IDEAS home Printed from https://ideas.repec.org/e/pre62.html
   My authors  Follow this author

Haim Reisman

(We have lost contact with this author. Please ask them to update the entry or send us the correct address or status for this person. Thank you.)

Personal Details

First Name:Haim
Middle Name:
Last Name:Reisman
Suffix:
RePEc Short-ID:pre62
The above email address does not seem to be valid anymore. Please ask Haim Reisman to update the entry or send us the correct address or status for this person. Thank you.
http://ie.technion.ac.il/reisman.phtml

Affiliation

William Davidson Faculty of Industrial Engineering and Management
Israel Institute of Technology (Technion)

Technion City, Israel
http://iew3.technion.ac.il/
RePEc:edi:fitecil (more details at EDIRC)

Research output

as
Jump to: Articles

Articles

  1. Haim Reisman, 2013. "The law of one accounting variable," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 317-322, January.
  2. Beni Lauterbach & Haim Reisman, 2004. "Keeping Up with the Joneses and the Home Bias," European Financial Management, European Financial Management Association, vol. 10(2), pages 225-234, June.
  3. David Feldman & Haim Reisman, 2003. "Simple Construction of the Efficient Frontier," European Financial Management, European Financial Management Association, vol. 9(2), pages 251-259, June.
  4. Haim Reisman, 2002. "Some comments on the APT," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 378-386.
  5. Haim Reisman, 2001. "Black and Scholes pricing and markets with transaction costs: An example," Finance and Stochastics, Springer, vol. 5(4), pages 549-555.
  6. Cheng‐Few Lee & Haim Reisman & Yusif Simaan, 1994. "A Note On The Generalized Multibeta Capm," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 67-68, January.
  7. Reisman, Haim, 1992. "Intertemporal Arbitrage Pricing Theory," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 105-122.
  8. Reisman, Haim, 1992. "Reference Variables, Factor Structure, and the Approximate Multibeta Representation," Journal of Finance, American Finance Association, vol. 47(4), pages 1303-1314, September.
  9. John, Kose & Reisman, Haim, 1991. "Fundamentals, Factor Structure, and Multibeta Models in Large Asset Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 1-10, March.
  10. Reisman, Haim, 1988. "A General Approach to the Arbitrage Pricing Theory (APT)," Econometrica, Econometric Society, vol. 56(2), pages 473-476, March.
  11. Mirman, Leonard J. & Reisman, Haim, 1988. "Price fluctuations when only prices reveal information," Economics Letters, Elsevier, vol. 27(4), pages 305-310.
  12. Mirman, Leonard J. & Reisman, Haim, 1984. "Price taking behavior and trading in options," Journal of Economic Theory, Elsevier, vol. 32(2), pages 377-383, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Beni Lauterbach & Haim Reisman, 2004. "Keeping Up with the Joneses and the Home Bias," European Financial Management, European Financial Management Association, vol. 10(2), pages 225-234, June.

    Cited by:

    1. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
    2. Haim Levy, 2020. "The Investment Home Bias with Peer Effect," JRFM, MDPI, vol. 13(5), pages 1-19, May.
    3. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    4. Martijn Boermans & Ian Cooper & Piet Sercu & Rosanne Vanpée, 2022. "Foreign bias in equity portfolios: Informational advantage or familiarity bias?," Working Papers 742, DNB.
    5. Cristiana Cerqueira Leal & Gilberto Loureiro & Manuel J. Rocha Armada, 2018. "Selling winners, buying losers: Mental decision rules of individual investors on their holdings," European Financial Management, European Financial Management Association, vol. 24(3), pages 362-386, June.
    6. Levy, Haim & Levy, Moshe, 2014. "The home bias is here to stay," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 29-40.
    7. Geoffrey J. Warren, 2010. "Equity home bias in Australian superannuation funds," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 69-93, April.
    8. Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
    9. Amadeu DaSilva & Mira Farka & Christos Giannikos, 2011. "Habit Formation in an Overlapping Generations Model with Borrowing Constraints," European Financial Management, European Financial Management Association, vol. 17(4), pages 705-725, September.
    10. Abdallah, Wissam & Goergen, Marc, 2008. "Does corporate control determine the cross-listing location?," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 183-199, June.
    11. Amadeu DaSilva & Mira Farka, 2017. "Retracted: Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion," European Financial Management, European Financial Management Association, vol. 23(4), pages 836-836, September.
    12. Nuno Fernandes & José Guedes, 2010. "Keeping Up with the Joneses: A Model and a Test of Collective Accounting Fraud," European Financial Management, European Financial Management Association, vol. 16(1), pages 72-93, January.
    13. Gomez, Juan-Pedro, 2007. "The impact of keeping up with the Joneses behavior on asset prices and portfolio choice," Finance Research Letters, Elsevier, vol. 4(2), pages 95-103, June.
    14. Amadeu DaSilva & Mira Farka, 2018. "Asset pricing puzzles in an OLG economy with generalized preference," European Financial Management, European Financial Management Association, vol. 24(3), pages 331-361, June.
    15. Levy, Moshe & Levy, Haim, 2015. "Keeping up with the Joneses and optimal diversification," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 29-38.

  2. David Feldman & Haim Reisman, 2003. "Simple Construction of the Efficient Frontier," European Financial Management, European Financial Management Association, vol. 9(2), pages 251-259, June.

    Cited by:

    1. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    2. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.
    3. Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
    4. Rambaud, Salvador Cruz & Pérez, José García & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2009. "Markowitz's model with Euclidean vector spaces," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1245-1248, August.
    5. Mihir Dash, 2018. "Modelling the Efficient Frontier: An Empirical Study in the Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(2), pages 83-94, May.
    6. Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.

  3. Reisman, Haim, 1992. "Intertemporal Arbitrage Pricing Theory," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 105-122.

    Cited by:

    1. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
    2. Tomas Björk & Bertil Näslund, 1998. "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, vol. 1(3), pages 361-387.
    3. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.

  4. Reisman, Haim, 1992. "Reference Variables, Factor Structure, and the Approximate Multibeta Representation," Journal of Finance, American Finance Association, vol. 47(4), pages 1303-1314, September.

    Cited by:

    1. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    2. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the structure of financial contagion: Econometric tests and Mercosur evidence," Journal of Applied Economics, Universidad del CEMA, vol. 17, pages 373-400, November.
    3. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    4. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
    5. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    6. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
    7. Jeng, Jau-Lian, 2008. "The existence theorem of approximate multibeta representation for multifactor pricing models with unobservable omitted variables: A technical note," Global Finance Journal, Elsevier, vol. 19(1), pages 11-18.
    8. Al-Najjar, Nabil I., 1998. "Factor Analysis and Arbitrage Pricing in Large Asset Economies," Journal of Economic Theory, Elsevier, vol. 78(2), pages 231-262, February.
    9. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).

  5. Reisman, Haim, 1988. "A General Approach to the Arbitrage Pricing Theory (APT)," Econometrica, Econometric Society, vol. 56(2), pages 473-476, March.

    Cited by:

    1. Khan, A. & Sun, Y., 2000. "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie Mathématique et Applications 2000.81, Université Panthéon-Sorbonne (Paris 1).
    2. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
    3. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July.
    4. Damir Filipovic & Paul Schneider, 2024. "Fundamental properties of linear factor models," Papers 2409.02521, arXiv.org, revised Oct 2024.
    5. Rinaldi, Francesca, 2009. "Endogenous incompleteness of financial markets: The role of ambiguity and ambiguity aversion," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 880-901, December.
    6. Khan, M. Ali & Sun, Yeneng, 2003. "Exact arbitrage, well-diversified portfolios and asset pricing in large markets," Journal of Economic Theory, Elsevier, vol. 110(2), pages 337-373, June.
    7. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation for Research in Economics, Yale University.
    8. Gabriel Frahm, 0. "Arbitrage Pricing Theory In Ergodic Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-28.
    9. Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.

  6. Mirman, Leonard J. & Reisman, Haim, 1988. "Price fluctuations when only prices reveal information," Economics Letters, Elsevier, vol. 27(4), pages 305-310.

    Cited by:

    1. Kraus, Alan & Smith, Maxwell, 1998. "Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs," Journal of Financial Markets, Elsevier, vol. 1(2), pages 151-174, August.
    2. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-1130, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Haim Reisman should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.