Avraham Kamara - Faculty Profile- Michael G. Foster School of Business

"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."

Avraham Kamara

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Professor of Finance
William W. Alberts Endowed Professor

PhD, Columbia University, 1986
M Phil, Columbia University, 1982
MSSc, Hebrew University of Jerusalem, Israel, 1979
BA, Hebrew University of Jerusalem, Israel, 1976

Phone:	206-543-0652	Mailing Address:
Fax:	206-543-7472	Michael G. Foster School of Business
Office: Email:	253 Mackenzie Hall kamara@u.washington.edu	Finance Department Box 353200 Seattle, WA 98195-3200

Faculty Personal Web Page: http://faculty.washington.edu/kamara

Specialties

Financial risk management, asset pricing, interest rates, futures and options contracts, stock markets, fixed income markets, commodity markets, real options.

Positions Held

At the University of Washington since 1984
Visiting Professor at the Technion of Israel (1998-99)
Visiting Professor at University of California Los Angeles (1997-98)
Taught at Columbia University (1983-84)

Selected Publications

"The divergence of liquidity commonality in the cross-section of stocks" with Xiaoxia Lou and Ronnie Sadka, Journal of Financial Economics, Vol. 89, No. 3, September 2008, pp. 444–466.

“The Nontradability Premium of Derivatives Contracts” with Rafi Eldor, Shmuel Hauser and Michael Kahn), Journal of Business, Vol. 79, No., 4, July 2006, pp. 2067-2097.

“Conditional Time-Varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market,” with Alan C. Hess, Journal of Money, Credit and Banking, Vol. 37, No., 4, August 2005, pp. 679-698.

“Volatility, Autocorrelations, and Trading Activity After Stock Splits,” with Jennifer Lynch Koski, Journal of Financial Markets, Vol. 4, No, 2, April 2001, pp. 163-184.

"The Relation Between Default-Free Interest Rates and Economic Growth Is Stronger Than You Think," Journal of Finance, September 1997, pp. 1681-1694.

"New Evidence on the Monday Seasonal in Stock Returns," Journal of Business, January 1997, pp. 63-84.

"Daily and Intradaily Tests of European Put-Call Parity," with T. Miller, Journal of Financial and Quantitative Analysis, December 1995, pp. 519-539.

“Liquidity, Taxes and Short-Term Treasury Yields,” Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, September 1994, pp. 403-417.

“Production Flexibility, Stochastic Separation, Hedging, and Futures Prices,” Review of Financial Studies, Vol. 6, No. 4, Winter 1993, pp. 935-957.

“The Effects of Futures Trading on the Stability of Standard and Poor’s 500 Returns,” with Thomas W. Miller Jr. and Andrew F. Siegel, Journal of Futures Markets, Vol. 12, No. 6, December 1992, pp. 645-658.

“Forecasting Accuracy and Development of a Financial Market: The Treasury Bill Futures Market,” Journal of Futures Markets, Vol. 10, No. 4, August 1990, pp. 397-405.

“Delivery Uncertainty and the Efficiency of Futures Markets,” Journal of Financial and Quantitative Analysis, Vol. 25, No. 1, March 1990, pp. 45-64.

"Market Trading Structures and Asset Pricing: Evidence from the Treasury Bill Markets," Review of Financial Studies, Winter 1988, pp. 357-375.

"Optimal Hedging in Futures Markets with Multiple Delivery Specifications," with A. Siegel, Journal of Finance, September 1987, pp. 1007-1021.

Honors and Awards

Global EMBA Excellence in Teaching Award (2008)
MBA Professor of the Quarter (Spring 1994). Outstanding Contribution to Undergraduate Education (1995-96).

Selected Consulting Experience

Advisor to:

Safeco Corporation

Darigold, Inc.

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)