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Haim Kassa

Lindmor Professor & Associate Professor

Finance


Haim Kassa

Contact Information

Office Hours

  • TR 10:45-11:45am

Links

* Accessible version of PDF available upon request.

Profile

Academic Background

  • Ph.D., Finance, University of Cincinnati
  • M.S., Mathematics, University of Utah
  • B.A., Mathematics, Kentucky State University
  • B.S., Computer Science, Kentucky State University

Academic & Professional Experience

  • Farmer School of Business Research Fellow, Miami University, 2024-present
  • Lindmor Professor, Miami University, 2022-present
  • Associate Professor, Miami University, 2020-present
  • Lindner Scholar-in-Residence, University of Cincinnati, 01/2022-12/2022
  • Assistant Professor, Miami University, 2013-2020
  • Visiting Academic Scholar, U.S. Securities and Exchange Commission, 08/2017-08/2018
  • Instructor, Savannah State University, 2006 - 2008

Recent Publications

  • Bekaert, G., Bergbrant, M., & Kassa, H., (2024). Expected Idiosyncratic Volatility. Journal of Financial Economics, Forthcoming.
  • Biggerstaff, L., Godlie, B., Kassa, H., (2024). Beta Estimation Precision and Corporate Investment Efficiency. Journal of Corporate Finance, Forthcoming.
  • Kassa, H., Wang, F., & Yan, X. (2023). Expected Stock Returns and Volatility: Three Decades Later. Critical Finance Review, 12(1-4), 271-307.
  • DeLisle, J., Diavatopoulos, D., Fodor, A., & Kassa, H. (2022). Variation in Option Implied Volatility Spread and Future Stock Returns. Quarterly Review of Economics and Finance, 83, 152-160.
  • Gempesaw, D., Kassa, H., & Zykaj, B. (2022). Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence from Using Portfolios as Test Assets. European Financial Management, 28(3), 693-721.
  • Bergbrant, M., & Kassa, H. (2021). Is Idiosyncratic Volatility Related to Returns? Evidence from a Subset of Firms with Quality Idiosyncratic Volatility Estimates. Journal of Banking and Finance, 127, 106126.
  • DeLisle, J., Ferguson, M., Kassa, H., & Zaynutdinova, G. (2021). Hazard Stocks and Expected Returns. Journal of Banking and Finance, 125, 106094.
  • Chichernea, D. C., Kassa, H., & Slezak, S. L. (2019). Lottery preferences and the idiosyncratic volatility puzzle. European Financial Management, 25(3), 655-683.
  • Goldie, B. A., Henry, T. R., & Kassa, H. (2019). Does MAX matter for mutual funds? European Financial Management, 25(4), 777-806
  • Dickinson, V., Kassa, H., & Schaberl, P. D. (2018). What information matters to investors at different stages of a firm's life cycle?. Advances in accounting, 42, 22-33.
  • Chichernea, D. C., Ferguson, M. F., & Kassa, H. (2015). Idiosyncratic risk, investor base, and returns. Financial Management, 44(2), 267-293.
  • Casey R., Kassa, H., and Schaberl, P. (2015). Publicly traded firms: Accounting metrics' relationship with price. The Value Examiner, May/June.
  • Guo, H., Kassa, H., & Ferguson, M. F. (2014). On the relation between EGARCH idiosyncratic volatility and expected stock returns. Journal of Financial and Quantitative Analysis, 49(1), 271-296.

Honors & Awards

  • Prodesse Quam Conspici Award, Miami University
  • Intergovernmental Personnel Act Mobility Program Award, U.S. Securities and Exchange Commission
  • Outstanding Doctoral Student Research Award, University of Cincinnati
  • Best Paper in Investments Award, American Association of Individual Investors
  • Semifinalist for Best Paper in Investments Award, Financial Management Association

Areas of Expertise

  • Asset Pricing
  • Financial Econometrics

Biography

Dr. Haim Kassa is Lindmor Professor of Finance at the Farmer School of Business at Miami University. He is an expert in the areas of investments and portfolio management. Specifically, his research focuses on empirical corporate valuation and how to best maximize investment return and minimize risk, primarily through factor investing. He is experienced at the design and testing of trading strategies using historical firm level data from the stock, bond, and option markets. Dr. Kassa published his findings in internationally well-regarded journals including Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Critical Finance Review, Journal of Corporate Finance, Financial Management, and European Financial Management.

Dr. Kassa was a visiting academic scholar at the U.S. Securities and Exchange Commission (SEC) during the 2017/2018 academic year. During this period, he collaborated with Commission staff across multiple departments (securities lawyers, financial economists, accountants, and data scientists) and wrote several SEC rule proposals, adoptions, and amendments governing the asset management industry, particularly mutual funds and exchange traded funds (ETFs). He also served as a member of SEC's representative for the Committee on Emerging Risk at the International Organization of Securities Commissions (IOSCO), a consortium of financial market regulators with more than 115 jurisdictions.

Dr. Kassa currently teaches undergraduate and graduate level Investment and Portfolio Management courses, and supervises Master's thesis students. Prior to joining Miami University, he taught at University of Cincinnati, University of Utah, and Savannah State University.

Dr. Kassa received his Ph.D. in Finance at the University of Cincinnati.

Attorneys can contact Dr. Kassa for expert witness testimonies on a range of cases including Securities and Finance, Valuation, Antitrust and Competition, Data Science and Statistics, Bankruptcy and Financial Distress, Financial Institutions, and Real Estate.

Courses

  • FIN 401 E TR 2:50PM-4:10PM, FSB 0012
  • FIN 401 F TR 4:25PM-5:45PM, FSB 0012