Prof. Guy Kaplanski

Working papers

• “The Race to Exploit Anomalies and the Cost of Slow Trading” (2021)

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

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

• “Moving average distance as a predictor of equity returns,” Review of Financial Economics (2021) 39, 127-145. (w D. Avramov, A. Subrahmanyam)
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• “Talking Numbers: Technical versus Fundamental Investment Recommendations,” Journal of Banking and Finance, (2018), Volume 92, 100-114. (w D. Avramov, H. Levy)
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• “Investment Performance and Emotions: An International Study,” Studies in Economics and Finance, (2019), Volume 36, 32-50.  (with H. Levy)
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• “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)

• “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.

• “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)

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

• “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.

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

• “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)