Prof. Hossein Kazemi
Isenberg School of Management
University of Massachusetts-Amherst
Professor of Finance
Email: Kazemi@isenberg.umass.edu
Qualifications
1987 Ph.D., University of Michigan, International Finance
1980 M.Sc., Eastern Michigan University, Accounting
1977 B.A., NIOC College of Accounting & Finance, Accounting & Finance
Publications (selected)
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An Alternative Testable Form of Consumption CAPM.The Journal of Finance143, (March 1988), 61-70.
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A Multiperiod Asset-Pricing Model with Unobservable Market Portfolio.The Journal of Finance143, (September 1988), 1015-1024.
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Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information.The Financial Review26, (February 1991), 1-14.
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Time-Varying Risk Premium in Forward Exchange Contracts and Deviations from PPP.Recent Developments in International Banking and Finance4, (1991), 177-202.
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The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows.''Journal of Financial and Quantitative Analysis26, (June 1991), 223-231.
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The Demand and Supply of Forward Exchange Contracts Under Incomplete Information.'' (with Gunter Dufey)The Journal of Economics and Business43, (November 1991), 339-352.
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An Intertemporal Model of Asset Prices in a Markov Economy with Limiting Distribution.''The Review of Financial Studies5, (1992), 85-104.
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The Effects of International Integration of Financial Markets on Interest Rates.'' (with Mahnaz Mahdavi),Journal of International Financial Markets, Institutions, and MoneyVol. 2, (1992), 71-88.
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Return Generating of Long-Term Bonds and Measurement of Risk: Theory and Empirical Tests.'' (with Nikolas Milonas and Prasad Nanisetty),The Review of Quantitative Finance and Accounting, Vol. 5, (1995), 231-241.
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Mean-Reversion, Random Walk and Jumps in Real Exchange Rates.'' (with V. Anantha Nageswaran and Mahnaz Mahdavi),The International Journal of FinanceVol. 7 (1995), 1040-1062.
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Volatility and Nonfundamental Uncertainty in Exchange Rates.'' (with Mahnaz Mahdavi)Economic Inquiry, Vol. 34, (1996), 168-182.
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International Convergence of Interest Rates.'' (with V. A. Nageswaran and Dolly Warotamasikkhadit).Global Finance JournalVol. 8 No 2, (1997), 240-256.
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Recent Developments in International Asset Allocation and Currency Risk Management, Journal of Alternative Investments.Vol. 1 No 1 (1998), 66-75.
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Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model.'' (with Cynthia Campbell and Prasad Nanisetty)The Review of Financial Studies,Fall 1999, 630-642.
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The Effects of Deviations from Random Walk on Option Prices'' (with Thomas Henker),Derivatives Quarterly, Fall 1999, 49-59.
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Revealing the Market Price of Risk from the Short-Term Rate Processes, (With G. Georgiev and M. Mahdavi),Studies in Economics and Finance,Autumn 2002, 19-39.
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Understanding Hedge Fund Performance: Research Issues Revisited (Part I), (with T. Schneeweis and G. Martin),Journal of Alternative Investments, Winter 2002.
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Understanding Hedge Fund Performance: Research Issues Revisited (Part II), (with T. Schneeweis and G. Martin),Journal of Alternative Investments, Spring 2003.
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Performance Measurement Issues for Investors, (with T. Schneeweis and R. Spurgin), 2003,Fund of Hedge Funds,Sohail Jaffar (editor), Euromoney Institutional Investors Publications, London.
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Hedge Fund Classification Methods, (with B. Gupta and A. Daglioglu), 2003, inHedge Fund Reader,Beard Books, Maryland.
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Manager-Based Hedge Fund Indices: Do They Really Differ and Does it Matter?,The Monitor, Vol 18, No 4, August 2003, pp. 1-9.
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Estimates of the Short-Term Process in an Arbitrage-Free Framework (With Brett Salazar and Mahnaz Mahdavi),International Journal of Theoretical and Applied Finance,2004.
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Omega as a Measure of Performance, (With Tom Schneeweis and Raj Gupta),Journal of Performance Evaluation,2004.
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The Behavior of Emerging Closed-End Country Funds and Investment Trusts Premia During the Asian Financial Crisis of 1997-1998, (with Urbi Garay),The International Journal of Finance, Volume 15, No. 2, 2004.
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The Impact of Leverage on Hedge Fund Risk and Return, (with Schneeweis, Martin, and Karavas),Journal of Alternative Investments,Spring 2005.
Profile Details
http://people.umass.edu/~kazemi/resume3.htm