Hossein B. Kazemi, PhD, CFA

Department of Finance & Operations Management

Isenberg School of Management

University of Massachusetts, Amherst, MA 01003

Tel: 413-545-5629, Fax: 413-545-3858, kazemi@isenberg.umass.edu

EDUCATION

EXPERIENCE

PROFESSIONAL ACTIVITIES

PRIMARY AREAS OF RESEARCH & CONSULTING

BOOKS

PUBLISHED ARTICLES & BOOK CHAPTERS

  1. "An Alternative Testable Form of Consumption CAPM." The Journal of Finance 143, (March 1988), 61-70.

  2. "A Multiperiod Asset-Pricing Model with Unobservable Market Portfolio." The Journal of Finance 143, (September 1988), 1015-1024.

  3. "Dispersion of Beliefs, Asset Prices, and Noisy Aggregation of Information." The Financial Review 26, (February 1991), 1-14.

  4. "Time-Varying Risk Premium in Forward Exchange Contracts and Deviations from PPP." Recent Developments in International Banking and Finance 4, (1991), 177-202.

  5. ``The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows.'' Journal of Financial and Quantitative Analysis 26, (June 1991), 223-231.

  6. ``The Demand and Supply of Forward Exchange Contracts Under Incomplete Information.'' (with Gunter Dufey) The Journal of Economics and Business 43, (November 1991), 339-352.

  7. ``An Intertemporal Model of Asset Prices in a Markov Economy with Limiting Distribution.'' The Review of Financial Studies 5, (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 Money Vol. 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 Finance Vol. 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 Journal Vol. 8 No 2, (1997), 240-256.

  13. "Recent Developments in International Asset Allocation and Currency Risk Management," $\QTR{em}{The}$ 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, in Hedge 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 Close-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.

  26. "Private Placement of Life Insurance," (With J.C. Bouges), Journal of Wealth Management, Winter 2005.

  27. "Conditional Performance of Hedge Funds: Evidence From Daily Data," (With Ying Li), European Financial Management, Vol 13, March 2007.

  28. "Factor Exposures and Hedge Fund Operational Risk: The Case of Amaranth," (With Bhaswar Gupta), Alternative Investment Quarterly, Vol 23, September 2007.

  29. "International Financial Integration and the Performance of International Mutual Funds" with Saira Latifi, The International Journal of Finance, Vol 19, No. 4, 2007, pages 4514-4532.

  30. "Bid-Ask Spread in a Competitive Market with Institutions and Order size," (With Malay Dey), Review of Quantitative Finance & Accounting, Vol 30, May 2008, p 433-453.

  31. "Momentum in Asset Returns: Are Commodity Returns a Special Case?", (T. Schneeweis and R. Spurgin), Journal of Alternative Investments, Spring 2008, 23-36.

  32. "Replication and Benchmarking of Hedge Funds,"(with Feng Tu and Ying Li), Journal of Alternative Investments, Fall 2008, Vol. 11, No. 2, pp. 40-59.

  33. "Abnormal Return Patterns and Hedge Fund Failures," (With Raj Gupta), Risk Management of Financial Institutions, December 2008.

  34. "Market Timing of CTAs: An Examination of Systematic and Discretionary CTAs," (With Ying Li), Journal of Futures Markets, Volume 29, Issue 11, Date: November 2009, pp. 1067-1099.

  35. "SDF Based Test of International Financial Integration," (With Saira Latif), Global Journal of Finance and Economics, Volume 6, No. 1, 2009, pp. 1-18.

  36. "Collaring the Cube: Protection Options for a QQQ ETF Portfolio," (With Ed Szado), The Journal of Alternative Investments, Spring 2009, pp. 24-42

  37. "Reaction of Credit Default Swap Markets to Changes in Credit Rating of Sovereign Debt Emerging Economies," (With I. Ismalicu), Journal of Banking and Finance, 34, 2010, 2861-2873.

  38. "Credit Derivatives," in CAIA Knowledge Series Level II: Current and Integrated Topics, Institutional Investors, 2011.

  39. "Asset Class and Strategy Investment Tracking Based Approaches," (With G.B. Crowder and T. Schneeweis), The Journal of Alternative Investments, Winter 2011, 81-101.

  40. "Hedge Fund Database Deconstruction, (With Schneeweis & Szado), Journal of Alternative Investments, Fall 2011, No 2, 65-88

  41. "Is There Any Contagion in Emerging Debt Markets?" (With I. Ismailescu), in Financial Contagion: The Viral Threat to the Wealth of Nations Ed. Robert Kolb, Wiley and Sons, 2011.

  42. "An Introduction to Risk Parity," Review of Alternative Investments, September 2011. Also published in CAIA Knowledge Series Level II: Core and Integrated Topics, Institutional Investors, 2012

  43. "Setting the Benchmark: Spotlight on Private Equity," (With Szado, Zeltser and Swamy), The Review of Alternative Investments, Forthcoming March 2012.

  44. "Contagion or Interdependence in Emerging Debt Markets?", (with Ismailescu), Banking and Finance Review, Forthcoming 2012.

FUNDED RESEARCH

  1. "Conditional Asset Allocation," Funded with a grant from Evaluation Associates Inc, 1999, $10,000.

  2. "Hedge Funds: Absolute or Relative Returns?" (with T. Schneeweis) Funded with a grant from Family Office Association, 2002, $10,000.

  3. "Hedge Funds and Transparency," (with T. Schneeweis) Funded with a grant from Alternative Investment Management Association, 2003, $15,000.

  4. "Eurex Derivative Products in Alternative Investments: The Case for Hedge Funds," (with T. Schneeweis and V. Karavas), Funded with a grant from European Exchange (EUREX), 2003, 25,000.

SELECTED PRESENTATIONS AT PROFESSIONAL MEETINGS

  1. "Testing for Capital Market Integration Using Pricing Kernel Approach", (with Urbi Garay) 1998 Annual Meetings of Financial Management Association

  2. "Asian Crisis and the Behavior of Closed-end Funds," (with Urbi Garay) 1999 Annual Meetings of Financial Management Association

  3. "Using the Term Structure Data to Estimate the Pricing Kernel," (with Jay Jung) 1999 Annual Meetings of Financial Management Association

  4. "Revealing the Market Price of Risk from the Short-Term Rate Processes, 1999 Annual Meetings of Financial Management Association.

  5. "Performance Measurement of Hedge Funds," Institutional Investors Conference, 2001.

  6. "Asset Allocation and Alternative Investments," Pension and Endowment Conference, 2001

  7. "Hedge Funds in Institutional Portfolios," UBS Investor Conference, 2002

  8. "Understanding Hedge Fund Performance," Society for Quantitative Financial Analysis, 2002,

  9. "Alternative Investments: Risk and Return," Analyst Society of New York, 2003

  10. "Leverage and Survivorship Among Hedge Funds," (with Ying Li) Eastern Finance Association, 2003

  11. "Incentive and Risk Taking," (with Ying Li), Financial Management Association, 2004.

  12. "Portable Alpha and Funds of Hedge Funds," Insitutional Investors Conference, 2005.

  13. "Efficient Replication of Hedge Fund Strategies," GAIM Annual Conference, 2006.

  14. "Conditional Performance of Hedge Funds," Eurpean Financial Management Meetings, 2006.

  15. "A New Test of International Integration of Financial Markets," (With Saira Latif) Financial Management Association, 2006

  16. "International Mutual Funds and Integration of Financial Markets," (With Saira Latif) Financial Management Association, 2006

  17. "Replication of Hedge Funds," Global Asset Management Conference, London, 2007.

  18. "Introduction to Alternative Assets," Private Wealth Management Association, Monte Carlo, 2007

  19. "Managerial Incentives and Risk Shifting," (with Ying Li), Eastern Finance Association, 2010

  20. "Benchmarking of Private Equity Funds," (with E. Szado and G. Swamy) Family Office Forum, Boston, 2011

ACADEMIC

SERVICE CONTRIBUTIONS TO THE UNIVERSITY

MEMBERSHIP IN PROFESSIONAL ORGANIZATIONS