K. Geert Rouwenhorst : Citation Profile


Are you K. Geert Rouwenhorst?

Yale University

19

H index

20

i10 index

2179

Citations

RESEARCH PRODUCTION:

19

Articles

22

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 70
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 218.    Total self citations: 7 (0.32 %)

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   Permalink: http://citec.repec.org/pro146
   Updated: 2023-05-27    RAS profile: 2021-11-27    
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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 K. Geert Rouwenhorst.

Is cited by:

Szafarz, Ariane (20)

Zaremba, Adam (18)

Prokopczuk, Marcel (17)

Swinkels, Laurens (11)

Leung, Tim (11)

Del Negro, Marco (11)

Flavin, Thomas (10)

Harvey, Campbell (9)

faff, robert (9)

De Moor, Lieven (9)

Kose, Ayhan (9)

Cites to:

Harvey, Campbell (10)

French, Kenneth (10)

Fama, Eugene (9)

Brown, Stephen (5)

Bessembinder, Hendrik (5)

Hamao, Yasushi (5)

Shanken, Jay (5)

Goetzmann, William (5)

Veld, Chris (4)

Bekaert, Geert (4)

Ferson, Wayne (4)

Main data


Where K. Geert Rouwenhorst has published?


Journals with more than one article published# docs
Review of Financial Studies2
Journal of Monetary Economics2
Journal of Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management13
NBER Working Papers / National Bureau of Economic Research, Inc8

Recent works citing K. Geert Rouwenhorst (2022 and 2021)


YearTitle of citing document
2021Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125.

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2022Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

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2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2021Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014.

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2021Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987.

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2021Multivariate Pair Trading by Volatility & Model Adaption Trade-off. (2021). Xie, Tianyang ; Yu, Chenyanzi. In: Papers. RePEc:arx:papers:2106.09132.

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2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2023Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179.

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2022Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning. (2023). Huang, Jimin ; Lai, Yanzhao ; Peng, Min ; Xie, Qianqian ; Zhang, Boyi. In: Papers. RePEc:arx:papers:2301.10724.

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2021The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium. (2021). Ibarra-Ramirez, Raul . In: Working Papers. RePEc:bdm:wpaper:2021-07.

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2021Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206.

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2021Industry momentum: an exchange?traded funds approach. (2021). Earea, Dean ; Hahn, Tobias ; Vanstone, Bruce. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4007-4024.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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2022Cyberpunk Victoria: The credibility of computers and the first digital revolution, 1848–83. (2022). Legentilhomme, Geoffroy ; Flandreau, Marc. In: Economic History Review. RePEc:bla:ehsrev:v:75:y:2022:i:4:p:1083-1119.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021FINANCIALIZATION OF COMMODITIES BEFORE AND AFTER THE GREAT FINANCIAL CRISIS. (2021). Natoli, Filippo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:488-511.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Seasonality in catastrophe bonds and market?implied catastrophe arrival frequencies. (2021). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:3:p:785-818.

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2021Generalized statistical arbitrage concepts and related gain strategies. (2021). Schmidt, Thorsten ; Ruschendorf, Ludger ; Rein, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:563-594.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2022La información pública periódica de los fondos de inversión: como influyen en las decisiones de los inversores.. (2022). Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_76es.

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2022Periodic public information on investment funds and how it influences investors´ decisions. (2022). Losada, Ramiro. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_76en.

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2021Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660.

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2021Modeling ex-ante risk premia in the oil market. (2021). Uctum, Remzi ; Prat, Georges. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-31.

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2022Commodity currencies revisited: The role of global commodity price uncertainty. (2022). Ferrara, Laurent ; Karadimitropoulou, Aikaterina ; Triantafyllou, Athanasios ; Bermpei, Theodora. In: EconomiX Working Papers. RePEc:drm:wpaper:2022-24.

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2021The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?. (2021). Yaghoubi, Mona ; Biakowski, Jdrzej. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000241.

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2021Economic news and the cross-section of commodity futures returns. (2021). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000848.

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2022Global momentum: The optimal trading approach. (2022). Muradoglu, Yaz ; Tsitsianis, Nicholas ; Muradolu, Yaz Gulnur ; Wouassom, Alain. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000788.

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2021Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

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2022Preference heterogeneity in Bitcoin and its forks network. (2022). Ahn, Kwangwon ; Ha, Chang Yong ; Kim, Hyeonoh. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:164:y:2022:i:c:s0960077922008980.

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2021Mimicking insider trades. (2021). Thapa, Chandra ; Neupane, Biwesh ; Marshall, Andrew. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614.

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2022Internal capital markets and predictability in complex ownership firms. (2022). Tu, Jun ; Sarkissian, Sergei ; Gonzalez, Angelica ; Chang, Ran . In: Journal of Corporate Finance. RePEc:eee:corfin:v:74:y:2022:i:c:s0929119922000621.

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2021Property rights, expropriations, and business cycles in China. (2021). Germaschewski, Yin ; Rubini, Loris ; Horvath, Jaroslav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100035x.

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2021Media connection and return comovement. (2021). Tu, Jun ; Guo, LI ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001263.

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2021Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2021Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522.

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2021Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90.

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2021Multi-asset pair-trading strategy: A statistical learning approach. (2021). Chen, Cathy W. S. ; Syu, Fong-Yi ; Lin, Tsai-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301856.

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2021A model of information diffusion with asymmetry and confidence effects in financial markets. (2021). Qi, Shu ; Yang, Haijun ; Koslowsky, David ; Zhang, Zhou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000395.

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2021Diversified behavioral portfolio as an alternative to Modern Portfolio Theory. (2021). Contreras, Javier ; Gomez, Juan M ; Rodriguez, Yeny E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001273.

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

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2021Systematic risk in pairs trading and dynamic parameterization. (2021). , Keith ; Li, Yiyun. In: Economics Letters. RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521001191.

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2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

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2021Revealing Pairs-trading opportunities with long short-term memory networks. (2021). Regoli, Daniele ; Flori, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:772-791.

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2023Pairs trading via unsupervised learning. (2023). Wei, Alenson Jun ; He, Zhaodong ; Han, Chulwoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:929-947.

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2022Factor investing in Brazil: Diversifying across factor tilts and allocation strategies. (2022). Casalin, Fabrizio ; Rodrigues, Alexandre Alles. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000231.

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2021Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

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2022Isolating momentum crashes. (2022). Krupski, Jan ; Dierkes, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:1-22.

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2022The diversification benefits and policy risks of accessing China’s stock market. (2022). Zhang, Chang ; Wang, Sarah Qian ; Tang, Dragon Yongjun ; Shan, Chenyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:155-175.

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2022The impact of liquidity risk in the Chinese banking system on the global commodity markets. (2022). Santos, Francisco ; Kim, Jihee ; Jo, Yonghwan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:23-50.

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2022US risk premia under emerging markets constraints. (2022). Giovannetti, Bruno ; Chague, Fernando ; De-Losso, Rodrigo ; Bueno, Rodrigo ; Cavalcante-Filho, Elias. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:217-230.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2021The risk premia of energy futures. (2021). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003467.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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2022Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

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2022Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408.

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2022Oil implied volatility and expected stock returns along the worldwide supply chain. (2022). Wang, Yudong ; Wu, Chongfeng ; Li, Chenchen. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004510.

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2021The alpha momentum effect in commodity markets. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301902.

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2021Network connectedness between natural gas markets, uncertainty and stock markets. (2021). Ji, Qiang ; Liu, Bing-Yue ; Chen, Fu-Rui ; Geng, Jiang-Bo. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303418.

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2021Correlations between crude oil and stocks prices of renewable energy and technology companies: A multiscale time-dependent analysis. (2021). Niu, Hongli. In: Energy. RePEc:eee:energy:v:221:y:2021:i:c:s0360544221000499.

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2021Investor heterogeneity and momentum-based trading strategies in China. (2021). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302957.

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2021Intraday indirect arbitrage between European index ETFs. (2021). Tooma, Eskandar ; Bassiouny, Aliaa. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000806.

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2021The economic gain of being small in the mutual fund industry: U.S. and international evidence. (2021). Angelidis, Timotheos ; Fessas, Michalis ; Babalos, Vassilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001848.

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2022The crisis alpha of managed futures: Myth or reality?. (2022). Mende, Alexander ; Frommel, Michael ; Asif, Raheel. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000242.

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2022The impact of the FinTech revolution on the future of banking: Opportunities and risks. (2022). Zachariadis, Markos ; Rizopoulos, Efthymios ; Murinde, Victor. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000734.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2021Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?. (2021). Pacurar, Maria ; Nazaire, Gregory ; Sy, Oumar. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316688.

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2021Basis-momentum strategies and ranking periods. (2021). Yun, Jaesun ; Kang, Jangkoo ; Kwon, Kyung Yoon. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000787.

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2022A factor approach to the performance of ESG leaders and laggards. (2022). Fain, Mate ; Naffa, Helena. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001549.

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2022To diversify or not to diversify internationally?. (2022). Yargi, Seher Goren ; Umutlu, Mehmet. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001914.

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2022Some international evidence on the causal impact of the yield curve. (2022). Haubrich, Joseph G ; Bordo, Michael D. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001975.

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2022Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128.

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2022Can Bitcoin help money cross the border: International evidence. (2022). Qu, Qiang ; Peng, Yuchao ; Li, Jianjun ; Bao, Hong. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003506.

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2021Does it pay to follow anomalies research? Machine learning approach with international evidence. (2021). Hronec, Martin ; Tobek, Ondrej. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300574.

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2022Hedge fund hold ’em. (2022). Ray, Sugata ; Mortal, Sandra ; Lu, Yan. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s1386418120300859.

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2021Diversification potential in real estate portfolios. (2021). Hasse, Jean-Baptiste ; Fuerst, Franz ; Candelon, Bertrand. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:126-139.

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2021Flight to quality – Gold mining shares versus gold bullion. (2021). Schweikert, Karsten ; Prange, Philipp ; Baur, Dirk G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000159.

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2021United we stand divided we fall: The time-varying factors driving European Union stock returns. (2021). Suardi, Sandy ; Zhao, Jing ; Liu, Wen-Chien ; Chiang, Shu-Hen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000354.

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2021Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization. (2021). Taushanov, Georgi ; Bessler, Wolfgang ; Wolff, Dominik. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000627.

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2022CDS spreads and COVID-19 pandemic. (2022). Dănuleţiu, Dan ; Apergis, Nicholas ; Xu, Bing ; Danuletiu, Dan . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001463.

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2022Measuring market integration during crisis periods. (2022). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000440.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2023Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191.

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2021Return signal momentum. (2021). Thomakos, Dimitrios ; Liu, Jiadong ; Papailias, Fotis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:124:y:2021:i:c:s0378426621000212.

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2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

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2021Determinants and predictability of commodity producer returns. (2021). Balvers, Ronald ; Wang, Qiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s037842662100234x.

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2021Bank systemic risk exposure and office market interconnectedness. (2021). Füss, Roland ; Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002636.

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2022Information precision and return co-movements in private commercial real estate markets. (2022). Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000024.

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2022The conditional impact of investor sentiment in global stock markets: A two-channel examination. (2022). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000589.

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2022How do corporate bond investors measure performance? Evidence from mutual fund flows. (2022). Prokopczuk, Marcel ; Hollstein, Fabian ; Dang, Thuy Duong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:142:y:2022:i:c:s0378426622001492.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2021Global market inefficiencies. (2021). Bartram, Söhnke ; Grinblatt, Mark. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:234-259.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2021The telegraph and modern banking development, 1881–1936. (2021). Lin, Chen ; Xu, Yuchen ; Sun, Yuchen ; Ma, Chicheng. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:730-749.

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2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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2022Oil volatility risk. (2022). Xu, Lai ; Shaliastovich, Ivan ; Hitzemann, Steffen ; Gao, Lin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:456-491.

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2022Salience theory and the cross-section of stock returns: International and further evidence. (2022). Zaremba, Adam ; Cakici, Nusret. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:2:p:689-725.

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

K. Geert Rouwenhorst has edited the books:


YearTitleTypeCited

Works by K. Geert Rouwenhorst:


YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article23
1990Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]
article13
2014William N. Goetzmann , Catherine Labio , K. Geert Rouwenhorst , and Timothy G. Young , eds., The great mirror of folly: finance, culture, the crash of 1720 ( New Haven : Yale University Press , 2013 . In: Economic History Review.
[Full Text][Citation analysis]
article0
1999The Role of Beta and Size in the Cross?Section of European Stock Returns In: European Financial Management.
[Full Text][Citation analysis]
article47
2008The Role of Beta and Size in the Cross-Section of European Stock Returns.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
1999Local Return Factors and Turnover in Emerging Stock Markets In: Journal of Finance.
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article322
2001Local Return Factors and Turnover in Emerging Stock Markets.(2001) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 322
paper
2020A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets In: Journal of Finance.
[Full Text][Citation analysis]
article32
2001Day Trading International Mutual Funds: Evidence and Policy Solutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article46
2001Day Trading International Mutual Funds: Evidence And Policy Solutions.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
1995Evaluating the gains from international risksharing : A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]
article0
1995The structure of international stock returns and the integration of capital markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article62
2013New evidence on the first financial bubble In: Journal of Financial Economics.
[Full Text][Citation analysis]
article38
2009New Evidence on the First Financial Bubble.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
1994Does industrial structure explain the benefits of international diversification? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article277
2021The first commodity futures index of 1933 In: Journal of Commodity Markets.
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article0
1991Time to build and aggregate fluctuations : A reconsideration In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article37
1994International term structures and real economic growth In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article186
1991Asset Returns and Business Cycles. In: Rochester, Business - Ph.D.,.
[Citation analysis]
paper4
2014Dutch Securities for American Land Speculation in the Late Eighteenth Century In: NBER Chapters.
[Full Text][Citation analysis]
chapter6
2004Facts and Fantasies about Commodity Futures In: NBER Working Papers.
[Full Text][Citation analysis]
paper53
2007The Fundamentals of Commodity Futures Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper237
2013The Fundamentals of Commodity Futures Returns.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 237
article
2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: NBER Working Papers.
[Full Text][Citation analysis]
paper19
2015Facts and Fantasies about Commodity Futures Ten Years Later In: NBER Working Papers.
[Full Text][Citation analysis]
paper64
1999Pairs Trading: Performance of a Relative Value Arbitrage Rule In: NBER Working Papers.
[Full Text][Citation analysis]
paper205
2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule.(2006) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 205
article
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 205
paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 205
paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 205
paper
2000Global Real Estate Markets - Cycles and Fundamentals In: NBER Working Papers.
[Full Text][Citation analysis]
paper66
1999Global Real Estate Markets: Cycles And Fundamentals.(1999) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66
paper
2001Global Real Estate Markets: Cycles And Fundamentals.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66
paper
2001Long-Term Global Market Correlations In: NBER Working Papers.
[Full Text][Citation analysis]
paper319
2005Long-Term Global Market Correlations.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 319
article
2008Long-Term Global Market Correlations.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 319
paper
2014Editors Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: Review of Financial Studies.
[Full Text][Citation analysis]
article21
2019On commodity price limits In: Journal of Futures Markets.
[Full Text][Citation analysis]
article2
2000European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing? In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper8
2000Behavioral Factors in Mutual Fund Flows In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper28
2001Behavioral Factors in Mutual Fund Flows.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2008International Momentum Strategies In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team