Professor Avramov's research interests focus on asset pricing. He has researched topics such as predicting stock returns, deriving and implementing asset-pricing tests...
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Professor Avramov's research interests focus on asset pricing. He has researched topics such as predicting stock returns, deriving and implementing asset-pricing tests, understanding financial market anomalies empirically and theoretically, investing in mutual funds and hedge funds, financial econometrics, and stock-return autocorrelation, volatility, and liquidity. His work has been published in Journal of Financial Economics, Review of Financial Studies, Financial Analyst Journal, Journal of Business, Journal of Finance, and Journal of Financial Markets. Prior to pursuing his academic career, Professor Avramov served as an investment banker in Israel, leading fixed income and equity offerings, both in the private and public sectors.
Education
Phd; University of Pennsylvania 2000.
Publications
1. Avramov, Doron, 2002, "Stock Return Predictability and Model Uncertainty,” Journal of Financial Economics 64, 423- 458.
2. Avramov, Doron, 2004, "Stock Return Predictability and Asset Pricing Models,” The Review of Financial Studies 17, 699-738.
3. Avramov, Doron, and John Chao, 2006, "An exact Bayes Test of Asset Pricing Models with Application to International Markets,” Journal of Business 79, 293-323.
4. Avramov, Doron, and Tarun Chordia, 2006, "Asset Pricing Models and Financial Market Anomalies,” The Review of Financial Studies 19, 1001-1040.
5. Avramov, Doron, and Tarun Chordia, 2006, "Predicting Stock Returns,” Journal of Financial Economics 82, 387-415.
6. Avramov, Doron, Tarun Chordia, and Amit Goyal, 2006, "Liquidity and Autocorrelations in Individual Stock Returns,” Journal of Finance 61, 2365-2394.
7. Avramov, Doron, Tarun Chordia, and Amit Goyal, 2006, "The Impact of Trades on Daily Volatility,” The Review of Financial Studies 19, 1241-1277.
8. Avramov, Doron, and Russ Wermers, 2006, "Investing in Mutual Funds when Returns are Predictable,” Journal of Financial Economics 81, 339-377. The paper was covered in the New York Times and Herald Tribune.
9. Avramov, Doron, Gergana Jostova, and Alexander Philipov, 2007, "Understanding Corporate Credit Risk Changes,” Financial Analysts Journal 63, 90-105.
10. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2007, "Momentum and Credit Rating,” Journal of Finance 62, 2503-2520.
11. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2009, "Dispersion in Analysts' Earnings Forecasts and Credit Rating,” Journal of Financial Economics 91, 83-101.
12. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2009, "Credit Ratings and the Cross Section of Stock Returns,” Journal of Financial Markets 12, 469-499.
13. Avramov, Doron, and Guofu Zhou, 2010, "Bayesian Portfolio Analysis," Annual Review of Financial Economics 2, 25-47.
14. Avramov, Doron, Robert Kosowski, Narayan Naik, and Melvyn Teo, 2011, "Hedge Funds, Managerial Skill, and Macroeconomic Variables," Winner of the Best Paper Award at the European Finance Association, 2007, and winner of the best paper presented at the 2008 INQUIRE UK. The paper was covered in Barron's On Line. Journal of Financial Economics 99, 672-692.
15. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2011, Anomalies and Financial Distress. Winner of the Best Paper Award: FMA Asia. Forthcoming at Journal of Financial Economics.
16. Avramov, Doron, Laurent Barras, and Robert Kosowski, 2011, Understanding Hedge Fund Return Predictability: A Comprehensive Outlook Using a Fund by Fund analysis. Forthcoming at Journal of Financial and Quantitative Analysis.
17. Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2011, Sovereign Credit Risk. Forthcoming at The Review of Asset Pricing Studies.
Current Research
Avramov, Doron, John Chao, and Norman Swanson, 2012, Testing the Efficiency of a Portfolio when the Universe of Assets is Large.
Avramov, Doron, John Chao, and Russ Wermers, 2012, Investing in Mutual Funds when Skilled Managers are Difficult to Identify.
Avramov, Doron, and Scott Cederburg, 2012, Long Run Risk Implications for Long Horizon Asset Allocation.
Avramov, Doron, and Scott Cederburg, 2012, Long Horizon Investors, Long Run Beliefs, and Portfolio Choice.
Avramov, Doron, and Haim K. Levy, 2012, A Dynamic Equilibrium Model of Bubbles.
Honors And Awards
Inquire Europe, 2011
Q-group, 2011
ISF (Israeli Science Foundation), 2011
Dan Suesskind (former CFO of Teva Pharmaceutical) Award for Best Research Proposal, 2011 Best Paper Award, 2010, FMA Asia
The Marie Curie (European Union) IRG, 2010
Netspar (Network for Studies on Pension, Aging, and Retirement) Research Award, 2010
The Abe Gray Prize in Excellence, 2010
FDIC (Federal Deposit Insurance Corporation, USA) Center for Financial Research Award, 2009
Q-group, 2009
Best Summer Research Proposal, school-wide, University of Maryland, 2009
Inquire UK Grant, 2009
GRB Award, University of Maryland, 2009
BNP Paribas Hedge Fund Centre Grant (Singapore), 2009
Best Paper Award, INQUIRE UK, 2008
Best Summer Research Proposal school-wide, University of Maryland, 2008
Inquire UK Grant, 2007
GRB Award, University of Maryland, 2007
Best Summer Research Proposal school-wide, University of Maryland, 2007
Best Paper Award, European Finance Association, 2007
Chicago Quantitative Alliance award for best paper competition, 2004, 2006
