Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Mount Scopus

Jerusalem, 91905

Israel

http://pluto.huji.ac.il/~mshlevy/

Fordham University

140 West 62nd Street

New York, NY 10023

United States

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 1,619

SSRN RANKINGS

Top 1,619

in Total Papers Downloads

24,214

SSRN CITATIONS
Rank 3,650

SSRN RANKINGS

Top 3,650

in Total Papers Citations

100

CROSSREF CITATIONS

274

Scholarly Papers (44)

1.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 3,849 (3,389)
Citation 3

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Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

2.

Talking Numbers: Technical versus Fundamental Investment Recommendations

Journal of Banking and Finance, Volume 92, 2018, 100-114
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 08 Jun 2018
Doron Avramov, Guy Kaplanski and Haim Levy
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,887 (5,524)
Citation 8

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fundamental analysis; technical rules; market efficiency; market anomalies

3.

Sentiment and Stock Prices: The Case of Aviation Disasters

Journal of Financial Economics (JFE), Vol. 95, No. 2, pp. 174-201, February 2010
Number of pages: 53 Posted: 25 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,499 (15,861)
Citation 12

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Mood Event Effect, value stock returns, investors' mood, behavioral finance, disasters, abnormal returns

4.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,488 (16,070)
Citation 2

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asset pricing, cumulative prospect theory, capital asset pricing model

5.

Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, pp. 535-553, April 2010
Number of pages: 29 Posted: 27 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,421 (17,213)
Citation 4

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exploitable predictable effect, mood event effect, market sentiment, behavioral finance, abnormal returns

6.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Thierry Post, Pim van Vliet and Haim Levy
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 953 (30,924)
Citation 9

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asset pricing, risk aversion, skewness preference, representative investor, three-moment model

7.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 917 (32,724)
Citation 16

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Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

8.
Downloads 882 ( 34,415)
Citation 3

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 07 May 2003 Last Revised: 11 Dec 2019
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 726 (44,333)

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Risk analysis, Risk management, Value-at-Risk, Basel regulations, Square Root Rule

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 16 Apr 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 156 (240,320)

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Risk Analysis, Risk Management, Value-at-Risk, Basel Regulations, Square Root Rule

9.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 768 (41,687)

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mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 740 (43,211)
Citation 37

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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20 Posted: 17 Mar 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Banking and Finance
Downloads 0
Citation 6
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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium

11.

Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis

Journal of Banking & Finance, Vol. 31, No. 6, pp. 1887-1906, June 2007
Number of pages: 39 Posted: 20 Sep 2004 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 724 (45,108)
Citation 3

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Value-at-Risk, VaR, Basel, regulations, Capital Requirement regulations

12.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Fordham university and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 700 (47,178)
Citation 3

Abstract:

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idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

13.

Do Happy People Make Optimistic Investors?

Journal of Financial and Quantitative Analysis (JFQA), Volume 50, (2015), 145-168.
Number of pages: 37 Posted: 30 Dec 2015
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 688 (48,324)
Citation 3

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sentiment-creating factors, sentiments, individual investors, mood, seasonal affective disorder

14.

The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE)

Quantitative Finance, Vol. 12, Issue 8, pp. 1283-1298, August 2012
Number of pages: 34 Posted: 10 Nov 2009 Last Revised: 04 Apr 2014
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 631 (54,146)
Citation 2

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risk sentiment index (RSI), behavioral finance, perceived risk, market anomalies, market efficiency

15.

Seasonality in Perceived Risk: A Sentiment Effect

Quarterly Journal of Finance, 2017, 7(1), 1650015:1-21.
Number of pages: 24 Posted: 08 Apr 2008 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 583 (59,791)
Citation 10

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volatility risk premium, market seasonality effects, perceived risk, investor sentiment, market efficiency

16.

Value-at-Risk Capital Requirement Regulation, Risk Taking and Asset Allocation: A Mean-Variance Analysis

European Journal of Finance, Volume 21, Issue 3, (2015), 215-241.
Number of pages: 47 Posted: 07 Jan 2008 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 455 (81,242)

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Risk Management, Capital Requirement Regulation, Value-at-Risk, Basel Regulations, Regulated Capital Market Line

17.

Executive Short-Term Incentive, Risk-Taking and Leverage-Neutral Incentive Scheme

Annals of Financial Economics (AFE), Vol. 7, Issue 1, pp. 1250003-1:45, 2012
Number of pages: 64 Posted: 22 Jul 2009 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 422 (88,786)

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Executive compensation, leverage-neutral bonus scheme, bonus cap, risk-taking

18.

Behavioral Economics and Asset Pricing

Number of pages: 50 Posted: 18 Mar 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 388 (97,815)
Citation 1

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19.

Analysts and Sentiment: A Causality Study

Quarterly Review of Economics and Finance, Volume 63, February 2017, Pages 315-327
Number of pages: 35 Posted: 17 Jun 2011 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 377 (101,095)
Citation 1

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financial analysts, investor sentiment, market efficiency, behavioral finance

20.

Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences

The Review of Financial Studies, Vol. 18, No. 3, pp. 925-953, 2005, ERIM Report Series Reference No. ERS-2002-50-F&A
Number of pages: 53 Posted: 17 Aug 2002 Last Revised: 30 Aug 2012
Thierry Post and Haim Levy
Graduate School of Business of Nazarbayev University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 377 (101,095)
Citation 8

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Asset pricing, risk seeking, specification error, prospect theory, stochastic dominance

21.

Real Estate Prices: An International Study of Seasonality’s Sentiment Effect

Journal of Empirical Finance, Vol. 19, Issue 1, pp. 123-146, January 2012
Number of pages: 48 Posted: 26 Jul 2009 Last Revised: 28 Feb 2012
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 363 (105,460)

Abstract:

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market sentiment, real estate prices, prices seasonality, behavioral economics

22.

Sentiment, Irrationality and Market Efficiency: The Case of the 2010 FIFA World Cup

Journal of Behavioral and Experimental Economics, Volume 49, (2014), 35-43
Number of pages: 27 Posted: 06 Mar 2012 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 342 (113,080)

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market efficiency, investor sentiment, flow of information, behavioral finance, abnormal returns

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Forthcoming
Number of pages: 42 Posted: 19 Sep 2012 Last Revised: 23 Nov 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 272 (143,166)
Citation 2

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bivariate preferences, envy, altruism, expected utility burning, contingent money burning, stochastic dominance, decision-making, efficiency analysis

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Vol. 119, Issue 2, pp. 457-483, 2017
Number of pages: 27 Posted: 26 Mar 2017
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1 (837,405)
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Efficient set, expected money burning, social presence, stochastic dominance

24.

Could Omega Ratio Perform Better than Sharpe Ratio?

Number of pages: 19 Posted: 21 Jun 2018 Last Revised: 26 Sep 2018
Beijing Normal University (BNU), Hebrew University of Jerusalem - Jerusalem School of Business Administration, Feng Chia University and Asia University, Department of Finance
Downloads 223 (174,764)
Citation 6

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stochastic dominance, omega ratio, utility

25.

Option Pricing with the Logistic Return Distribution

Number of pages: 30 Posted: 24 Sep 2014
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 222 (175,506)
Citation 1

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option pricing, distribution of returns, logistic distribution, holding period.

26.

Trading Breaks and Asymmetric Information: The Option Markets

Journal of Banking and Finance, Vol. 58, 2015
Number of pages: 55 Posted: 24 Mar 2012 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 210 (184,856)

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options market microstructure, asymmetric information, implied volatility, market efficiency

27.

Prospect Theory and Utility Theory: Temporary Versus Permanent Attitude towards Risk

Number of pages: 47 Posted: 26 Jan 2013
Haim Levy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 191 (201,594)
Citation 1

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Utility Theory, Prospect Theory, value function, risk attitude

28.

The Benefits of Differential Variance-Based Constraints in Portfolio Optimization

European Journal of Operational Research, 2013
Number of pages: 31 Posted: 28 Apr 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 190 (204,460)
Citation 5

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mean-variance analysis, portfolio optimization, portfolio constraints, estimation error

29.

Under-Diversification and the Size Effect

Number of pages: 44 Posted: 23 May 2019
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 135 (269,349)

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Size anomaly, small firm effect, segmented-market model, Generalized CAPM, generalized beta

30.

The Cost of Diversification Over Time, and a Simple Way to Improve Target-Date Funds

Number of pages: 56 Posted: 21 Jul 2018 Last Revised: 29 Jan 2020
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 135 (269,349)

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diversification across time, diversification throughout time, lifecycle investing, target-date fund, glide-path, market timing, return chasing, stochastic dominance

31.

Past Returns and the Perceived Sharpe Ratio

Journal of Economic Behavior and Organization,(2016) , Volume 123, 149-167.
Number of pages: 39 Posted: 01 Dec 2014 Last Revised: 05 Feb 2018
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 132 (274,028)
Citation 3

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Expected return; Perceived risk; Perceived Sharpe ratio; stock return autocorrelations

32.

Why Does the Home Bias Persist?

Number of pages: 32 Posted: 29 Jun 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 128 (280,321)
Citation 3

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home-bias, international diversification, portfolio optimization, correlation

33.

Stocks versus Bonds and the Investment Horizon

Number of pages: 40 Posted: 03 Oct 2019 Last Revised: 28 Jan 2020
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 125 (285,460)
Citation 1

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stocks versus bonds, investment horizon, First-degree Stochastic Dominance with a Riskless asset (FSDR)

34.

Prospect Theory, Constant Relevant Risk Aversion, and the Investment Horizon

Number of pages: 59 Posted: 23 Oct 2017 Last Revised: 22 Apr 2019
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 124 (287,119)
Citation 6

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Prospect Theory, constant relative risk aversion, asset allocation, investment horizon, equity premium puzzle

35.

The Marginal Cost of Capital: A Portfolio Theory Perspective

Number of pages: 45 Posted: 25 Feb 2016
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 121 (292,256)

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Average cost of capital, marginal cost of capital, portfolio theory, CAPM, GCAPM, segmented market model, seasoned equity offering, IPO, stock repurchase

36.

Investment Performance and Emotions: An International Study

Studies in Economics and Finance, (2018), Volume 36, 32-50
Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 26 Sep 2021
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 111 (310,628)
Citation 1

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Investors' Economic Rationality, Altruism, Friendship, Bivariate Preference

37.

What is the Economic Cost of the Investment Home Bias?

Number of pages: 33 Posted: 26 Oct 2013
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 111 (310,628)
Citation 1

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IHB-investment home bias, EHB-economic home bias

38.

Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework

Management Science, Vol. 47, No. 8, pp. 1150-1159, August 2001
Number of pages: 10 Posted: 14 Jul 2007
Haim Levy, Ilan Guttman and Isabel Tkatch
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Leonard N. Stern School of Business, New York University and Georgia State University - J. Mack Robinson College of Business
Downloads 95 (344,414)

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Correlation Coefficient, Regression Coefficient (Beta), Time Interval

39.

Consistent Tests for Almost Stochastic Dominance

Number of pages: 11 Posted: 10 Apr 2015 Last Revised: 11 Apr 2015
Xu Guo, Haim Levy and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Asia University, Department of Finance
Downloads 94 (346,695)
Citation 3

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stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics

40.

Probability Dominance

INSEAD Working Paper No. 2018/49/DSC
Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 17 Oct 2018
Enrico Diecidue, Haim Levy and Moshe Levy
INSEAD – Decision Sciences, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 73 (403,101)

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probability dominance, regret aversion, risk aversion, prospect theory, stochastic dominance, winner-take-all

41.

More Possessions, More Worry

Fordham University Schools of Business Research Paper No. 2392530
Number of pages: 41 Posted: 09 Feb 2014 Last Revised: 03 Apr 2014
Haim Levy and Yusif Simaan
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Fordham University - Graduate School of Business
Downloads 63 (435,804)
Citation 2

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portfolio theory, estimation risk, CAPM, rational choice, optimization under estimation risk

42.

The CAPM is Alive and Well: A Review and Synthesis

European Financial Management, Vol. 16, No. 1, pp. 43-71, January 2010
Number of pages: 29 Posted: 28 Dec 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 4 (771,785)
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43.

Aging Population, Retirement, and Risk Taking

Management Science, Vol. 62, No. 5, pp. 1415–1430, May 2016
Posted: 08 Oct 2013 Last Revised: 11 May 2016
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration

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first-degree stochastic dominance; asymptotic stochastic dominance; almost stochastic dominance; maximum geometric mean; FSD violation area; life-cycle funds; prospect theory

44.

A Negative Equilibrium Interest Rate

Posted: 06 May 2003
Moshe Levy, Haim Levy and Avi Edry
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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Investment Theory: portfolio theory, Portfolio Management: asset allocation