Avraham Kamara

Office: 526

PACCAR Hall

Phone: 206-543-0652

Box: 353226

Trading costs in futures and options markets are often much smaller than in cash markets. In addition, futures and options positions are not exposed to counter-party credit risk. These differences, together with leverage, explain the success of financial futures and options markets even in the presence of very liquid equity and fixed income markets.

Professor of Finance and Business Economics

Joshua Green Family Endowed Professor

Education

PhD Columbia University (1986)

MPhil Columbia University (1982)

MSSc Hebrew University of Jerusalem (1979)

BA Hebrew University of Jerusalem (1976)

Academic Expertise

asset pricing

commodity markets

derivatives

financial markets

risk management

Positions Held

At the University of Washington since 1984

Visiting Professor at the Technion of Israel, 1998-1999

Visiting Professor at University of California Los Angeles, 1997-1998

Taught at Columbia University, 1983-1984

Selected Publications

“The Cross-Section of Volatility and Returns: Then and Now“
Siegel, S., Detzel, A., Duarte, J., Kamara, A., and Sun, C., (2023). The Critical Finance Review, Vol. 12(1-4), pp. 9-56.

“Operating Leverage, Profitability, and Capital Structure“
Chen, Z., Harford, J., & Kamara, A., (2019). Journal of Financial and Quantitative Analysis., Vol. 54(1), pp. 369-392.

“Short-Horizon Beta or Long-Horizon Alpha?“
Kamara, A., Korajczyk, R., Lou, X., & Sadka, R.a, (2018). Journal of Portfolio Management, Vol. 45(1), pp. 96-105.

“Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity“
Kamara, A., & Young, L., (2018). Financial Management, Vol. 47(4), pp. 911-929.

“The Structure of Information Release and the Factor Structure of Returns“
Gilbert, T., Hrdlicka, C., & Kamara, A., (2018). Journal of Financial Economics, Vol. Vol. 127(3), pp. 546-566.

“Horizon Pricing“
Kamara, A., Korajczyk, R., Lou, X., & Sadka, R., (2017). Journal of Financial and Quantitative Analysis, Vol. 51(6), pp. 1769-1793.

“The Effects of Randomizing the Opening Time on the Performance of a Stock Market under Stress“
Hauser, S., Kamara, A., & Shurki, I., (2012). Journal of Financial Markets, Vol. 15(4), pp. 392-415.

“Has the U.S. Stock Market Become More Vulnerable Over Time“
Kamara, A., Lou, X., & Sadka, R., (2010). Financial Analysts Journal, Vol. 66(1), pp. 41-52.

“The Divergence of Liquidity Commonality in the Cross-section of Stocks“
Kamara, A., Lou, X., & Sadka, R., (2008). Journal of Financial Economics, Vol. 89(3), pp. 444-466.

“The Nontradability Premium of Derivatives Contracts“
Eldor, R., Hauser , S., Kahn, M., & Kamara, A., (2006). Journal of Business, Vol. 79(4), pp. 2067-2097.

“Conditional Time-varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market“
Hess, A., & Kamara, A., (2005). Journal of Money, Credit and Banking, Vol. 37(4), pp. 679-698.

“Volatility, Autocorrelations, and Trading Activity After Stock Splits“
Kamara, A., & Koski, J., (2001). Journal of Financial Markets, Vol. 4(2), pp. 163-184.

“New Evidence on the Monday Seasonal in Stock Returns“
Kamara, A., (1997). Journal of Business, Vol. 70(1), pp. 63-84.

“The Relation between Default-free Interest Rates and Economic Growth is Stronger than you Think“
Kamara, A., (1997). Journal of Finance, Vol. 52(4), pp. 1681-1694.

“Daily and Intradaily Tests of European Put-Call Parity“
Kamara, A., & Miller, T., (1995). Journal of Financial and Quantitative Analysis, Vol. 30(4), pp. 519-539.

“Production flexibility, stochastic separation, hedging, and futures prices“
Kamara, A., (1993). Review of Financial Studies, Vol. 6(4), pp. 935-957.

Consulting

Advisor, Darigold, Inc.

Advisor, Dechert LLP

Advisor, Safeco Corporation

Advisor, Stoel Rives LLP

Honors and Awards

Global EMBA Excellence in Teaching Award, 2008

MBA Professor of the Quarter, Spring, 1994

Outstanding Contribution to Undergraduate Education, 1995-1996

Academic Service

Associate editor of the Journal of Financial and Quantitative Analysis, 1996-2005

Chairman of the Department of Finance and Business Economics, 2002-2006