Dr. Guy Kaplanski
- “Sentiment and Stock Prices: The Case of Aviation Disasters,” Journal of Financial Economics, (2010), Volume 95, Issue 2, 174-201. (with H. Levy)
- “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).
- “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)
- “The Predictability of Equity Returns from Past Returns: A New Moving-Average-Based Perspective,” (2018) (w D. Avramov and A. Subrahmanyam)
Books as author
“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).
Papers in refereed journals
“Talking Numbers: Technical versus Fundamental Investment Recommendations,” Journal of Banking and Finance, (2018), Volume 92, 100-114. (w D. Avramov, H. Levy).
“Investment Performance and and Emotions: An International Study,” Studies in Economics and Finance, (2018), forthcoming. (with H. Levy)
“Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences,” Scandinavian Journal of Economics, (2017), Volume 119, 457–483. (with H. Levy)
“Analysts and Sentiment: A Causality Study,” Quarterly Review of Economics and Finance, (2017), Volume 63, 315-327. (with H. Levy).
“Seasonality in Perceived Risk: A Sentiment Effect,” Quarterly Journal of Finance, (2017) , Volume 7, No. 1. (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)
“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, 1283-1298. (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)
“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)
“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)
(“Best Analytical Research in Insurance”, Berliner and Tel-Aviv University)
“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)
(“Best Analytical Research in Insurance”, Berliner and Tel-Aviv University)
“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
“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.
Google Scholar: http://scholar.google.co.il/citations?user=qlvAeIMAAAAJ&hl=en
Social Science Research Network (SSRN) page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=274247
Options and Derivatives
International Finance (International Financial Markets)
Advance Financial Management
Seminar in Finance
- Mark Hulbert, Technicians vs. analysts in a CNBC stock-picking slapdown: Who wins? MarketWatch (Wall Street Journal), Sept 4, 2015
- Jacob Bettany, Guy Kaplanski talks Behavioural Economics and the impact of the World Cup on Stock Market Performance, Money Science, June 20, 2014.
- Mark Hulbert, Like sports? That may make you a worse investor. MarketWatch (Wall Street Journal), June 17, 2014.
- Abby Ellin, Envy Outweighs Greed in New Investment Study, ABC News, October 4, 2012.
- Margarita Rodríguez, El Super Bowl augura buenos tiempos financieros, BBC, February 2011.
- Peter Eickelberg, Do Happy People Make Optimistic Investors? (Digest Summary). CFA Digest, December 2015.
- RUSSELL LYNCH, Economic Analysis: Forget the Rugby World Cup - losing at football hurts stocks more, London Evening Standard , Thursday 8 October 2015.
- Studie zu Kaufempfehlungen, Fundamentale Aktienanalyse ist praktisch wertlos (Fundamental stock analysis is virtually worthless), Frankfurter Allgemeine Zeitung, September 9, 2015.
- Les gens heureux sont-ils des investisseurs optimistes ? Louis Bacheleir Institut, July 30, 2014.
- The FIFA World Cup and the Capital Market, The Marker Magazine (Hebrew), June 8 2010.
- Hagai Amit and Noam Bar, Gift for investors: Stocks tend to bounce right before holidays, Haaretzh (English), September 7, 2010.
- Elizpan Rosenberg, Did the Team Lose? The Stocks will Decline, YNET, October 31, 10.
- Savita Iyer-Ahrestani, Bad Days Mean Bad Investments for Clients, ThinkAdvisor Investment Advisor Magazine, December 21, 2015.
- Seasonality in Real Estate, Web Interview, Financim Capital Management Ltd., October, 2013.
- Financial Analysts and Sentiment, Web Interview, Financim Capital Management Ltd., July 2011.
- 作者 張曉, 中國股市恐難逃世界杯“魔咒 (China's stock market fear escape World Cup "curse")”, 路透新聞, June 3, 2014.
- Simon Thompson, A World Cup Winner, Investor Chronicle (Financial Times Magazine), May 14, 2010.
- Ray Turchansky, Trust Fundamentals with Investments. CALGARY HERALD, March 20, 2011.
- Jeremy Ghassemi, The World Cup and the U.S. Stock Market. FOXSPORTSNEWS on MSN.com, June 20, 2013.
- Eric Falkenstein, More Evidence that Envy Trumps Greed, Business Insider, October 2, 2012.
- Stocks Moves in World Cup, The Technical Analyst, June 2008, 42.
- Peter Sharkey, Cup Winners and Losers, The Aberdeen Press and Journal, June 9, 2010.
- Peter Sharkey, It will all End in Tears; Business of Sport, The Birmingham Post (England), June 10, 2010.
- William A. Trent, CFA Digest, May 2005, Vol. 35, No. 2: pp. 44-45.
- Ray Turchansky, Investors Prey to 'Mind over Market' Whims, Edmonton Journal. March 11, 2011.
- Charlie Thomas, Holidays: Good for the Soul, Bad for Risk Perception, Asset International’s Chief Investment Officers (aiCIO), September 03, 2013.
- Envy outweighs greed` in financial matters, Yahoo Finance News, October 5, 2012.
- Harry Geels: Duidelijk verband volatiliteit en seizoen, De Telegaaf, Financiële Telegraaf, May 7, 2008.
- Teh Hooi Ling, Markets Brace for World Cup Lull, The Business Times, Top Print Edition Stories, March 29, 2010.
- The Global Effect of FIFA World Cup on the Stock Market, Money Science, January 8, 2008.
- Thomas M. Anderson, Mental Wealth, Monocle, issue 40, volume 05, February 2011.
- Temas Relacionados, Mercados de valores son afectados por las patadas. Noticieros Televisa (Mexico television), 17. Jun. 2014
- Lissette Esquila, Cómo afecta la Copa del Mundo a los mercados financieros? Terra Networks (USA), 17. Jun. 2014.
- Situación intradía. Los bancos centrales lo calman todo. Ei - Estrategias de inversion
- Publicaciones Técnicas Profesionales, 17. Jun. 2014.
- It delights us to see others lose money, The Times of India, October 7, 2012.
- Michael Bow, Why the World Cup is so bad for stock markets, CityAM London's business newspaper, May 22, 2014.
- Chris Dillow, Why the World Cup matters, Investors chronicle, June 9, 2014.
- Thanh Sơn, Lời nguyền của các kỳ World Cup, Vietnam tribune, May 30, 2014.
- Bob Stokes, Stock Market Forecasts: Why You Should Consider Technical Analysis. Elliott Wave International, 08 Sep 2015.
- The CNBC Experiment: Technical Analysts VS Fundamentalists ? Financial Iceberg, September 8, 2015.
- von Joachim Goldberg, Unsterbliche Technische Analyse. DERGOLDBER Behavioral Blog, 11 Sep, 2015
- Boris Simonder, Academic Study: Stock-Picking Contest: FA vs. TA. Daily Speculations, September 4, 2015.
- Study: Fundamental analysis nearly “worthless”, Easy Trading Blog, September 9, 2015.
- “Fundamental equity research is practically worthless”. ARCHYDE.COM , September 9, 2015.
- 羅家聰,世界杯年見六絕 賽期持貨多虧損, hket.com (China), June 9, 2014.
- TRANG CHỦ , World Cup và những lời nguyền, Bongda moi.vn, June 10, 2014.
- Phạm Giang, Ronaldo có thoát lời nguyền đáng sợ nhất World Cup, VT NEWS, June 10, 2014.
- Kinh tế, Tại sao World Cup là “lời nguyền” với thị trường chứng khoán? BÁO ĐẤT VIỆT May 27, 2014.
- Quang Hải, Thà bị loại sớm, đừng làm á quân, CHUYÊN TRANG BÓNG ĐÁ TOÀN CẦU CỦA BÁO ĐẤT VIỆT
- Asgeir Nilsen, Sure tap i fotball-VM svir på børsen, NETTAVISION (Norway), June 11, 2014.
- Voetbal koning van de beursvloer, De TIJD, 17 February 2012 (Dutch).
- The Olympics, World Cup & World Markets, FinanceInterns, September 2, 2012.
- Jeroen Blokland, Dat wordt niks, deze zomer, IEXProfs, 3 May 2012.
- Evan Pickworth, Investors Fear Cup Effect, IAFRICA.COM, June 8, 2010.
- Soccer World Cup 2010 – US Stock Market Performance, iStockAnalyst, June 08, 2010.
- Yoga PS, Sepak Bola dan Bursa Efek, Masturbasi Intelektual, March 25, 2011.
- Existira alguna relación entre la bolsa de valores y el Futbol? Inversion Y Juego, February 3 2011.
- Happy People Make Terrible Traders, Stockopedia, May 24 2012 (republished in Yahoo Finance).
- Neal Boortz, Obama - Wealth Envy Warlord, WSB Radio, Nationally Syndicated Neal Boortz Show, April 10, 2013.
- A Smiling Trader is a Losing Trader, Mindful Money, June 6, 2012.
- Disasters and Investing, Empirical Finance Blog: Turning Academic Insight Into Investment Performance™, March 18, 2011.
- Richard Deaves, Aviation disasters, Mind over Market: Highlights from recent research in behavioral finance, January 21, 2011.
- Jackie Cameron, Money and friendship: We hate it when friends grow wealthy faster – investment experiment, Biznews.com Media Centre, May 10, 20001114.