Robert Korajczyk : Citation Profile


Are you Robert Korajczyk?

Northwestern University

16

H index

20

i10 index

1496

Citations

RESEARCH PRODUCTION:

20

Articles

10

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   31 years (1985 - 2016). See details.
   Cites by year: 48
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 99.    Total self citations: 9 (0.6 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko2
   Updated: 2018-06-16    RAS profile: 2017-01-09    
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Relations with other researchers


Works with:

Connor, Gregory (2)

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

Is cited by:

LINTON, OLIVER (23)

Jagannathan, Ravi (21)

Bai, Jushan (20)

Swanson, Norman (20)

Ferson, Wayne (17)

Forni, Mario (15)

Pesaran, M (14)

Marcellino, Massimiliano (13)

Reichlin, Lucrezia (13)

Connor, Gregory (13)

Ng, Serena (12)

Cites to:

Campbell, John (25)

Connor, Gregory (21)

Fama, Eugene (16)

Bollerslev, Tim (11)

French, Kenneth (11)

Stambaugh, Robert (10)

Keim, Donald (10)

Roll, Richard (10)

Jagannathan, Ravi (9)

Lo, Andrew (9)

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
Journal of Finance3
The Journal of Business2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Research Program in Finance Working Papers / University of California at Berkeley4

Recent works citing Robert Korajczyk (2018 and 2017)


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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2017Statistical Industry Classification. (2017). 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). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1703.00703.

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2017Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David . In: Papers. RePEc:arx:papers:1703.09500.

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2017Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage. (2017). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . 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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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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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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2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Huang, Sheng ; Xie, RU ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:17004.

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

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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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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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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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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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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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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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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Patari, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville . In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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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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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2018A comparison of static and dynamic portfolio policies. (2018). Wang, Jianshen ; Taylor, Nick. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:111-127.

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2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Lu, Wenna ; Taylor, Nick. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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2017The determinants and pricing of liquidity commonality around the world. (2017). Moshirian, Fariborz ; Zhang, Bohui ; Ghee, Claudia Koon ; Qian, Xiaolin . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:22-41.

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2018Bid- and ask-side liquidity in the NYSE limit order book. (2018). Cenesizoglu, Tolga ; Grass, Gunnar . In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:14-38.

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2018Higher-moment liquidity risks and the cross-section of stock returns. (2018). Kim, Soonho ; Na, Haejung. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:39-59.

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2017Why do banks choose to finance with equity?. (2017). Sorokina, Nonna Y ; Patel, Ajay ; Thornton, John H. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:36-52.

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2017Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market. (2017). Sensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:62-80.

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2017The world price of sentiment risk. (2017). Keiber, Karl Ludwig ; Samyschew, Helene . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:62-82.

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2018Implied volatility linkages between the U.S. and emerging equity markets: A note. (2018). Dutta, Anupam. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:138-146.

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2017Family ties and access to finance in an Islamic environment. (2017). Mertzanis, Charilaos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:1-24.

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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods. (2018). Kim, Hyun Hak ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:339-354.

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2017Intraday online investor sentiment and return patterns in the U.S. stock market. (2017). Renault, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:25-40.

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2017Regionally integrated asset pricing on the African stock markets: Evidence from the Fama French and Carhart models. (2017). Boamah, Nicholas Addai ; Loudon, Geoffrey ; Watts, Edward . In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:29-44.

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2017The effects of removing barriers to equity issuance. (2017). Gustafson, Matthew T ; Iliev, Peter . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:580-598.

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2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). (2017). Dannhauser, Caitlin D. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:537-560.

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2017The effects of institutional investor objectives on firm valuation and governance. (2017). Yang, Jie ; Borochin, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:1:p:171-199.

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2017Credit market imperfections, labor markets, and leverage dynamics in emerging economies. (2017). Gonzalez, Andres ; Finkelstein Shapiro, Alan ; Gomez, Andres Gonzalez . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:44-63.

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2017The term structure of credit spreads and business cycle in Japan. (2017). Okimoto, Tatsuyoshi ; Takaoka, Sumiko . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:45:y:2017:i:c:p:27-36.

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2017Taxes and capital structure: Understanding firms’ savings. (2017). Armenter, Roc ; Hnatkovska, Viktoria . In: Journal of Monetary Economics. RePEc:eee:moneco:v:87:y:2017:i:c:p:13-33.

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2017Level and volatility factors in macroeconomic data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:91:y:2017:i:c:p:52-68.

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2017Limits-to-arbitrage, investment frictions, and innovation anomalies. (2017). Chan, Konan ; Wang, Yanzhi ; Lin, Yueh-Hsiang . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:1-14.

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2017Japanese corporate leverage during the Lost Decades. (2017). Khoo, Joye ; Durand, Robert B. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:94-108.

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2018Do Chinese mutual funds time the market?. (2018). Yi, LI ; Gan, Shunli ; Qin, Zilong ; He, Lei ; Liu, Zilan . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:1-19.

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2017Introducing Hurst exponent in pair trading. (2017). Ramos-Requena, J P ; Sanchez-Granero, M A ; Trinidad-Segovia, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:488:y:2017:i:c:p:39-45.

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2017Economic forecast and corporate leverage choices: The role of the institutional environment. (2017). Pindado, Julio ; Rivera, Juan C ; Requejo, Ignacio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:121-144.

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2017Capital structure in the Chilean corporate sector: Revisiting the stylized facts. (2017). san Martin, Pablo ; Saona, Paolo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:163-174.

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2018Emotional intelligence and financial decision making: Are we talking about a paradigmatic shift or a change in practices?. (2018). Bouzguenda, Karima. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:273-284.

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2017Could High-Tech Companies Learn from Others While Choosing Capital Structure?. (2017). Kokoreva, Maria ; Povk, Kirill ; Stepanova, Anastasia. In: HSE Working papers. RePEc:hig:wpaper:62/fe/2017.

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2017Does corporate control matter to financial volatility?. (2017). Rungi, Armando ; Gianfagna, Laura . In: Working Papers. RePEc:ial:wpaper:9/2017.

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2018Financial Constraints and Firm Capital Structure in Kenya. (2018). Kirui, Benard Kipyegon ; Gor, Seth Omondi. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:1:p:177-190.

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2018“Together forever? Good and bad market volatility shocks and international consumption risk sharing: A tale of a sign”. (2018). Chuliá, Helena ; Uribe, Jorge M ; Chulia, Helena. In: IREA Working Papers. RePEc:ira:wpaper:201809.

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2018Portfolio Selection using New Factors based on Firm Characteristics. (2018). Suh, Sangwon. In: Journal of Economic Development. RePEc:jed:journl:v:43:y:2018:i:1:p:77-99.

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2018Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?. (2018). Gruener, Andreas ; Finke, Christian . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:8-30.

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2017A Generalized Factor Model with Local Factors. (2017). Freyaldenhoven, Simon. In: 2017 Papers. RePEc:jmp:jm2017:pfr361.

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2018Business cycles, financial cycles and capital structure. (2018). Al-Zoubi, Haitham ; Alwathnani, Abdulaziz M ; Osullivan, Jennifer A. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0306-z.

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2018Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test. (2018). Balcilar, Mehmet ; Chisoro, Shingie ; Loate, Tumisang B ; Babalos, Vassilios. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9344-4.

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2017Hedge funds as international liquidity providers: evidence from convertible bond arbitrage in Canada. (2017). Gatev, Evan ; Li, Mingxin. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0285-0.

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2017Trading strategies based on past returns: evidence from Germany. (2017). Schmidt, Martin H. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0288-x.

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2018Real Earnings Management, Liquidity Risk and REITs SEO Dynamics. (2018). Deng, Xiaoying ; Ong, Seow Eng. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:3:d:10.1007_s11146-017-9649-5.

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2017The R&D-abnormal return anomaly: a transaction cost explanation. (2017). Brockman, Paul ; Chung, Dennis Y ; Shaw, Kenneth W. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0555-3.

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2017The investment performance, attributes, and investment behavior of ethical equity mutual funds in the US: an empirical investigation. (2017). Rahman, Shafiqur ; Xiao, Yaqing ; Lee, Cheng-Few. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0581-1.

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2018Stock price reaction to profit warnings: the role of time-varying betas. (2018). Yin, Shuxing ; Saadouni, Brahim ; Benamraoui, Abdelhafid ; Mazouz, Khelifa. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0623-3.

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2017Asset Pricing and Excess Returns over the Market Return. (2017). Ahn, Seung C ; Horenstein, Alex R. In: Working Papers. RePEc:mia:wpaper:2017-12.

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2017Estimation and inference in semiparametric quantile factor models. (2017). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8.

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2017Government Debt and Corporate Leverage: International Evidence. (2017). Sialm, Clemens ; Huang, Jennifer ; Demirci, Irem . In: NBER Working Papers. RePEc:nbr:nberwo:23310.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2017Level and Volatility Factors in Macroeconomic Data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: NBER Working Papers. RePEc:nbr:nberwo:23672.

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2017A Tough Act to Follow: Contrast Effects In Financial Markets. (2017). Hartzmark, Samuel M ; Shue, Kelly. In: NBER Working Papers. RePEc:nbr:nberwo:23883.

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2017Sparse Signals in the Cross-Section of Returns. (2017). Chinco, Alexander M ; Ye, Mao ; Clark-Joseph, Adam D. In: NBER Working Papers. RePEc:nbr:nberwo:23933.

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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?*. (2018). Guidolin, Massimo ; Ravazzolo, Francesco ; Bianchi, Daniele. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:34-62..

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2017Assessing hedge fund performance with institutional constraints: evidence from CTA funds. (2017). Bilson, John ; John , ; Baek, Seungho ; Molyboga, Marat. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:7:d:10.1057_s41260-017-0053-8.

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2017Fundamental Indexation in European Emerging Markets. (2017). Miziolek, Tomasz ; Zaremba, Adam. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:1:p:23-37.

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2017Factor Investing: The Rocky Road from Long-Only to Long-Short. (2017). Szafarz, Ariane ; Briere, Marie. In: Working Papers CEB. RePEc:sol:wpaper:2013/249918.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2018The variance risk premium and capital structure. (2018). Lotfaliei, Babak. In: ESRB Working Paper Series. RePEc:srk:srkwps:201870.

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2017Constrained principal components estimation of large approximate factor models. (2017). Ouysse, Rachida. In: Discussion Papers. RePEc:swe:wpaper:2017-12.

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2017Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2017). Moinas, Sophie ; Valentex, Giorgio ; Nguyen, Minh. In: TSE Working Papers. RePEc:tse:wpaper:31753.

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2017Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade. (2017). Olbrys, Joanna ; Mursztyn, Michal. In: Operations Research and Decisions. RePEc:wut:journl:v:4:y:2017:p:111-127:id:1316.

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2017Habitat momentum. (2017). Weron, Rafał ; Maryniak, Pawel . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1705.

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2018Financial Constraints and Firm Capital Structure in Kenya. (2018). Kirui, Benard Kipyegon ; Gor, Seth Omondi. In: EconStor Open Access Articles. RePEc:zbw:espost:172486.

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2017The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets. (2017). Driessen, Joost ; Simon, Zorka ; Nijman, Theo E. In: SAFE Working Paper Series. RePEc:zbw:safewp:183.

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Works by Robert Korajczyk:


YearTitleTypeCited
2010Intraday Patterns in the Cross-section of Stock Returns In: Papers.
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paper11
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: 11
article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
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article168
2004Are Momentum Profits Robust to Trading Costs? In: Journal of Finance.
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article111
2003Are Momentum Profits Robust to Trading Costs?.(2003) In: Finance.
[Citation analysis]
This paper has another version. Agregated cites: 111
paper
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
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article31
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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article3
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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article17
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
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article22
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
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article196
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
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article150
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
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article184
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
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article139
2002Predicting Equity Liquidity In: Management Science.
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article37
2014A Performance Comparison of Large-n Factor Estimators 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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chapter30
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: 30
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.
[Citation analysis]
article1
1991The Effect of Information Releases on the Pricing and Timing of Equity Issues. In: Review of Financial Studies.
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article68
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: World Bank Economic Review.
[Citation analysis]
article48
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: 48
paper
2010Introduction In: Introductory Chapters.
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chapter3
2010Portfolio Risk Analysis In: Economics Books.
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book3
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]
paper13
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]
article75
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]
article125
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]
article33

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 2th 2018. Contact: CitEc Team