Robert Korajczyk : Citation Profile


Are you Robert Korajczyk?

Northwestern University

16

H index

20

i10 index

1410

Citations

RESEARCH PRODUCTION:

20

Articles

10

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   31 years (1985 - 2016). See details.
   Cites by year: 45
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 124.    Total self citations: 9 (0.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko2
   Updated: 2017-11-18    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 (22)

Jagannathan, Ravi (21)

Swanson, Norman (20)

Bai, Jushan (19)

Ferson, Wayne (17)

Forni, Mario (15)

Pesaran, M (14)

Connor, Gregory (13)

Reichlin, Lucrezia (13)

Koopman, Siem Jan (12)

Gambetti, Luca (11)

Cites to:

Campbell, John (25)

Connor, Gregory (21)

Fama, Eugene (16)

French, Kenneth (11)

Bollerslev, Tim (11)

Keim, Donald (10)

Stambaugh, Robert (10)

Roll, Richard (10)

Jagannathan, Ravi (9)

Lo, Andrew (9)

Leland, Hayne (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 (2017 and 2016)


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

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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

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2016Robust Factor Models with Explanatory Proxies. (2016). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1607.04883.

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2016Naive Diversification Preferences and their Representation. (2016). Mahmoud, Ola ; De Giorgi, Enrico. In: Papers. RePEc:arx:papers:1611.01285.

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2016International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints. (2016). Parkes, Andrew J ; Chatsanga, Nonthachote . In: Papers. RePEc:arx:papers:1611.01463.

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2016Random matrix approach to estimation of high-dimensional factor models. (2016). 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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2016The determinants of long-term debt issuance by European banks: evidence of two crises.. (2016). Yang, Jing ; Rixtel, Adrian ; van Rixtel, Adrian ; Gonzalez, Luna Romo . In: Working Papers. RePEc:bde:wpaper:1621.

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2016Has the pricing of stocks become more global?. (2016). Schrimpf, Andreas ; Wagner, Alexander F ; Petzev, Ivan . In: BIS Working Papers. RePEc:bis:biswps:560.

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2016High Frequency Trading and Fragility. (2016). Vives, Xavier ; Cespa, Giovanni . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6279.

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2016Variables macroeconómicas y microeconómicas que influyen en la estimación del costo de capital: un estudio de caso. (2016). Gaitan Riaño, Sandra ; Echeverri, Daniel Cardona ; Ceballos, Hermilson Velasquez ; Riao, Sandra Gaitan . In: REVISTA FACULTAD DE CIENCIAS ECONÓMICAS. RePEc:col:000180:015266.

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2016Macroeconomic and Institutional Determinants of Capital Structure Decisions. (2016). Colombo, Luca ; Botta, Marco. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def038.

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

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2016Measuring the uncertainty of Principal Components in Dynamic Factor Models. (2016). 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). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . 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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2016Does Financing Decision Influence Corporate Performance in Malaysia?. (2016). Nazri, Wan Mohd ; Mansor, Anizawati Ahmad ; Endut, Wan Anisah ; Norwani, Norlia Mat. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-45.

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2016Environmental Incentives for and Usefulness of Textual Risk Reporting: Evidence from Germany. (2016). Elshandidy, Tamer ; Shrives, Philip J. In: The International Journal of Accounting. RePEc:eee:accoun:v:51:y:2016:i:4:p:464-486.

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2016Supply of capital and capital structure: The role of financial development. (2016). Antzoulatos, Angelos ; Tsiritakis, Emmanuel ; Koufopoulos, Kostas . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:166-195.

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2016Financing uncertain growth. (2016). Li, Jay Y ; Mauer, David C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:241-261.

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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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2016The skewness risk premium in currency markets. (2016). Broll, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:494-511.

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2016Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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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). Xiu, Dacheng ; Ait-Sahalia, Yacine . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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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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2016Parameters measuring bank risk and their estimation. (2016). Tsionas, Mike. In: European Journal of Operational Research. RePEc:eee:ejores:v:250:y:2016:i:1:p:291-304.

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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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2016Conditional portfolio allocation: Does aggregate market liquidity matter?. (2016). Bazgour, Tarik ; Sougne, Danielle . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:110-135.

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2016Are target leverage ratios stable? Investigating the impact of corporate asset restructuring. (2016). Cook, Douglas O ; Tang, Tian ; Fu, Xudong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:150-168.

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2016A risk-return explanation of the momentum-reversal “anomaly”. (2016). Booth, Geoffrey G ; Leung, Wai Kin ; Fung, Hung-Gay . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:68-77.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Risk and return of short-duration equity investments. (2016). Cejnek, Georg ; Randl, Otto . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:181-198.

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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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2016A review of behavioural and management effects in mutual fund performance. (2016). Cuthbertson, Keith ; O'Sullivan, Niall ; Nitzsche, Dirk . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:162-176.

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2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

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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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2016Commonality in liquidity: Effects of monetary policy and macroeconomic announcements. (2016). Sensoy, Ahmet ; Şensoy, Ahmet. In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:125-131.

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2016Pricing errors and the geography of trade in the foreign exchange market. (2016). Piccotti, Louis R. In: Journal of Financial Markets. RePEc:eee:finmar:v:28:y:2016:i:c:p:46-69.

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2016Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman . In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124.

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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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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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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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2016The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

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2016Currency momentum, carry trade, and market illiquidity. (2016). Orlov, Vitaly . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:1-11.

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2016An index-based measure of liquidity. (2016). Chacko, George ; Das, Sanjiv . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:162-178.

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2016Commodities momentum: A behavioral perspective. (2016). Bianchi, Robert ; Fan, John Hua ; Drew, Michael E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:133-150.

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2016Stock return predictability and investor sentiment: A high-frequency perspective. (2016). Shen, Jiancheng ; Sun, Licheng ; Najand, Mohammad . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:147-164.

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2016Trading book and credit risk: How fundamental is the Basel review?. (2016). Laurent, Jean-Paul ; Thomas, Stephane ; Sestier, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:211-223.

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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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2016Dynamic portfolio choice with frictions. (2016). Pedersen, Lasse ; Garleanu, Nicolae . In: Journal of Economic Theory. RePEc:eee:jetheo:v:165:y:2016:i:c:p:487-516.

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2016Can analysts pick stocks for the long-run?. (2016). Hansen, Robert ; Altinkili, Oya ; Ye, Liyu . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:2:p:371-398.

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2016Adverse selection, slow-moving capital, and misallocation. (2016). Papanikolaou, Dimitris ; Fuchs, William ; Green, Brett. In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:2:p:286-308.

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2016Under new management: Equity issues and the attribution of past returns. (2016). Baker, Malcolm ; Xuan, Yuhai . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:66-78.

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2016Can information be locked up? Informed trading ahead of macro-news announcements. (2016). Tang, Yuehua ; Hu, Jianfeng ; Bernile, Gennaro . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:3:p:496-520.

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2016Leverage dynamics over the business cycle. (2016). Zechner, Josef ; Halling, Michael ; Yu, Jin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:1:p:21-41.

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2016Momentum crashes. (2016). Daniel, Kent ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:2:p:221-247.

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2016A trend factor: Any economic gains from using information over investment horizons?. (2016). Han, Yufeng ; Zhu, Yingzi ; Zhou, Guofu . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:2:p:352-375.

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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). 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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2016Commodities common factor: An empirical assessment of the markets drivers. (2016). Posch, Peter N ; Lubbers, Johannes . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:28-40.

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2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-415.

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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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2016Identifying the relative importance of stock characteristics. (2016). Li, Youwei ; French, Declan ; Wu, Yuliang . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:34:y:2016:i:c:p:80-91.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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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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2016State and group dynamics of world stock market by principal component analysis. (2016). Nobi, Ashadun ; Lee, Jae Woo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:85-94.

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2016Illiquidity premium and expected stock returns in the UK: A new approach. (2016). Sherif, Mohamed . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:52-66.

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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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2016Factors determining capital structure and corporate performance in India: Studying the business cycle effects. (2016). Bandyopadhyay, Arindam ; Barua, Nandita Malini . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:160-172.

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2016Debt and communications technology diffusion: Retrospective evidence. (2016). Majumdar, Sumit K. In: Research Policy. RePEc:eee:respol:v:45:y:2016:i:2:p:458-474.

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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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2016Governance and firm value: The effect of a recession. (2016). Dah, Mustafa A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:464-476.

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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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2016Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections. (2016). Koundouri, Phoebe ; Kourogenis, Nikolaos ; Pittis, Nikitas . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:65549.

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2016Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1. (2016). Ur, Mobeen ; Amir, Syed Muhammad . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:10:d:70201.

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2016Capital Structure of Borrowers and Lenders: An Empirical Analysis. (2016). Dzhamalova, Valeriia . In: Knut Wicksell Working Paper Series. RePEc:hhs:luwick:2016_001.

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2016Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2016). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-4.

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2016Liquidity, liquidity risk and stock returns: evidence from Vietnam. (2016). Vo, Xuan Vinh ; Bui, Hong Thu . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:67-89.

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2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2016). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:567.

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

Works by Robert Korajczyk:


YearTitleTypeCited
2010Intraday Patterns in the Cross-section of Stock Returns In: Papers.
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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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article159
2004Are Momentum Profits Robust to Trading Costs? In: Journal of Finance.
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article98
2003Are Momentum Profits Robust to Trading Costs?.(2003) In: Finance.
[Citation analysis]
This paper has another version. Agregated cites: 98
paper
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
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article29
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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article2
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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article16
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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article188
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
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article147
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
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article167
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
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article128
2002Predicting Equity Liquidity In: Management Science.
[Full Text][Citation analysis]
article36
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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article66
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: World Bank Economic Review.
[Citation analysis]
article43
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: 43
paper
2010Introduction In: Introductory Chapters.
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chapter3
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]
book2
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]
article70
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
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article118
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]
article33

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