Robert Korajczyk : Citation Profile


Are you Robert Korajczyk?

Northwestern University

16

H index

19

i10 index

1661

Citations

RESEARCH PRODUCTION:

21

Articles

11

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 48
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 115.    Total self citations: 10 (0.6 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko2
   Updated: 2020-09-22    RAS profile: 2020-02-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Connor, Gregory (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Korajczyk.

Is cited by:

LINTON, OLIVER (26)

Swanson, Norman (23)

Bai, Jushan (22)

Jagannathan, Ravi (18)

Hallin, Marc (18)

Ferson, Wayne (17)

Pesaran, M (15)

Forni, Mario (15)

Barigozzi, Matteo (14)

Ng, Serena (14)

Marcellino, Massimiliano (13)

Cites to:

Campbell, John (25)

Connor, Gregory (24)

Fama, Eugene (17)

French, Kenneth (12)

Bollerslev, Tim (11)

Stambaugh, Robert (10)

Roll, Richard (10)

Keim, Donald (10)

Lo, Andrew (9)

Watson, Mark (8)

Engle, Robert (8)

Main data


Where Robert Korajczyk has published?


Journals with more than one article published# docs
Journal of Financial Economics4
Review of Financial Studies3
Journal of Financial and Quantitative Analysis3
Journal of Finance2
The Journal of Business2

Working Papers Series with more than one paper published# docs
Research Program in Finance Working Papers / University of California at Berkeley4
Economics, Finance and Accounting Department Working Paper Series / Department of Economics, Finance and Accounting, National University of Ireland - Maynooth2

Recent works citing Robert Korajczyk (2020 and 2019)


YearTitle of citing document
2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2019Estimation of high-dimensional factor models and its application in power data analysis. (2019). Mi, Tiebin ; Qiu, Robert ; Shi, Xin. In: Papers. RePEc:arx:papers:1905.02061.

Full description at Econpapers || Download paper

2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

Full description at Econpapers || Download paper

2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

Full description at Econpapers || Download paper

2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

Full description at Econpapers || Download paper

2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

Full description at Econpapers || Download paper

2020Do macroeconomic factors impact corporate debt? Evidence from India. (2020). Marulkar, Kedar ; Faniband, Muhammadriyaj. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:2020:p:16-23.

Full description at Econpapers || Download paper

2020Trading on Long-term Information. (2020). Garriott, Corey ; Riordan, Ryan. In: Staff Working Papers. RePEc:bca:bocawp:20-20.

Full description at Econpapers || Download paper

2020Social media and price discovery: the case of cross-listed firms. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:20-05.

Full description at Econpapers || Download paper

2020Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals. (2020). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella . In: Discussion Papers. RePEc:bir:birmec:20-21.

Full description at Econpapers || Download paper

2019Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

Full description at Econpapers || Download paper

2019LEVERAGE AND MACROECONOMIC DETERMINANTS: EVIDENCE FROM UKRAINE. (2019). Valeriya, Lakshina ; Zoriana, Matsuk ; Fitim, Deari. In: Studies in Business and Economics. RePEc:blg:journl:v:14:y:2019:i:2:p:5-19.

Full description at Econpapers || Download paper

2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity. (2019). LINTON, OLIVER ; Xiao, Z. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1907.

Full description at Econpapers || Download paper

2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

Full description at Econpapers || Download paper

2019Estimation and Inference in Semiparametric Quantile Factor Models. (2019). Gao, J ; Linton, O ; Ma, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1933.

Full description at Econpapers || Download paper

2019Estimation and Inference in Semiparametric Quantile Factor Models. (2019). Linton, O ; Ma, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1939.

Full description at Econpapers || Download paper

2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

Full description at Econpapers || Download paper

2020M&A Activity and the Capital Structure of Target Firms. (2020). Hanousek, Jan ; Flannery, Mark J ; Tresl, Jiri ; Shamshur, Anastasiya. In: CERGE-EI Working Papers. RePEc:cer:papers:wp661.

Full description at Econpapers || Download paper

2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

Full description at Econpapers || Download paper

2020High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886.

Full description at Econpapers || Download paper

2020Toward a Macroprudential Regulatory Framework for Mutual Funds. (2020). Hasse, Jean-Baptiste ; Panopoulou, Ekaterini ; Candelon, Bertrand ; Argyropoulos, Christos. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_008.

Full description at Econpapers || Download paper

2020Corporates dependence on banks: The impact of ECB corporate sector purchases. (2020). Bats, Joost. In: DNB Working Papers. RePEc:dnb:dnbwpp:667.

Full description at Econpapers || Download paper

2020Corporate Geographical Location and Capital Structure: Evidence from an Emerging Market. (2020). Alnori, Faisal ; Jerbeen, Mohammed. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-22.

Full description at Econpapers || Download paper

2019Testing the credit-market-timing hypothesis using counterfactual issuing dates. (2019). Nezafat, Mahdi ; Frank, Murray Z. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:187-207.

Full description at Econpapers || Download paper

2019The double trap: Institutions and economic development. (2019). Kar, Sabyasachi ; Sen, Kunal ; Roy, Amrita . In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:243-259.

Full description at Econpapers || Download paper

2019A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180.

Full description at Econpapers || Download paper

2020Bank loan supply shocks and leverage adjustment. (2020). Shikimi, Masayo. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:447-460.

Full description at Econpapers || Download paper

2019Effects of market timing on primary share issues in the Brazilian capital market. (2019). Albanez, Tatiana ; Magnani, Vinicius Medeiros ; da Costa, Matheus ; Do, Mauricio Ribeiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:361-377.

Full description at Econpapers || Download paper

2020How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China. (2020). Liu, Guy ; Bo, Yibo ; Gregoriou, Andros. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302198.

Full description at Econpapers || Download paper

2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2019A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

Full description at Econpapers || Download paper

2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

Full description at Econpapers || Download paper

2019Rank regularized estimation of approximate factor models. (2019). Bai, Jushan ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:78-96.

Full description at Econpapers || Download paper

2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

Full description at Econpapers || Download paper

2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

Full description at Econpapers || Download paper

2019The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2019). Penev, Spiridon ; Wu, Wei ; Shevchenko, Pavel V. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:772-784.

Full description at Econpapers || Download paper

2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

Full description at Econpapers || Download paper

2019Capital structure and speed of adjustment in non-financial firms: Does sharia compliance matter? Evidence from Saudi Arabia. (2019). Alqahtani, Faisal ; Alnori, Faisal. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:50-67.

Full description at Econpapers || Download paper

2019Ownership and control in a double decision framework for raising capital. (2019). Bhatti, Muhammad ; Ashraf, Dawood ; Khawaja, Mohsin. In: Emerging Markets Review. RePEc:eee:ememar:v:41:y:2019:i:c:s1566014119301505.

Full description at Econpapers || Download paper

2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

Full description at Econpapers || Download paper

2019Hierarchical GARCH. (2019). Brownlees, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27.

Full description at Econpapers || Download paper

2019Investor sentiment, SEO market timing, and stock price performance. (2019). Lin, Chu-Bin ; Chou, Robin K ; Chen, Yi-Wen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:28-43.

Full description at Econpapers || Download paper

2019Asset pricing with extreme liquidity risk. (2019). Wu, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:143-165.

Full description at Econpapers || Download paper

2020High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93.

Full description at Econpapers || Download paper

2020Energy price and cost induced innovation: Evidence from China. (2020). Xu, Jian ; Yang, Xiandong ; Kong, Dongmin. In: Energy. RePEc:eee:energy:v:192:y:2020:i:c:s0360544219322819.

Full description at Econpapers || Download paper

2019Transitory prices, resiliency, and the cross-section of stock returns. (2019). Kim, Jinyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:243-256.

Full description at Econpapers || Download paper

2019Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model. (2019). Ozkan, Aydin ; Grillini, Stefano ; Sharma, Abhijit. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:145-158.

Full description at Econpapers || Download paper

2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

Full description at Econpapers || Download paper

2019Commonality in ask-side vs. bid-side liquidity. (2019). Sensoy, Ahmet. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:198-207.

Full description at Econpapers || Download paper

2019Intraday momentum and reversal in Chinese stock market. (2019). Zhou, Haigang ; Gu, Zherong ; Chu, Xiaojun. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:83-88.

Full description at Econpapers || Download paper

2020Commonality in liquidity across options and stock futures markets. (2020). ap Gwilym, Owain ; Williams, Gwion ; Benzennou, Bouchra. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305762.

Full description at Econpapers || Download paper

2019First-move advantage in seasoned equity offerings: Evidence from European banks. (2019). Botta, Marco. In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:1-12.

Full description at Econpapers || Download paper

2019Financial constraints, stock liquidity, and stock returns. (2019). Li, Xiafei ; Luo, DI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119301878.

Full description at Econpapers || Download paper

2019The debt tax shield in general equilibrium. (2019). Jensen, Bjarne Astrup ; Fischer, Marcel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:151-166.

Full description at Econpapers || Download paper

2019Macroeconomic conditions, financial constraints, and firms’ financing decisions. (2019). Dasgupta, Sudipto ; Chen, Yunling ; Chang, Xin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:242-255.

Full description at Econpapers || Download paper

2019News media coverage and corporate leverage adjustments. (2019). Dang, Tung ; Zhang, Bohui ; Nguyen, Lily ; Moshirian, Fariborz. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302419.

Full description at Econpapers || Download paper

2020Stock extreme illiquidity and the cost of capital. (2020). Samet, Anis ; Saad, Mohsen ; Belkhir, Mohamed. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300128.

Full description at Econpapers || Download paper

2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

Full description at Econpapers || Download paper

2019Upside potential of hedge funds as a predictor of future performance. (2019). Bali, Turan G ; Caglayan, Mustafa O ; Brown, Stephen J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:212-229.

Full description at Econpapers || Download paper

2020Rising corporate debt and value relevance of supply-side factors in South Africa. (2020). Machokoto, Michael ; Ibrahim, Boulis Maher ; Areneke, Geofry. In: Journal of Business Research. RePEc:eee:jbrese:v:109:y:2020:i:c:p:26-37.

Full description at Econpapers || Download paper

2019Government debt and corporate leverage: International evidence. (2019). Sialm, Clemens ; Huang, Jennifer ; Demirci, Irem . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:337-356.

Full description at Econpapers || Download paper

2019A tug of war: Overnight versus intraday expected returns. (2019). Skouras, Spyros ; Polk, Christopher ; Lou, Dong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:192-213.

Full description at Econpapers || Download paper

2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

Full description at Econpapers || Download paper

2020Is the active fund management industry concentrated enough?. (2020). Xu, Jingrui ; Saxena, Konark ; Feldman, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:23-43.

Full description at Econpapers || Download paper

2019The effects of bank regulation stringency on seasoned equity offering announcements. (2019). Li, Hui ; Veld, Chris ; Liu, Hong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:71-85.

Full description at Econpapers || Download paper

2019What is the relation between financial flexibility and dividend smoothing?. (2019). Fliers, Philip T. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:98-111.

Full description at Econpapers || Download paper

2019Legal institutions and fragile financial markets. (2019). Chung, Huimin ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:277-298.

Full description at Econpapers || Download paper

2019Do group-affiliated firms time their equity offerings?. (2019). Syamala, Sudhakara Reddy ; Neupane, Suman ; Wadhwa, Kavita. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:73-92.

Full description at Econpapers || Download paper

2019Efficient working capital management, financial constraints and firm value: A text-based analysis. (2019). Pal, Ananda Mohan ; Mishra, Sagarika ; Dhole, Sandip. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19302902.

Full description at Econpapers || Download paper

2019The firm-specific determinants of capital structure – An empirical analysis of firms before and during the Euro Crisis. (2019). Moradi, Amir ; Paulet, Elisabeth. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:150-161.

Full description at Econpapers || Download paper

2019Does increased disclosure of intangible assets enhance liquidity around new equity offerings?. (2019). Gajewski, Jean Franois ; Labidi, Manel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:426-437.

Full description at Econpapers || Download paper

2019Regional and global integration of Asian stock markets. (2019). Ferreira, Paulo ; Vieira, Isabel ; Dionisio, Andreia ; Mohti, Wahbeeah. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368.

Full description at Econpapers || Download paper

2020Information-driven stock return comovements across countries. (2020). Inaba, Kei-Ichiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918309450.

Full description at Econpapers || Download paper

2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

Full description at Econpapers || Download paper

2019Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression. (2019). Reschenhofer, Erhard ; Chud, Marek. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:46-:d:293899.

Full description at Econpapers || Download paper

2019An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?. (2019). Pilbeam, Keith ; Preston, Hamish. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:1:p:6-:d:198648.

Full description at Econpapers || Download paper

2019Impacts of Financial Market Shock on Bank Asset Allocation from the Perspective of Financial Characteristics of Banks. (2019). Li, Chong ; Yao, Qiuge ; Huang, Kun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:2:p:29-:d:239143.

Full description at Econpapers || Download paper

2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

Full description at Econpapers || Download paper

2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

Full description at Econpapers || Download paper

2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02262202.

Full description at Econpapers || Download paper

2020MOMENTUM MARKET STATES AND CAPITAL STRUCTURE ADJUSTMENT SPEED. (2020). Yang, Che-Ming ; Chen, An-Sing. In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:14:y:2020:i:2:p:37-49.

Full description at Econpapers || Download paper

2020The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01.

Full description at Econpapers || Download paper

2019Firm Level Determinants of Capital Structure: Evidence From Egypt. (2019). Sakr, Ahmed ; Bedeir, Amina. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:10:y:2019:i:1:p:68-85.

Full description at Econpapers || Download paper

2020Why does stock-market investor sentiment influence corporate investment?. (2020). Hu, OU ; Du, Ding. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00823-6.

Full description at Econpapers || Download paper

2020Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-4.

Full description at Econpapers || Download paper

2019Reflexivity in Credit Markets. (2019). Jin, Lawrence ; Hanson, Samuel ; Greenwood, Robin. In: NBER Working Papers. RePEc:nbr:nberwo:25747.

Full description at Econpapers || Download paper

2019Underwriter Certification, Issuer-Underwriter Matching, and SEO Performance. (2019). Calomiris, Charles ; Zender, Jaime F ; Izhakian, Yehuda. In: NBER Working Papers. RePEc:nbr:nberwo:26344.

Full description at Econpapers || Download paper

2019Endogenous Corporate Leverage Response to a Safer Macro Environment: The Case of Foreign Exchange Reserve Accumulation. (2019). Wei, Shang-Jin ; Tong, Hui. In: NBER Working Papers. RePEc:nbr:nberwo:26545.

Full description at Econpapers || Download paper

2020The Decline of Secured Debt. (2020). Rajan, Raghuram ; Kumar, Nitish ; Benmelech, Efraim. In: NBER Working Papers. RePEc:nbr:nberwo:26637.

Full description at Econpapers || Download paper

2019Economics with Market Liquidity Risk. (2019). Pedersen, Lasse Heje ; Acharya, Viral V. In: Critical Finance Review. RePEc:now:jnlcfr:104.00000083.

Full description at Econpapers || Download paper

2019Sentiment versus liquidity pricing effects in the cross-section of UK stock returns. (2019). Zhu, Sheng ; Foran, Jason ; Osullivan, Niall. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:4:d:10.1057_s41260-019-00119-3.

Full description at Econpapers || Download paper

2020Liquidity commonality beyond best prices: Indian evidence. (2020). Dixit, Alok ; Vipul, ; Tripathi, Abhinava. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00164-3.

Full description at Econpapers || Download paper

2020Exchange Rates and Liquidity Risk. (2020). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:102702.

Full description at Econpapers || Download paper

2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784.

Full description at Econpapers || Download paper

2019How Capital Structure Affects Business Valuation: A Case Study of Slovakia. (2019). Valaskova, Katarina ; Lancova, Barbora ; Siekelova, Anna ; Olah, Judit ; Lazaroiu, George. In: Central European Business Review. RePEc:prg:jnlcbr:v:2019:y:2019:i:3:id:218:p:1-17.

Full description at Econpapers || Download paper

2020A non-hierarchical dynamic factor model for three-way data. (2020). Pinheiro, Maximiano ; Dias, Francisco ; Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w202007.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2019.

Full description at Econpapers || Download paper

2020Canonical Correlation-based Model Selection for the Multilevel Factors. (2020). Lin, Rui ; Choi, IN ; Shin, Yongcheol. In: Working Papers. RePEc:sgo:wpaper:2008.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Robert Korajczyk:


YearTitleTypeCited
2010Intraday Patterns in the Cross-section of Stock Returns In: Papers.
[Full Text][Citation analysis]
paper29
2010Intraday Patterns in the Cross‐section of Stock Returns.(2010) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]
article205
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article38
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article1
2016Horizon Pricing In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article4
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article24
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
[Full Text][Citation analysis]
article23
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article222
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]
article181
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
[Full Text][Citation analysis]
article229
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]
article174
2002Predicting Equity Liquidity In: Management Science.
[Full Text][Citation analysis]
article44
2014A Performance Comparison of Large-n Factor Estimators In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2019Semi-strong factors in asset returns In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
paper0
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
[Full Text][Citation analysis]
chapter32
1989Understanding Stock Price Behavior around the Time of Equity Issues.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
1988The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
2002Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance In: Review of Financial Studies.
[Citation analysis]
article1
2019High-Frequency Market Making to Large Institutional Trades In: Review of Financial Studies.
[Full Text][Citation analysis]
article3
1991The Effect of Information Releases on the Pricing and Timing of Equity Issues. In: Review of Financial Studies.
[Full Text][Citation analysis]
article92
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: World Bank Economic Review.
[Citation analysis]
article52
1995A measure of stock market integration for developed and emerging markets.(1995) In: Policy Research Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]
book8
2014Market Liquidity: Asset Pricing, Risk, and Crises In: Quantitative Finance.
[Full Text][Citation analysis]
article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]
paper15
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]
paper13
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]
paper1
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]
paper12
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
[Full Text][Citation analysis]
article84
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]
article136
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]
article36
2003Are Momentum Profits Robust to Trading Costs? In: Finance.
[Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team