The paper proposes a new measure of spread exposure for corporate bonds portfolios based
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …

… Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen, and Olaf
Penninga ARIK BEN DOR …

We illustrate the use of return-based style analysis in practice using several examples. We
demonstrate the importance of selecting the right style benchmarks and how the use of …

This article provides a unified and coherent treatment of the relation between the analytical
and empirical duration of corporate bonds based on theoretical and empirical evidence. It …

Previous research documented large positive abnormal returns in US equity markets during
a 24-hour window immediately preceding Federal Open Market Committee (FOMC) …

A common approach to measuring the effect of ESG (or ESG premium) in equities is to use
the difference between a broad index and its ESG version. This approach, however, does not …

In the context of forming equity momentum portfolios, the authors examine whether corporate
bond prices contain information that equity prices do not fully reflect. Using a unique …

Hedge funds play an increasingly important role in institutional portfolios as an alternative to
investments in traditional asset classes. Yet, the minimal disclosure requirements hedge …

… Arik Ben Dor is a managing director and head of quantitative equity research at Barclays
in … (2016, 2018); and Ben Dor, Guan, and Zeng (2020). For example, policymakers and …

This article examines the characteristics and price dynamics of fallen angels during a three-year
period around their downgrade date. Consistent with the implications of forced selling, …