Robert Korajczyk : Citation Profile


Are you Robert Korajczyk?

Northwestern University

17

H index

20

i10 index

1902

Citations

RESEARCH PRODUCTION:

22

Articles

11

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   36 years (1985 - 2021). See details.
   Cites by year: 52
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 217.    Total self citations: 10 (0.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko2
   Updated: 2022-05-14    RAS profile: 2021-10-14    
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Relations with other researchers


Works with:

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 (30)

Swanson, Norman (23)

Bai, Jushan (23)

Hallin, Marc (18)

Jagannathan, Ravi (18)

Ferson, Wayne (17)

Barigozzi, Matteo (16)

Kapetanios, George (16)

Forni, Mario (15)

Pesaran, M (15)

Ng, Serena (14)

Cites to:

Campbell, John (25)

Connor, Gregory (24)

Fama, Eugene (17)

French, Kenneth (12)

Bollerslev, Tim (11)

Roll, Richard (10)

Stambaugh, Robert (10)

Keim, Donald (10)

Lo, Andrew (9)

Engle, Robert (8)

LINTON, OLIVER (8)

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
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth2

Recent works citing Robert Korajczyk (2021 and 2020)


YearTitle of citing document
2020Statistical challenges of stress test financial stability assessments. (2020). Kupiec, Paul H. In: AEI Economics Working Papers. RePEc:aei:rpaper:008586461.

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

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2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

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2020Hierarchical PCA and Modeling Asset Correlations. (2020). Serur, Juan Andr'Es ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2010.04140.

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2021Optimal 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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2021The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2021). Wu, Wei ; Shevchenko, Pavel V ; Penev, Spiridon. In: Papers. RePEc:arx:papers:2108.02633.

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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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2020Do macroeconomic factors impact corporate debt? Evidence from India. (2020). Marulkar, Kedar ; Faniband, Muhammadriyaj. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:2020:p:16-23.

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2020Does Financial and Economic Factors Influence Firm Value of Listed Company in Tehran Stock Exchange (TSE)?. (2020). Ebrahimi, Iran ; Rajabi, Ehsan. In: Economic Studies journal. RePEc:bas:econst:y:2020:i:1:p:174-187.

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

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2021Brexit: Cyclical dependence in market neutral hedge funds. (2021). Galvez, Julio ; Crego, Julio A. In: Working Papers. RePEc:bde:wpaper:2141.

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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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2020Social media and price discovery: the case of cross-listed firms. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:20-05.

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2020Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals. (2020). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella. In: Discussion Papers. RePEc:bir:birmec:20-21.

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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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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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2020Why do stock repurchases change over time?. (2020). Huang, Chiawei ; Hsu, Yuanteng. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:938-957.

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2020Credit supply and capital structure adjustments. (2020). Rahman, Shofiqur. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:4:p:949-972.

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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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2020HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW?FREQUENCY STOCK LIQUIDITY. (2020). Gregoriou, Andros ; Le, Huong. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:5:p:1170-1186.

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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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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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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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2021Sentiment Trading and Hedge Fund Returns. (2021). han, bing ; Chen, Yong ; Pan, Jing. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:2001-2033.

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2021Information Asymmetry, Mispricing, and Security Issuance. (2021). Lee, Ji Yoon. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3401-3446.

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

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2020M&A Activity and the Capital Structure of Target Firms. (2020). Hanousek, Jan ; Flannery, Mark J ; Tresl, Jiri ; Shamshur, Anastasiya. In: CERGE-EI Working Papers. RePEc:cer:papers:wp661.

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

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2021Measuring Market Expectations. (2021). Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9305.

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

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2020High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886.

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

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2020Corporate Geographical Location and Capital Structure: Evidence from an Emerging Market. (2020). Alnori, Faisal ; Jerbeen, Mohammed. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-22.

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2020Corporate Leverage Transmission under Information Asymmetry: Evidence from Non-financial Firms of Pakistan. (2020). Ahmed, Bilal ; Bhatti, Abdul Qadir ; Saleem, Qasim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-21.

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2020Latent factor model for asset pricing. (2020). Yu, Dantong ; Uddin, Ajim. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302333.

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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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2020Emerging market corporate leverage and global financial conditions. (2020). Alter, Adrian ; Elekdag, Selim. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300341.

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2020Economic policy uncertainty and short-term financing: The case of trade credit. (2020). Toscano, Francesca ; D'Mello, Ranjan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301309.

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2020Private equity exits after IPOs. (2020). Sushka, Marie E ; Slovin, Myron B ; Dong, QI. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301401.

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2020Carbon risk and corporate capital structure. (2020). Phan, Hieu V ; Nguyen, Justin Hung. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301577.

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2020Arbitrage vs. informed short selling: Evidence from convertible bond issuers. (2020). Koski, Jennifer L ; Henry, Tyler R ; Hackney, John . In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301310.

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2020Quality revealing versus overstating in equity crowdfunding. (2020). Johan, Sofia ; Zhang, Yelin. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301851.

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2021What do insiders know? Evidence from insider trading around share repurchases and SEOs. (2021). michaely, roni ; Cziraki, Peter ; Lyandres, Evgeny. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119918308824.

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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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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Bank loan supply shocks and leverage adjustment. (2020). Shikimi, Masayo. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:447-460.

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2020Do cash flow imbalances facilitate leverage adjustments of Chinese listed firms? Evidence from a dynamic panel threshold model. (2020). Jian, Wenqing ; Zhao, Zhao ; Zhang, Jianhua. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:201-214.

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2020Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462.

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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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2020How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China. (2020). Liu, Guy ; Bo, Yibo ; Gregoriou, Andros. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302198.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

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2020Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects. (2020). Zinde-Walsh, Victoria ; Galbraith, John W. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:609-632.

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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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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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2020Do credit squeezes influence firm survival? An empirical investigation of China. (2020). Zhang, Dongyang. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:3:s0939362518304588.

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2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

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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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2020High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93.

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2021Timing is money: The factor timing ability of hedge fund managers. (2021). , Remco ; Osinga, Albert Jakob. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:266-281.

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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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2020Understanding corporate debt from the oil market perspective. (2020). Nasiri, Maryam Akbari ; Narayan, Paresh Kumar. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302863.

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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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2020Energy price and cost induced innovation: Evidence from China. (2020). Xu, Jian ; Yang, Xiandong ; Kong, Dongmin. In: Energy. RePEc:eee:energy:v:192:y:2020:i:c:s0360544219322819.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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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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2020Commonality in liquidity across options and stock futures markets. (2020). ap Gwilym, Owain ; Williams, Gwion ; Benzennou, Bouchra. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305762.

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2020Seasonality in the Cross-Section of Cryptocurrency Returns. (2020). Demir, Ender ; Long, Huaigang ; Vasenin, Mikhail ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461232030235x.

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2020Executive compensation, macroeconomic conditions, and cash flow cyclicality. (2020). Colonnello, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319305392.

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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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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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paper49
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: 49
article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
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article221
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
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article41
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
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article1
2016Horizon Pricing In: Journal of Financial and Quantitative Analysis.
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article4
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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article27
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
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article23
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
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article252
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]
article205
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
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article287
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
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article199
2002Predicting Equity Liquidity In: Management Science.
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article47
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
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paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: 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.
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paper0
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
[Full Text][Citation analysis]
chapter35
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: 35
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
2019High-Frequency Market Making to Large Institutional Trades In: Review of Financial Studies.
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article7
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]
article111
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: World Bank Economic Review.
[Citation analysis]
article55
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: 55
paper
2010Introduction In: Introductory Chapters.
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chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]
book12
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]
paper18
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]
article97
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]
article139
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]
article42
2003Are Momentum Profits Robust to Trading Costs? In: Finance.
[Citation analysis]
paper1

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