Foster School of Business
University of Washington
Box: 353226
Seattle, WA 98195-3226
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.
Featured Research
Smaller stocks diversify risk in increasingly vulnerable market
Avraham Kamara
- 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“Journal Article: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“Journal Article: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?“Journal Article: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“Journal Article:Kamara, A., & Young, L., (2018). Financial Management, Vol. 47(4), pp. 911-929.
- “The Structure of Information Release and the Factor Structure of Returns“Journal Article:Gilbert, T., Hrdlicka, C., & Kamara, A., (2018). Journal of Financial Economics, Vol. Vol. 127(3), pp. 546-566.
- “Horizon Pricing“Journal Article: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“Journal Article: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“Journal Article: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“Journal Article:Kamara, A., Lou, X., & Sadka, R., (2008). Journal of Financial Economics, Vol. 89(3), pp. 444-466.
- “The Nontradability Premium of Derivatives Contracts“Journal Article: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“Journal Article: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“Journal Article:Kamara, A., & Koski, J., (2001). Journal of Financial Markets, Vol. 4(2), pp. 163-184.
- “New Evidence on the Monday Seasonal in Stock Returns“Journal Article: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“Journal Article:Kamara, A., (1997). Journal of Finance, Vol. 52(4), pp. 1681-1694.
- “Daily and Intradaily Tests of European Put-Call Parity“Journal Article: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“Journal Article: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