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)

1. An Alternative Testable Form of Consumption CAPM.The Journal of Finance143, (March 1988), 61-70.
2. A Multiperiod Asset-Pricing Model with Unobservable Market Portfolio.The Journal of Finance143, (September 1988), 1015-1024.
3. Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information.The Financial Review26, (February 1991), 1-14.
4. Time-Varying Risk Premium in Forward Exchange Contracts and Deviations from PPP.Recent Developments in International Banking and Finance4, (1991), 177-202.
5. The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows.''Journal of Financial and Quantitative Analysis26, (June 1991), 223-231.
6. The Demand and Supply of Forward Exchange Contracts Under Incomplete Information.'' (with Gunter Dufey)The Journal of Economics and Business43, (November 1991), 339-352.
7. An Intertemporal Model of Asset Prices in a Markov Economy with Limiting Distribution.''The Review of Financial Studies5, (1992), 85-104.
8. 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.
9. 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.
10. 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.
11. Volatility and Nonfundamental Uncertainty in Exchange Rates.'' (with Mahnaz Mahdavi)Economic Inquiry, Vol. 34, (1996), 168-182.
12. International Convergence of Interest Rates.'' (with V. A. Nageswaran and Dolly Warotamasikkhadit).Global Finance JournalVol. 8 No 2, (1997), 240-256.
13. Recent Developments in International Asset Allocation and Currency Risk Management,  Journal of Alternative Investments.Vol. 1 No 1 (1998), 66-75.
14. 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.
15. The Effects of Deviations from Random Walk on Option Prices'' (with Thomas Henker),Derivatives Quarterly, Fall 1999, 49-59.
16. 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.
17. Understanding Hedge Fund Performance: Research Issues Revisited (Part I), (with T. Schneeweis and G. Martin),Journal of Alternative Investments, Winter 2002.
18. Understanding Hedge Fund Performance: Research Issues Revisited (Part II), (with T. Schneeweis and G. Martin),Journal of Alternative Investments, Spring 2003.
19. Performance Measurement Issues for Investors, (with T. Schneeweis and R. Spurgin), 2003,Fund of Hedge Funds,Sohail Jaffar (editor), Euromoney Institutional Investors Publications, London.
20. Hedge Fund Classification Methods, (with B. Gupta and A. Daglioglu), 2003, inHedge Fund Reader,Beard Books, Maryland.
21. Manager-Based Hedge Fund Indices: Do They Really Differ and Does it Matter?,The Monitor, Vol 18, No 4, August 2003, pp. 1-9.
22. 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.
23. Omega as a Measure of Performance, (With Tom Schneeweis and Raj Gupta),Journal of Performance Evaluation,2004.
24. 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.
25. 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