subrahmanyam) VIDEO

• “Investment Performance and Emotions: An International Study,” Studies in Economics and Finance, (2019), Volume 36, 32-50.  (with H. Levy)

• “Talking Numbers: Technical versus Fundamental Investment Recommendations,” Journal of Banking and Finance, (2018), Volume 92, 100-114. (w D. Avramov, H. Levy) VIDEO

• "Analysts and Sentiment: A Causality Study," Quarterly Review of Economics and Finance 63, (2017), 315-327 (with H. Levy). VIDEO

• “Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences,” Scandinavian Journal of Economics, (2017), Volume 119, 457-483.  (with H. Levy)

• “Seasonality in Perceived Risk: A Sentiment Effect,” Quarterly Journal of Finance, (2017) , Volume 7, No. 1. 1-21 (with H. Levy).

• “Past Returns and the Perceived Sharpe Ratio,” Journal of Economic Behavior & Organization, (2016) , Volume 123, 149-167. (with H. Levy, C. Veld, Y. Veld-Merkoulova).

• “Do Happy People Make Optimistic Investors?,” Journal of Financial and Quantitative Analysis, (2015), Volume 50, 145-168. (with H. Levy, C. Veld, Y. Veld-Merkoulova).

• “Trading Breaks and Asymmetric Information: The Option Markets, ” Journal of Banking and Finance, (2015), Volume 58, September 2015, Pages 390–404. (with H. Levy).

• “Portfolio Selection in a Two-Regime World,” European Journal of Operational Research, (2015), Volume 242, 514-524. (with Moshe Levy)

• “Value-at-Risk Regulation and Asset Allocation: A Mean-Variance Analysis,” European Journal of Finance, (2015), Volume 21, Issue 3, 215-241. (with H. Levy)

• “Sentiment, Irrationality and Market Efficiency: The Case of the 2010 FIFA World Cup,” Journal of Behavioral and Experimental Economics, (2014), Volume 49, 35-43. (with H. Levy)

• “Real Estate Prices: Seasonality's Sentiment Effect,” Journal of Empirical Finance, (2012), Volume 19, Issue 1, 123-146. (with H. Levy) VIDEO

• “Executive Short-Term Incentive, Risk-Taking and Leverage-Neutral Incentive Scheme,” Annals of Financial Economics, (2012), Volume 7, Issue 1. (with H. Levy)

• “The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE),” Quantitative Finance, (2012), Volume 12, Issue 8, 1469-7688. (with H. Levy)

• “Sentiment and Stock Prices: The Case of Aviation Disasters,” Journal of Financial Economics, (2010), Volume 95, Issue 2, 174-201. (with H. Levy) VIDEO

• “Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market,” Journal of Financial and Quantitative Analysis, (2010), Volume 45, No. 2, 535-553. (with H. Levy) VIDEO

• “The Two-Parameter Long-Horizon Value-at-Risk,” Frontiers in Finance and Economics, (2010), Volume 7, Issue 1, 1-20. (with H. Levy)

• “Basel’s Value-at-Risk Capital Requirement Regulation: an Efficiency Analysis,” Journal of Banking and Finance, (2007), Volume 31, Issue 6, 1887-1906. (with H. Levy)

• “Analytical Value-at-Risk,” Journal of Risk, (2005), Volume 7, 2, 33-54.

• “Traditional Beta, Downside Risk Beta and Market Risk Premiums,” Quarterly Review of Economics and Finance,(2004). Volume 44, 5, 636-653.

• “VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey,” Journal of Risk, (2002), Volume 4, 3, 1-27. (with Y. Kroll)

• “A Comment on VaR Analytics: Portfolio Structure, Key Rate Convexities, and VaR Betas,” Journal of Portfolio Management, (2001), Volume 27, 3, 116-118. (with Y. Kroll)

   

   

  Papers in Books

• “Chapter 4. Cross-Sectional Anomalies: Statistical Phenomena or Free-lunch Opportunities,” Behavioral Finance: Beyond the Basics (2024), World Scientific Publishers.

• “Capital Adequacy Regulations: Time for Reconciliation", in Emma J. Fuchs and Finn Braun, Emerging Topics in Banking and Finance. Nova Science Publishers, Inc., New York, 2008, 133-150.

• In Jon Danielsson, The Value-at-Risk Reference: Key Issues in the Implementation for Market Risk, (eds.) Risk Books, London, 2007, 13-47.

• In P. Jorion, Innovation in Risk Management, (eds.) Risk Books, London, 2004, 3-34.