Robert Korajczyk : Citation Profile


Are you Robert Korajczyk?

Northwestern University

16

H index

19

i10 index

1642

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: 238.    Total self citations: 10 (0.61 %)

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   Permalink: http://citec.repec.org/pko2
   Updated: 2020-08-01    RAS profile: 2020-02-04    
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Relations with other researchers


Works with:

Connor, Gregory (3)

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)

Hallin, Marc (18)

Jagannathan, Ravi (18)

Ferson, Wayne (17)

Pesaran, M (15)

Forni, Mario (15)

Barigozzi, Matteo (14)

Connor, Gregory (13)

Marcellino, Massimiliano (13)

Cites to:

Campbell, John (25)

Connor, Gregory (24)

Fama, Eugene (17)

French, Kenneth (12)

Bollerslev, Tim (11)

Keim, Donald (10)

Roll, Richard (10)

Stambaugh, Robert (10)

Lo, Andrew (9)

LINTON, OLIVER (8)

Subrahmanyam, Avanidhar (8)

Main data


Where Robert Korajczyk has published?


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

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 (2019 and 2018)


YearTitle of citing document
2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Statistical Industry Classification. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1703.00703.

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2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1708.00644.

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2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Betas, Benchmarks and Beating the Market. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1807.09919.

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

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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.

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

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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.

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

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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.

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2018The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?. (2018). Xu, Shaofeng ; Gao, Xiaodan . In: Staff Working Papers. RePEc:bca:bocawp:18-59.

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

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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.

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2017The Interrelationships between REIT Capital Structure and Investment. (2017). Alcock, Jamie ; Steiner, Eva. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:3:p:371-394.

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2017Bank connections and the speed of leverage adjustment: evidence from Chinas listed firms. (2017). Li, Wenfei ; Tang, Qingquan ; Xu, Liping ; Wu, Cen. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1349-1381.

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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.

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2018Corporate Governance, Tax Avoidance, and Financial Constraints. (2018). Bayar, Onur ; Sardarli, Sabuhi ; Huseynov, Fariz. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:651-677.

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2017Factor Modelling for High-Dimensional Time Series: Inference and Model Selection. (2017). Rao, Tata Subba ; Yau, Chun Yip ; Lu, YE ; Chan, Ngai Hang ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307.

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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.

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2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Xie, RU ; Williams, Jonathan ; Huang, Sheng. In: Working Papers. RePEc:bng:wpaper:17004.

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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.

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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.

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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.

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

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

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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.

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2018Exchange Competition, Entry, and Welfare. (2018). Vives, Xavier ; Cespa, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7432.

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2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

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

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Firm Investment, Financial Constraints and Monetary Transmission: An Investigation with Czech Firm-Level Data. (2017). Babecká-Kucharčuková, Oxana ; Pasalicova, Renata ; Kucharcukova, Oxana Babecka. In: Working Papers. RePEc:cnb:wpaper:2017/16.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Estimating Latent Asset-Pricing Factors. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12926.

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2018Factors that Fit the Time Series and Cross-Section of Stock Returns. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13049.

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2017Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Navarro, Angela Caro ; Sanchez, Daniel Pea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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

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

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2017High Frequency Trading and Fragility. (2017). Vives, Xavier ; Cespa, Giovanni. In: IESE Research Papers. RePEc:ebg:iesewp:d-1161.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2017High frequency trading and fragility. (2017). Vives, Xavier ; Cespa, Giovanni. In: Working Paper Series. RePEc:ecb:ecbwps:20172020.

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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.

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2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2017Debt covenants and the speed of capital structure adjustment. (2017). devos, erik ; Tsang, Desmond ; Rahman, Shofiqur . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:1-18.

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2017The impact of interest rates on firms financing policies. (2017). Karpaviius, Sigitas ; Yu, Fan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:262-293.

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2017The behaviour of SMEs capital structure determinants in different macroeconomic states. (2017). Balios, Dimitrios ; Daskalakis, Nikolaos ; Dalla, Violetta. In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:248-260.

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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.

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2018Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

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2018Stock market development and economic growth: Empirical evidence from China. (2018). Pan, Lei ; Mishra, Vinod. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:661-673.

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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.

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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.

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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.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018Liquidity skewness premium. (2018). Jeong, Giho ; Kwon, Kyung Yoon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:130-150.

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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.

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2018A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models. (2018). Xiang, Jingjie ; Cui, Guowei ; Li, Kunpeng. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:144-148.

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2018A tale of two risks in the EMU sovereign debt markets. (2018). Sensoy, Ahmet ; Akyildirim, Erdinc ; Nguyen, Duc Khuong. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:102-106.

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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.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2018Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Lu, Lina ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:574-612.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2018Designating market maker behaviour in limit order book markets. (2018). Panayi, Efstathios ; Zigrand, Jean-Pierre ; Danielsson, Jon ; Peters, Gareth W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:20-44.

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2017Determinants of the capital structure of Chinese non-listed enterprises: Is TFP efficient?. (2017). Zhang, Dongyang ; Liu, Deqiang . In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:2:p:179-202.

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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.

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2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

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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.

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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.

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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.

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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.

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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.

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2017Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors. (2017). Uk, Byoung ; Kim, Tong Suk ; In, Francis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:15-39.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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

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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.

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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.

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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.

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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.

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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.
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paper29
2010Intraday Patterns in the Cross‐section of Stock Returns.(2010) In: Journal of Finance.
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This paper has another version. Agregated cites: 29
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1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
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article203
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
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article37
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
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article1
2016Horizon Pricing In: Journal of Financial and Quantitative Analysis.
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article4
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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article24
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
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article23
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
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article221
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
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article177
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
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article226
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
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article171
2002Predicting Equity Liquidity In: Management Science.
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article43
2014A Performance Comparison of Large-n Factor Estimators In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: Review of Asset Pricing Studies.
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This paper has another version. Agregated cites: 0
article
2019Semi-strong factors in asset returns In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
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chapter31
1989Understanding Stock Price Behavior around the Time of Equity Issues.(1989) In: NBER Working Papers.
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This paper has another version. Agregated cites: 31
paper
1988The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence In: NBER Working Papers.
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paper1
2002Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance In: Review of Financial Studies.
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article1
2019High-Frequency Market Making to Large Institutional Trades In: Review of Financial Studies.
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article3
1991The Effect of Information Releases on the Pricing and Timing of Equity Issues. In: Review of Financial Studies.
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article90
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.
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This paper has another version. Agregated cites: 52
paper
2010Introduction In: Introductory Chapters.
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chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]
book8
2014Market Liquidity: Asset Pricing, Risk, and Crises In: Quantitative Finance.
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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.
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article135
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

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