Details about Guy Kaplanski

Access statistics for papers by Guy Kaplanski.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pka1093

Working Papers

2005

1. Analytical Portfolio Value-at-Risk
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Analytical portfolio value-at-risk, Journal of Risk, Journal of Risk

2002

2. VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
   MPRA Paper, University Library of Munich, Germany View citations (12)

Journal Articles

2024

1. Market timing with moving average distance: International evidence
   Journal of International Financial Markets, Institutions and Money, 2024, 97, (C)

2023

2. The race to exploit anomalies and the cost of slow trading
   Journal of Financial Markets, 2023, 62, (C) View citations (1)

2022

3. Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective
   Management Science, 2022, 68, (10), 7658-7681 View citations (3)

2021

4. Moving average distance as a predictor of equity returns
   Review of Financial Economics, 2021, 39, (2), 127-145 View citations (1)

2019

5. Investment performance and emotions: an international study
   Studies in Economics and Finance, 2019, 36, (1), 32-50

2018

6. Talking Numbers: Technical versus fundamental investment recommendations
   Journal of Banking & Finance, 2018, 92, (C), 100-114 View citations (4)

2017

7. Analysts and sentiment: A causality study
   The Quarterly Review of Economics and Finance, 2017, 63, (C), 315-327 View citations (9)
8. Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences
   Scandinavian Journal of Economics, 2017, 119, (2), 457-483
9. Seasonality in Perceived Risk: A Sentiment Effect
   Quarterly Journal of Finance (QJF), 2017, 07, (01), 1-21 View citations (12)

2016

10. Past returns and the perceived Sharpe ratio
    Journal of Economic Behavior & Organization, 2016, 123, (C), 149-167 View citations (7)

2015

11. Do Happy People Make Optimistic Investors?
    Journal of Financial and Quantitative Analysis, 2015, 50, (1-2), 145-168 View citations (48)
12. Portfolio selection in a two-regime world
    European Journal of Operational Research, 2015, 242, (2), 514-524 View citations (11)
13. Trading breaks and asymmetric information: The option markets
    Journal of Banking & Finance, 2015, 58, (C), 390-404 View citations (3)
14. Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean-variance analysis
    The European Journal of Finance, 2015, 21, (3), 215-241 View citations (8)

2014

15. Sentiment, irrationality and market efficiency: The case of the 2010 FIFA World Cup
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2014, 49, (C), 35-43 View citations (8)

2012

16. EXECUTIVE SHORT-TERM INCENTIVE, RISK-TAKING AND LEVERAGE-NEUTRAL INCENTIVE SCHEME
    Annals of Financial Economics (AFE), 2012, 07, (01), 1-45 View citations (4)
17. Real estate prices: An international study of seasonality's sentiment effect
    Journal of Empirical Finance, 2012, 19, (1), 123-146 View citations (12)
18. The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)
    Quantitative Finance, 2012, 12, (8), 1283-1298 View citations (16)

2010

19. Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market
    Journal of Financial and Quantitative Analysis, 2010, 45, (2), 535-553 View citations (69)
20. Sentiment and stock prices: The case of aviation disasters
    Journal of Financial Economics, 2010, 95, (2), 174-201 View citations (218)
21. The Two-Parameter Long-Horizon Value-at-Risk
    Frontiers in Finance and Economics, 2010, 7, (1), 1-20

2007

22. Basel's value-at-risk capital requirement regulation: An efficiency analysis
    Journal of Banking & Finance, 2007, 31, (6), 1887-1906 View citations (12)

2004

23. Traditional beta, downside risk beta and market risk premiums
    The Quarterly Review of Economics and Finance, 2004, 44, (5), 636-653 View citations (5)

Undated

24. Analytical portfolio value-at-risk
    Journal of Risk
    See also Working Paper Analytical Portfolio Value-at-Risk, MPRA Paper (2005) (2005)
25. VAR risk measures vs traditional risk measures: an analysis and survey
    Journal of Risk

Chapters

2024

1. Cross-Sectional Anomalies: Statistical Phenomena or Free-Lunch Opportunities
   Chapter 4 in Behavioral Finance Beyond the Basics, 2024, pp 65-90