Faculty Profile

Ilan Cooper

Professor - Department of Finance

Biography

Personal homepage

Dr. Cooper obtained his Ph.D. from the University of Chicago in 2003. His main research interests lie at the intersection of asset pricing and real investment under uncertainty. His primary research focuses on the relation between the real side of the economy, namely firms' decisions as to investing in physical capital and hiring workers, and asset return dynamics.

Publications

Andreou, Panayiotis; Cooper, Ilan, Garcia de Olalla Lopez, Ignacio & Louca, Christodoulos (2018)

Managerial Overconfidence and the Buyback Anomaly

Journal of Empirical Finance, 49, s. 142- 156. Doi: 10.1016/j.jempfin.2018.09.005

While positive, long-run abnormal returns following share repurchase announcements are substantially lower when CEOs are overconfident. This effect is particularly strong for (i) difficult to value firms, such as small, young, non-dividend paying, distressed, and having negative earnings firms, (ii) firms with poor past stock return performance and high book-to-market ratio, indicators of possible overreaction to bad news, and (iii) financially constrained firms. Overall, these results are consistent with the mispricing hypothesis as a motive for repurchases and as an explanation for the buyback anomaly. Additionally, irrespective of the CEO’s level of confidence, abnormal returns are considerably larger for financially constrained firms, implying their managers require larger undervaluation due to the higher cost of capital.

Cooper, Ilan & Maio, Paulo (2018)

Asset Growth, Profitability, and Investment Opportunities

Management science, s. 1- 23. Doi: 10.1287/mnsc.2018.3036

We show that recent prominent equity factor models are to a large degreecompatible with the Intertemporal CAPM (ICAPM) framework. Factors associated withalternative profitability measures forecast the equity premium in a way that is consistentwith the ICAPM. Several factors based on firms’ asset growth predict a significant declinein stock market volatility, thus being consistent with their positive prices of risk. Theinvestment-based factors are also strong predictors of an improvement in future economicactivity. The time-series predictive ability of most equity state variables is not subsumedby traditional ICAPM state variables. Importantly, factors that earn larger risk prices tendto be associated with state variables that are more correlated with future investmentopportunities or economic activity. Moreover, these risk price estimates can be reconciledwith plausible risk-aversion parameter estimates. Overall, the ICAPM can be used as acommon theoretical background for recent multifactor models.

Cooper, Ilan & Maio, Paulo (2018)

New Evidence on Conditional Factor Models

Journal of Financial and Quantitative Analysis Doi: 10.1017/S0022109018001606 - Full text in research archive

Cooper, Ilan & Priestley, Richard (2016)

The expected returns and valuations of private and public firms

Journal of Financial Economics, 120(1), s. 41- 57. Doi: 10.1016/j.jfineco.2016.01.023

Cooper, Ilan & Priestley, Richard (2012)

The World Business Cycle and Expected Returns

Review of Finance, 17(3), s. 1029- 1064. Doi: 10.1093/rof/rfs014

Cooper, Ilan & Priestley, Richard (2011)

Real Investment and Risk Dynamics

Journal of Financial Economics, 101(1), s. 182- 205. Doi: 10.1016/j.jfineco.2011.02.002

Priestley, Richard & Cooper, Ilan (2009)

Time-Varying Risk Premiums and the Output Gap

The Review of financial studies, 22(7), s. 2801- 2833. Doi: 10.1093/rfs/hhn087

Cooper, Ilan (2006)

Asset pricingimplications of nonconvex adjustment costs and irreversibility of investment

Journal of Finance, 61(1), s. 139- 170.

This paper derives a real options model that accounts for the value premium. If real investment is largely irreversible, the book value of assets of a distressed firm is high relative to its market value because it has idle physical capital. The firm's excess installed capital capacity enables it to fully benefit from positive aggregate shocks without undertaking costly investment. Thus, returns to equity holders of a high book-to-market firm are sensitive to aggregate conditions and its systematic risk is high. Simulations indicate that the model goes a long way toward accounting for the observed value premium.

Cooper, Ilan; Maio, Paulo & Philip, Dennis (2017)

Multifactor models and the APT: Evidence from a broad cross section of stock returns

[Academic lecture]. Midwest Finance Association annual meeting.

Cooper, Ilan; Maio, Paulo & Philip, Dennis (2017)

Multifactor models and the APT: Evidence from a broad cross section of stock returns

[Academic lecture]. ITAM Finance Conference.

Cooper, Ilan; Mitrache, Andreea & Priestley, Richard (2017)

A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes

[Academic lecture]. Jacob Levy Center conference.

Cooper, Ilan; Priestley, Richard & Mitrache, Andreea (2017)

A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes

[Academic lecture]. Financial Intermediation Research Society annual conference.

Cooper, Ilan; Maio, Paulo & Philip, Dennis (2017)

Multifactor models and the APT: Evidence from a broad cross section of stock returns,

[Academic lecture]. China International Conference in Finance.

Cooper, Ilan; Priestley, Richard & Mitrache, Andreea (2017)

A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes

[Academic lecture]. NES 25th anniversary conference.

Cooper, Ilan; Maio, Paulo & Mitrache, Andreea (2017)

What drives Q and investment fluctuations?

[Academic lecture]. NES 25th anniversary conference.

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2017)

Risk Aversion Sensitive Real Business Cycles

[Report]. Center of Asset Pricing Research.

Cooper, Ilan & Maio, Paulo (2016)

Equity Risk Factors and the Intertemporal CAPM

[Academic lecture]. 2016 Midwest Finance Association Annual Meeting.

Atanasov, Victoria; Cooper, Ilan, Priestley, Richard & Zhong, Junhua (2016)

The factor structure of time-varying discount rates

[Academic lecture]. 2016 SFS Finance Cavalcade.

Andreou, Panayiotis; Cooper, Ilan, Garcia de Olalla Lopez, Ignacio & Louca, Christodoulos (2016)

Managerial overconfidence and the buyback anomaly

[Academic lecture]. European Finance Association annual meeting.

Atanasov, Victoria; Cooper, Ilan, Priestley, Richard & Zhong, Junhua (2016)

The factor structure of time-varying discount rates

[Academic lecture]. European Finance Association annual meeting.

Cooper, Ilan & Priestley, Richard (2014)

The Expected Returns and Valuations of Private and Public Firms

[Academic lecture]. Seminar at IE Business School.

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2013)

Risk Aversion Sensitive Real Business Cycles

[Academic lecture]. World Finance Conference.

Bøhren, Øyvind; Priestley, Richard & Cooper, Ilan (2009)

Real investment, economic efficiency, and managerial entrenchment

[Report]. Handelshøyskolen BI.

Academic Degrees
Year Academic Department Degree
2003 University of Chicago Ph.D.
1994 Tel Aviv University M.A.
1991 Tel Aviv University B.A.
Work Experience
Year Employer Job Title
2012 - Present BI Norwegian Business School Professor
2007 - Present Tel Aviv University Assistant Professor
2005 - 2012 BI Norwegian Business School Associate Professor
2005 - 2007 University of Haifa Assistant Professor