Robert Korajczyk : Citation Profile

Are you Robert Korajczyk?

Northwestern University

19

H index

21

i10 index

2360

Citations

RESEARCH PRODUCTION:

24

Articles

16

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   39 years (1985 - 2024). See details.
   Cites by year: 60
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 147.    Total self citations: 10 (0.42 %)

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   Permalink: http://citec.repec.org/pko2
   Updated: 2024-11-08    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Schenk-Hoppé, Klaus (4)

Colliard, Jean-Edouard (4)

Pastor, Lubos (4)

Gehrig, Thomas (4)

Schuerhoff, Norman (4)

Palan, Stefan (4)

Frömmel, Michael (4)

Pasquariello, Paolo (4)

Ranaldo, Angelo (4)

Sarno, Lucio (4)

Hurlin, Christophe (4)

Stefanova, Denitsa (4)

Wolff, Christian (4)

Ait-Sahalia, Yacine (4)

Talavera, Oleksandr (4)

Reitz, Stefan (4)

Shachar, Or (4)

Johannesson, Magnus (4)

Zhang, S. Sarah (4)

Vilkov, Grigory (4)

Rinne, Kalle (4)

Dimpfl, Thomas (4)

Hautsch, Nikolaus (4)

Dreber, Anna (4)

Deku, Solomon (4)

Liew, Chee (4)

Walther, Thomas (4)

Davies, Ryan (4)

Füllbrunn, Sascha (4)

CAPELLE-BLANCARD, Gunther (4)

FERROUHI, EL MEHDI (4)

Frijns, Bart (4)

Foucault, Thierry (4)

Huang, Wenqian (4)

Smales, Lee (4)

Harris, Jeffrey (4)

Caporin, Massimiliano (4)

Nielsson, Ulf (4)

Verousis, Thanos (4)

Menkveld, Albert (4)

Ødegaard, Bernt (4)

Lof, Matthijs (4)

Jalkh, Naji (4)

Chernov, Mikhail (4)

Horenstein, Alex (4)

Renault, Thomas (4)

Schwarz, Marco (4)

Deev, Oleg (4)

Neszveda, Gabor (3)

Xiu, Dacheng (3)

Brownlees, Christian (3)

Alexeev, Vitali (3)

Roy, Saurabh (3)

Xia, Shuo (3)

Eugster, Nicolas (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Aloosh, Arash (3)

Koetter, Michael (3)

Wilhelmsson, Anders (3)

Taylor, Nick (3)

Güçbilmez, Ufuk (3)

Bohorquez Correa, Santiago (3)

Mihet, Roxana (3)

Holzmeister, Felix (3)

Gil-Bazo, Javier (2)

Bjønnes, Geir (2)

Park, Andreas (2)

Söderlind, Paul (2)

Bouri, Elie (2)

van Kervel, Vincent (2)

Hjalmarsson, Erik (2)

Moinas, Sophie (2)

Zhou, Chen (2)

Patton, Andrew (2)

Pelizzon, Loriana (2)

Scaillet, Olivier (2)

Sojli, Elvira (2)

Roy, Saurabh (2)

Regis, Luca (2)

Jurkatis, Simon (2)

Bos, Charles (2)

Heath, Davidson (2)

Theissen, Erik (2)

Dumitrescu, Ariadna (2)

Gorbenko, Arseny (2)

Patel, Vinay (2)

Adrian, Tobias (2)

He, Xuezhong (Tony) (2)

Gerritsen, Dirk (2)

Abudy, Menachem (2)

Prokopczuk, Marcel (2)

Lajaunie, Quentin (2)

Kearney, Fearghal (2)

Connor, Gregory (2)

LINTON, OLIVER (2)

Rakowski, David (2)

Vogel, Sebastian (2)

Chow, Nikolai Sheung-Chi (2)

Wong, Wing-Keung (2)

PASCUAL, ROBERTO (2)

Putnins, Talis (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Lopez-Lira, Alejandro (2)

Ferrara, Gerardo (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 (31)

Bai, Jushan (26)

Hallin, Marc (23)

Barigozzi, Matteo (23)

Swanson, Norman (23)

Kapetanios, George (19)

Jagannathan, Ravi (19)

Ferson, Wayne (17)

Pesaran, Mohammad (17)

Forni, Mario (16)

Scaillet, Olivier (15)

Cites to:

Campbell, John (27)

Connor, Gregory (25)

Fama, Eugene (17)

Keim, Donald (14)

French, Kenneth (13)

Roll, Richard (12)

Stambaugh, Robert (12)

Bollerslev, Tim (12)

Lo, Andrew (11)

Watson, Mark (9)

Jagannathan, Ravi (9)

Main data

Where Robert Korajczyk has published?

Journals with more than one article published# docs
Journal of Financial Economics4
The Review of Financial Studies4
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
NBER Working Papers / National Bureau of Economic Research, Inc3
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth2

Recent works citing Robert Korajczyk (2024 and 2023)

YearTitle of citing document
2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets. (2022). Zong, Hua ; Deng, Jun. In: Papers. RePEc:arx:papers:2205.12043.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206.

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2024High-frequency Anticipatory Trading and Its Influences: Small Informed Trader vs. Front-runner. (2023). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2304.13985.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Wang, Guiling ; Uddin, Ajim ; Gu, Jingyi ; Goswami, Bhaskar ; Ye, Junyi. In: Papers. RePEc:arx:papers:2403.06779.

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2024Mean Field Game of High-Frequency Anticipatory Trading. (2024). Xu, Ziyi ; Wang, Meng ; Cheng, Xue. In: Papers. RePEc:arx:papers:2404.18200.

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2023Disentangling Sentiment from Cyclicality in Firm Capital Structure. (2023). Lambe, Brendan J ; Almaghyereh, Aktham I ; O'Sullivan, Jennifer A ; Alzoubi, Haitham A. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:2:p:570-605.

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2023Local social environment and the speed of leverage adjustment. (2023). Lu, Chun ; Li, Tongxia. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1919-1952.

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2023Who Owns What? A Factor Model for Direct Stockholding. (2023). Ramadorai, Tarun ; Campbell, John ; Ranish, Benjamin ; Balasubramaniam, Vimal. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1545-1591.

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2023The role of bank lenders in firm leverage adjustments. (2023). Chen, Kai ; Zhu, Feifei ; Gao, Wenlian. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:63-97.

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2023HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading. (2023). Ranaldo, Angelo ; Huang, Wenqian ; Yu, Shihao ; O'Neill, Peter. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2348.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Algorithmic trading and block ownership initiation: An information perspective. (2023). Zhu, Yushu ; Zheng, Jiayi. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922000828.

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2023Innovation Success and Capital Structure. (2023). Rajaiya, Harshit. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001882.

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2023Firms’ rollover risk, capital structure and unequal exposure to aggregate shocks. (2023). Varghese, Richard ; Haque, Sharjil. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000652.

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2024Uncertainty shocks, equity financing, and business cycle amplifications. (2024). Park, Jongho. In: Journal of Corporate Finance. RePEc:eee:corfin:v:85:y:2024:i:c:s0929119924000233.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001318.

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2024Financial decisions involving credit default swaps over the business cycle. (2024). Yang, Zhaojun ; Gan, Liu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000228.

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2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Tu, Jun ; Sang, BO ; Guo, LI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2023Socially conscious investment funds and home country institutions. (2023). Smimou, K ; Hoover, Gary A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:395-417.

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2023Regulations, politics, and firm green innovation. (2023). Sheng, Yan ; Xu, Jian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:13-32.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109.

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2023Reinforcing the effects of corruption and financial constraints on firm performance: Normal versus crisis period in developing economies. (2023). Sharma, Chandan ; Priya, Pragati. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002754.

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2023Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x.

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2023Cyclical capital structure decisions. (2023). Uribe, Jorge ; Plana-Erta, Dolors ; Llobet-Dalmases, Joan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000402.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

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2023Customer–supplier relationships and non-linear financial policy response. (2023). Zhao, Longkai ; Wong, Kacheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:180-205.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023A latent factor model for the Chinese stock market. (2023). Jiang, Fuwei ; Leong, Wen Jun ; Ma, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000716.

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2023The puzzle of household wealth preservation and corporate innovation. (2023). Wang, Jiawei ; Liu, Jiemei ; Huang, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300409x.

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2024The effect of lead institutional investors on investment and capital structure of young firms: Evidence from Indian IPOs. (2024). Ramanna, Vishwanatha Saragur ; Singhal, Ankit ; Sharma, Aarti. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005124.

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2024Herding towards carbon neutrality: The role of investor attention. (2024). Zhu, Zhaobo ; Shen, Dehua ; Shi, Guiqiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005653.

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2024Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic. (2024). Zhao, Ruoyun ; Armanious, Amir. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000255.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Data breach disclosures and stock price crash risk: Evidence from data breach notification laws. (2024). Silveri, Sabatino ; Phan, Hieu V ; Cao, Hung. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000966.

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2023Firm-level political risk and external financing choices. (2023). Kim, Hyung Tae ; Choi, Heeick ; Jang, Soomi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323007092.

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2023Business environment and corporate financing decisions: From the perspective of dynamic adjustment of capital structure. (2023). Lin, Yuyang ; Chen, Zehao ; Pan, Jingrui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008334.

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2024Macroeconomic impact and stock returns vulnerability by size, solvency, and financial distress. (2024). Baek, Seungho ; Glambosky, Mina. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010905.

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2023Transaction costs, frequent trading, and stock prices. (2023). Isaenko, Sergey. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000647.

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2023Banning dark pools: Venue selection and investor trading costs. (2023). Suntheim, Felix ; Oneill, Peter ; Hoffmann, Peter ; Gozluklu, Arie ; Neumeier, Christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000290.

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2024Business seasonality and stock liquidity. (2024). Shang, Chenguang ; Marks, Joseph M. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000678.

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2024Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program. (2024). Zhou, Jiayu ; Lin, Tse-Chun ; Deng, Mengdie. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s138641812300068x.

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2024Limits of arbitrage and their impact on market efficiency: Evidence from China. (2024). Khan, Ali ; Haboub, Ahmad ; Chen, Jian. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001114.

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2023Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs. (2023). Seok, Sangik ; Cho, Hoon ; Kim, Jinhwan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001531.

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2024Liquidity dynamics between virtual and equity markets. (2024). Huang, Sherena S. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001853.

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2024Firm-level political risk and equity issuance. (2024). Hasan, Shehub Bin ; Kabir, Muhammad ; Haque, Anamul ; Rahman, Dewan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000106.

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2024Family firm, financial constraint, and environmental preparedness: An international study. (2024). Wang, Yuan ; Haider, Zulfiquer. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000453.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Harry Markowitz: An appreciation. (2023). Guerard, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1496-1501.

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2023COVID-19 and market structure dynamics. (2023). Woods, Donovan ; Cox, Justin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621003137.

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2023Intraday momentum in the VIX futures market. (2023). Yang, Jimmy J ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260.

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2023Canonical portfolios: Optimal asset and signal combination. (2023). Firoozye, Nikan ; Zohren, Stefan ; Tan, Vincent. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001577.

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2023What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242.

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2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

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2023Heterogeneous liquidity providers and night-minus-day return predictability. (2023). Qin, Zhongling ; Malliaris, Steven ; Lu, Zhongjin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:175-200.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Fire sale risk and expected stock returns. (2023). Kim, Min S ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:578-609.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2024What difference do new factor models make in portfolio allocation?. (2024). Jiang, Fuwei ; Huang, Dashan ; Fabozzi, Frank J ; Wang, Jiexun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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2023Social unrest and corporate behaviour during the Arab Spring period. (2023). Ghosh, Saibal. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000014.

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2024Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis. (2024). Sidhu, Arpit ; Bajaj, Parminder Kaur ; Kumari, Vineeta ; Kakran, Shubham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000543.

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2024Electricity shortfalls and financial leverage of listed firms in Pakistan. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Rasool, Yasir ; Naveed, Hafiz Muhammad ; Haris, Muhammad ; Akhtar, Muhammad. In: Utilities Policy. RePEc:eee:juipol:v:87:y:2024:i:c:s0957178724000122.

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2023Institutional ownership and momentum in the Chinese A-share market. (2023). Wang, Peng ; Xiong, Tao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000860.

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2023High-frequency traders’ evolving role as market makers. (2023). Roy, Prince ; Banerjee, Anirban. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x2300255x.

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2023An intraday analysis of block orders on the Taiwan Stock Exchange. (2023). Wu, Yi-Hsien ; Hung, Pi-Hsia ; Lien, Donald. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:133-147.

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2023Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283.

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2024Tug of war with noise traders? Evidence from the G7 stock markets. (2024). Luczak, Adalbert ; Keiber, Karl Ludwig ; Hajiyev, Aghamehman. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:234-243.

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2024On the conditional performance of the IVOL anomaly. (2024). Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:337-350.

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2024Do financing constraints affect the financial integrity of firms?. (2024). Houcine, Asma ; Marashdeh, Hazem ; Mertzanis, Charilaos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:220-240.

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2023Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x.

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2024Local stock liquidity and local factors: Fresh evidence from US firms across states. (2024). Apergis, Nicholas ; Dastidar, Sayantan Ghosh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002386.

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2024Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach. (2024). , Keith ; Qin, Zhenjiang ; Yu, BO ; Dong, Liang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000394.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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2023Impact of Paris Agreement on financing strategy: Evidence from global FPSO industry. (2023). Shubita, Moade ; Chowdhury, Anup ; Lee, Lillian. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162522007879.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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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.
[Full Text][Citation analysis]		paper69
2010Intraday Patterns in the Cross-section of Stock Returns.(2010) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article252
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article46
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
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]		article34
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
[Full Text][Citation analysis]		article24
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article310
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article254
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
[Full Text][Citation analysis]		article394
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]		article233
2024Nonstandard errors In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2002Predicting Equity Liquidity In: Management Science.
[Full Text][Citation analysis]		article54
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2019Semi-strong factors in asset returns In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2024Semi-Strong Factors in Asset Returns*.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
[Full Text][Citation analysis]		chapter46
1989Understanding Stock Price Behavior around the Time of Equity Issues.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		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]		paper2
2023An Intangibles-Adjusted Profitability Factor In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2002Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance In: The Review of Financial Studies.
[Citation analysis]		article1
2019High-Frequency Market Making to Large Institutional Trades In: The Review of Financial Studies.
[Full Text][Citation analysis]		article32
2021Arbitrage Portfolios In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
1991The Effect of Information Releases on the Pricing and Timing of Equity Issues. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article125
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: The World Bank Economic Review.
[Citation analysis]		article74
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 nother version. Agregated cites: 74		paper
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book29
2014Market Liquidity: Asset Pricing, Risk, and Crises In: Quantitative Finance.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]		paper22
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
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]		article107
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]		article156
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]		article43
2003Are Momentum Profits Robust to Trading Costs? In: Finance.
[Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team