Robert Korajczyk : Citation Profile

Are you Robert Korajczyk?

Northwestern University

18

H index

21

i10 index

2172

Citations

RESEARCH PRODUCTION:

22

Articles

14

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   36 years (1985 - 2021). See details.
   Cites by year: 60
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 210.    Total self citations: 10 (0.46 %)

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   Permalink: http://citec.repec.org/pko2
   Updated: 2023-05-27    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Colliard, Jean-Edouard (2)

Park, Andreas (2)

Scaillet, Olivier (2)

van Kervel, Vincent (2)

Tonks, Ian (2)

Frömmel, Michael (2)

Hjalmarsson, Erik (2)

Ranaldo, Angelo (2)

Prokopczuk, Marcel (2)

Pelizzon, Loriana (2)

Smales, Lee (2)

Frijns, Bart (2)

Verousis, Thanos (2)

Ait-Sahalia, Yacine (2)

Patel, Vinay (2)

Ødegaard, Bernt (2)

Caporin, Massimiliano (2)

Sarno, Lucio (2)

Taylor, Nick (2)

Kassner, Bernhard (2)

Dumitrescu, Ariadna (2)

Wolff, Christian (2)

Lof, Matthijs (2)

Hautsch, Nikolaus (2)

Brownlees, Christian (2)

Rakowski, David (2)

Bouri, Elie (2)

Harris, Jeffrey (2)

PASCUAL, ROBERTO (2)

Patton, Andrew (2)

Gerritsen, Dirk (2)

Dimpfl, Thomas (2)

Abudy, Menachem (2)

Renault, Thomas (2)

Talavera, Oleksandr (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Schuerhoff, Norman (2)

Dreber, Anna (2)

Menkveld, Albert (2)

Putnins, Talis (2)

CAPELLE-BLANCARD, Gunther (2)

Schenk-Hoppé, Klaus (2)

Liew, Chee (2)

Adrian, Tobias (2)

Rinne, Kalle (2)

Jurkatis, Simon (2)

Hurlin, Christophe (2)

Reitz, Stefan (2)

LINTON, OLIVER (2)

Nielsson, Ulf (2)

Gorbenko, Arseny (2)

Stefanova, Denitsa (2)

Vogel, Sebastian (2)

Kearney, Fearghal (2)

Horenstein, Alex (2)

Foucault, Thierry (2)

Walther, Thomas (2)

Schwarz, Marco (2)

Pastor, Lubos (2)

Xia, Shuo (2)

Davies, Ryan (2)

Palan, Stefan (2)

Jalkh, Naji (2)

Pasquariello, Paolo (2)

Wong, Wing-Keung (2)

Theissen, Erik (2)

Deev, Oleg (2)

Moinas, Sophie (2)

He, Xuezhong (Tony) (2)

FERROUHI, EL MEHDI (2)

Zhou, Chen (2)

Chernov, Mikhail (2)

Xiu, Dacheng (2)

Vilkov, Grigory (2)

Ferrara, Gerardo (2)

Chow, Nikolai Sheung-Chi (2)

Heath, Davidson (2)

Sojli, Elvira (2)

Wilhelmsson, Anders (2)

Gehrig, Thomas (2)

Regis, Luca (2)

Alexeev, Vitali (2)

Holzmeister, Felix (2)

Roy, Saurabh (2)

Bos, Charles (2)

Lajaunie, Quentin (2)

Bohorquez Correa, Santiago (2)

Johannesson, Magnus (2)

Deku, Solomon (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)

Swanson, Norman (23)

Hallin, Marc (19)

Jagannathan, Ravi (19)

Kapetanios, George (19)

Barigozzi, Matteo (18)

Pesaran, Mohammad (17)

Ferson, Wayne (17)

Forni, Mario (16)

Reichlin, Lucrezia (15)

Cites to:

Campbell, John (26)

Connor, Gregory (25)

Fama, Eugene (17)

Keim, Donald (14)

French, Kenneth (12)

Bollerslev, Tim (12)

Stambaugh, Robert (12)

Roll, Richard (12)

Lo, Andrew (11)

Jagannathan, Ravi (9)

Watson, Mark (9)

Main data

Where Robert Korajczyk has published?

Journals with more than one article published# docs
Review of Financial Studies4
Journal of Financial Economics4
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 (2023 and 2022)

YearTitle of citing document
2022Stock market linkages in Asia. Revisiting Granger causality evidences. (2022). Saji, T G. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:151-168.

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2022Developing a Framework for Real-Time Trading in a Laboratory Financial Market. (2022). Marner-Hausen, Mark. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:172.

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2022High 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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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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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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2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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

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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:v:11:y:2021:i:6:p:488-500:id:2101.

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2021Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana. (2021). Martinez-Cruz, Diego Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1167.

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2021Social trust and the speed of corporate leverage adjustment: evidence from around the globe. (2021). Faff, Robert ; Lu, Yue ; Huang, Peng. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3261-3303.

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2021Leverage deviation from the target debt ratio and leasing. (2021). Sankaran, Harikumar ; Rahman, Shofiqur ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3481-3515.

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2022Drought risk and capital structure dynamics. (2022). Hou, Greg ; Bai, Min ; Nguyen, Thao ; Truong, Cameron. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3397-3439.

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2022An investigation of CEO characteristics on firm performance. (2022). Reddy, Krishna ; Wallace, Damien ; Shen, Yun ; Ramiah, Vikash. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3563-3607.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1231-1272.

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2021Drivers of farm business capital structure and its speed of adjustment: evidence from Western Australia’s Wheatbelt. (2021). Kingwell, Ross S ; Mugera, Amin W ; West, Steele C. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:65:y:2021:i:2:p:391-412.

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2021Are firm characteristics priced differently between opposite short?sales regimes?. (2021). Bai, Min. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:1:p:95-118.

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2022Financial crises, banking regulations, and corporate financing patterns around the world. (2022). Oztekin, Ozde ; Gungoraydinoglu, Ali. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:3:p:506-539.

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2022High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107.

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2021Fire?Sale Spillovers and Systemic Risk. (2021). Eisenbach, Thomas ; Duarte, Fernando. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1251-1294.

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2022Policy uncertainty and cash dynamics. (2022). Tut, Daniel. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:422-444.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders. (2022). Liaudinskas, Karolis. In: Working Paper. RePEc:bno:worpap:2022_6.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

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2022.

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2021A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2022Banks’ Seasoned Equity Offerings Announcements and Central Bank Lending Operations. (2022). Mokas, Dimitris ; Kakes, Jan ; Giuliodori, Massimo. In: Working Papers. RePEc:dnb:dnbwpp:748.

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2022High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19. (2022). Alshareif, Elgilani E ; Kamalov, Firuz ; Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-05-50.

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2021Abnormal volatility in seasoned equity offerings during economic disruptions. (2021). Bakry, Walid ; Prasad, Mason ; Varua, Maria Estela. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000538.

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2021Intraday time-series momentum and investor trading behavior. (2021). Roberts, Helen ; Kuruppuarachchi, Duminda ; Zhao, Jing ; Onishchenko, Olena. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021001015.

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2021The effect of corporate sustainability performance on leverage adjustments. (2021). Qin, Yafeng ; Lu, Yue ; Bai, Min ; Ho, LY. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000159.

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2021Generalized trust, personalized trust, and dynamics of capital structure: Evidence from China. (2021). Tan, Youchao ; Cao, Chunfang ; Chan, Kam C ; Xia, Changyuan. In: China Economic Review. RePEc:eee:chieco:v:68:y:2021:i:c:s1043951x21000584.

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2021Time for gift giving: Abnormal share repurchase returns and uncertainty. (2021). Batten, Jonathan ; Anolick, Nina ; Wagner, Niklas ; Kinateder, Harald. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302315.

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2021Can machines learn capital structure dynamics?. (2021). Strauss, Jack ; Oztekin, Ozde ; Elmore, Ryan ; Amini, Shahram. In: Journal of Corporate Finance. RePEc:eee:corfin:v:70:y:2021:i:c:s0929119921001954.

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2022Bank deregulation and stock price crash risk. (2022). Zeng, Cheng ; Liu, Yangke ; Lee, Edward ; Dang, Viet Anh. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002704.

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2022Short seller attention. (2022). Zaiats, Nataliya ; Ng, Lilian ; Dai, Rui. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002716.

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2022Cost of carry, financial constraints, and dynamics of corporate cash holdings. (2022). Zamanian, Morteza ; Eskandari, Ruhollah. In: Journal of Corporate Finance. RePEc:eee:corfin:v:74:y:2022:i:c:s0929119922000591.

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2022What drives intraday reversal? illiquidity or liquidity oversupply?. (2022). Xiong, Xiong ; Lin, Shen ; Kang, Junqing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000185.

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2022A theory of procyclical market liquidity. (2022). Strobl, Gunter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s0165188922000318.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2021Policy-related risk and corporate financing behavior: Evidence from China’s listed companies. (2021). Lee, Chien-Chiang ; Xiao, Shunyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:539-547.

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2021Investor sentiment and stock price: Empirical evidence from Chinese SEOs. (2021). Yan, Chao ; Huang, Yong ; Lan, Yueqin. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:703-714.

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2021Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384.

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2021Does government funding promote or inhibit the financialization of manufacturing enterprises? Evidence from listed Chinese enterprises. (2021). Lyu, Simeng ; Yang, Shuo ; Qi, Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000875.

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2022Seasonality and momentum across national equity markets. (2022). Balvers, Ronald ; Song, Jian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000584.

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2022Interdependent capital structure choices and the macroeconomy. (2022). Uribe, Jorge M ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000985.

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2022Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model. (2022). Wang, Mingjin ; Gao, Yang ; Zhao, Wandi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001164.

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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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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

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2021Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2021Dynamic spatial panel data models with common shocks. (2021). Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:134-160.

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2022Asymptotic properties of correlation-based principal component analysis. (2022). Yang, Xiye ; Choi, Jungjun. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:1-18.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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2022Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93.

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2021Ethical investing and capital structure. (2021). Ibrahim, Mansor ; Liu, Guangqiang ; Bach, Dinh Hoang ; Narayan, Paresh Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014118304643.

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2022Low liquidity beta anomaly in China. (2022). Li, Youwei ; Vigne, Samuel A ; Han, Xing ; Frommel, Michael. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000406.

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2022Sanctions against Iran, political connections and speed of adjustment. (2022). Mansouri, Kefsan ; Ghaderi, Kaveh ; Aflatooni, Abbas. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000061.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2022Non-marketability and one-day selling lockup. (2022). Wang, Jun ; Su, Tie ; Bian, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:1-23.

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2022Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

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2022The COVID-19 storm and the energy sector: The impact and role of uncertainty. (2022). Bwanya, Princess Rutendo ; Charteris, Ailie ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988321001638.

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2021How does corporate investment react to oil prices changes? Evidence from China. (2021). Wang, Yudong ; Wu, XI. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001201.

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2021Cash holdings and oil price uncertainty exposures. (2021). Tong, Xinle ; Wang, Yudong ; Wu, XI. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002085.

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2022How do macroeconomic dynamics affect small and medium-sized enterprises (SMEs) in the power sector in developing economies: Evidence from Turkey. (2022). Sevindik, Irem ; Uz, Dilek ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003524.

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2021Does the investment horizon of institutional investors matter for stock liquidity?. (2021). Wei, Siqi ; Wang, Xiaoqiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302891.

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2021VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945.

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2021Multinationality and capital structure dynamics: A corporate governance explanation. (2021). Kwansa, Nana Abena ; Gyimah, Daniel ; Sikochi, Anywhere ; Kyiu, Anthony K. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000995.

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2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

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2022The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070.

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2022Are conditional illiquidity risks priced in China? A cross-sectional test. (2022). Yin, Libo ; Lyu, Tongtong ; Su, Zhi. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000497.

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2022Cross-sectional seasonalities and seasonal reversals: Evidence from China. (2022). Guo, Shuxin ; Yuan, Yue ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001260.

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2022A tale of two Us: Corporate leverage and financial asset allocation in China. (2022). Wu, Wanting ; Wang, Fanzhi ; Shen, JI ; Ma, Sichao. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002186.

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2022Foreign ownership and the financing constraints of firms operating in a multinational environment. (2022). Samitas, Aristeidis ; Mertzanis, Charilaos ; Kampouris, Ilias. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002794.

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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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2021Liquidity commonality in extreme quantiles: Indian evidence. (2021). Dixit, Alok ; Tripathi, Abhinava ; Vipul, . In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319305331.

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2021Does investor sentiment on social media provide robust information for Bitcoin returns predictability?. (2021). Renault, Thomas ; Guegan, Dominique. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314199.

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2021Capital structure adjustment speed over the business cycle. (2021). Chen, Yifei ; Lv, Wujun ; Gan, Liu. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319305185.

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2021Convergence in cryptocurrency prices? the role of market microstructure. (2021). Apergis, Nicholas ; Payne, James E ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114.

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2021Validating intra-day risk premium in cross-sectional return curves. (2021). Zhao, Yuqian. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s154461232100101x.

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2022Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136.

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2022Industry competition and firm productivity: Evidence from the antitrust policy in China. (2022). Zhang, Ying E ; Xu, Jian ; Kong, Xiangyi. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002434.

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2022Leverage and the global supply chain. (2022). Hupka, Yuri. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004603.

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2022Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x.

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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]		paper62
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: 62		article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article239
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article44
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]		article30
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]		article288
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article234
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
[Full Text][Citation analysis]		article355
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]		article218
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2002Predicting Equity Liquidity In: Management Science.
[Full Text][Citation analysis]		article49
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 another version. Agregated cites: 0		article
2019Semi-strong factors in asset returns In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
[Full Text][Citation analysis]		chapter47
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: 47		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: Review of Financial Studies.
[Citation analysis]		article1
2019High-Frequency Market Making to Large Institutional Trades In: Review of Financial Studies.
[Full Text][Citation analysis]		article16
2021Arbitrage Portfolios In: Review of Financial Studies.
[Full Text][Citation analysis]		article1
1991The Effect of Information Releases on the Pricing and Timing of Equity Issues. In: Review of Financial Studies.
[Full Text][Citation analysis]		article116
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: The World Bank Economic Review.
[Citation analysis]		article69
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: 69		paper
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book25
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]		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]		article101
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]		article150
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

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