Serhiy Kozak : Citation Profile


Are you Serhiy Kozak?

University of Maryland

3

H index

2

i10 index

68

Citations

RESEARCH PRODUCTION:

2

Articles

4

Papers

RESEARCH ACTIVITY:

   3 years (2017 - 2020). See details.
   Cites by year: 22
   Journals where Serhiy Kozak has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 5 (6.85 %)

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   Permalink: http://citec.repec.org/pko970
   Updated: 2020-10-24    RAS profile: 2020-04-09    
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Relations with other researchers


Works with:

Nagel, Stefan (4)

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

Is cited by:

Weber, Michael (5)

Van Nieuwerburgh, Stijn (4)

Chernov, Mikhail (3)

Stambaugh, Robert (2)

Chen, Andrew (2)

Chen, Mingli (2)

Feng, Guanhao (2)

Yuan, Yu (2)

Giglio, Stefano (2)

Sentana, Enrique (2)

Venegas-Martínez, Francisco (1)

Cites to:

Nagel, Stefan (7)

Cochrane, John (7)

French, Kenneth (6)

Stambaugh, Robert (5)

Hansen, Lars (4)

Zhang, Lu (4)

Chernov, Mikhail (4)

Campbell, John (4)

Pruitt, Seth (3)

Jagannathan, Ravi (3)

Fama, Eugene (3)

Main data


Where Serhiy Kozak has published?


Recent works citing Serhiy Kozak (2020 and 2019)


YearTitle of citing document
2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2020Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019Financial ratios and stock returns reappraised through a topological data analysis lens. (2019). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:1911.10297.

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2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020What Drives Anomaly Returns?. (2020). Tetlock, Paul C ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1417-1455.

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2019Valuing Private Equity Strip by Strip. (2019). van Nieuwerburgh, Stijn ; Gupta, Arpit. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14241.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

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2019Information in mispricing factors for future investment opportunities. (2019). Ryu, Doojin ; Kang, Hankil. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2019Asset pricing model uncertainty. (2019). Borup, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:166-189.

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2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

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2020Turning alphas into betas: Arbitrage and endogenous risk. (2020). Cho, Thummim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:550-570.

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2019The Limits of p-Hacking : A Thought Experiment. (2019). Chen, Andrew Y. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-16.

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2020Estimation of the Imperative of Rural Area Development on Panel Data in the Process of Managing Agricultural Holdings in Poland. (2020). Bubel, Dagmara ; Brzozowska, Anna. In: Agriculture. RePEc:gam:jagris:v:10:y:2020:i:7:p:294-:d:384240.

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2019Macro-finance and factor timing: Time-varying factor risk and price of risk premiums. (2019). de Oliveira, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2019_007.

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2020Information Aggregation and P-Hacking. (2020). Zhong, Xun ; Rytchkov, Oleg. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1605-1626.

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2020Mutual Funds and Mispriced Stocks. (2020). Hameed, Allaudeen ; Cheng, SI ; Avramov, Doron. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2372-2395.

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2019On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Carbajal-De, Carolina. In: Panorama Económico. RePEc:ipn:panora:v:15:y:2019:i:29:p:7-38.

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2020.

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2019Machine learning in empirical asset pricing. (2019). Weigand, Alois. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-019-00326-3.

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2019Factor Momentum and the Momentum Factor. (2019). Linnainmaa, Juhani T ; Ehsani, Sina. In: NBER Working Papers. RePEc:nbr:nberwo:25551.

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2019Predicting Returns With Text Data. (2019). Xiu, Dacheng ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:26186.

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2019Estimating The Anomaly Base Rate. (2019). Weber, Michael ; Neuhierl, Andreas ; Chinco, Alexander M. In: NBER Working Papers. RePEc:nbr:nberwo:26493.

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2019Valuing Private Equity Strip by Strip. (2019). Van Nieuwerburgh, Stijn ; Gupta, Arpit. In: NBER Working Papers. RePEc:nbr:nberwo:26514.

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2020Necessary Evidence For A Risk Factor’s Relevance. (2020). Sussman, Abigail B ; Hartzmark, Samuel M ; Chinco, Alexander M. In: NBER Working Papers. RePEc:nbr:nberwo:27227.

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2020Expectations of Fundamentals and Stock Market Puzzles. (2020). Shleifer, Andrei ; La Porta, Rafael ; Gennaioli, Nicola ; Bordalo, Pedro ; Laporta, Rafael . In: NBER Working Papers. RePEc:nbr:nberwo:27283.

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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: NBER Working Papers. RePEc:nbr:nberwo:27500.

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2020New Methods for the Cross-Section of Returns. (2020). Van Nieuwerburgh, Stijn ; Karolyi, Andrew G. In: Review of Finance. RePEc:oup:revfin:v:33:y:2020:i:5:p:1879-1890..

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2019Multivariate Crash Risk. (2019). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:01.

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2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Wang, Zixuan ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1230.

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2019Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China. (2019). Shu, Haicheng ; Wang, YU. In: Working Papers. RePEc:wyi:wpaper:002553.

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2020Predictability and the cross-section of expected returns: A challenge for asset pricing models. (2020). Thimme, Julian ; Semenischev, Michael ; Schlag, Christian. In: SAFE Working Paper Series. RePEc:zbw:safewp:289.

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2020Diverging roads: Theory-based vs. machine learning-implied stock risk premia. (2020). Sönksen, Jantje ; Grammig, Joachim ; Sonksen, Jantje ; Schlag, Christian ; Hanenberg, Constantin. In: University of Tübingen Working Papers in Business and Economics. RePEc:zbw:tuewef:130.

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2019Asset pricing model uncertainty. (2019). Borup, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:166-189.

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Works by Serhiy Kozak:


YearTitleTypeCited
2018Interpreting Factor Models In: Journal of Finance.
[Full Text][Citation analysis]
article25
2017Shrinking the Cross Section In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper36
2020Shrinking the cross-section.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
article
2017Shrinking the Cross Section.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2017Predicting Relative Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2020Factor Timing In: NBER Working Papers.
[Full Text][Citation analysis]
paper4

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