Robert Korajczyk : Citation Profile

Are you Robert Korajczyk?

Northwestern University

19

H index

21

i10 index

2271

Citations

RESEARCH PRODUCTION:

22

Articles

14

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   38 years (1985 - 2023). See details.
   Cites by year: 59
   Journals where Robert Korajczyk has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 10 (0.44 %)

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   Permalink: http://citec.repec.org/pko2
   Updated: 2024-01-16    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Adrian, Tobias (2)

Pastor, Lubos (2)

Johannesson, Magnus (2)

Moinas, Sophie (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Alexeev, Vitali (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Pasquariello, Paolo (2)

Rinne, Kalle (2)

Reitz, Stefan (2)

Gehrig, Thomas (2)

Schuerhoff, Norman (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Patel, Vinay (2)

Füllbrunn, Sascha (2)

Ødegaard, Bernt (2)

Deku, Solomon (2)

PASCUAL, ROBERTO (2)

Davies, Ryan (2)

Schenk-Hoppé, Klaus (2)

Dreber, Anna (2)

Colliard, Jean-Edouard (2)

Chow, Nikolai Sheung-Chi (2)

Gorbenko, Arseny (2)

Schwarz, Marco (2)

Taylor, Nick (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

Kearney, Fearghal (2)

Bouri, Elie (2)

Horenstein, Alex (2)

CAPELLE-BLANCARD, Gunther (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Smales, Lee (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Walther, Thomas (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Mihet, Roxana (2)

Palan, Stefan (2)

Lopez-Lira, Alejandro (2)

Hjalmarsson, Erik (2)

Liew, Chee (2)

Chernov, Mikhail (2)

Ait-Sahalia, Yacine (2)

Sojli, Elvira (2)

Kassner, Bernhard (2)

Wilhelmsson, Anders (2)

Deev, Oleg (2)

Park, Andreas (2)

van Kervel, Vincent (2)

Regis, Luca (2)

Frömmel, Michael (2)

Holzmeister, Felix (2)

Jurkatis, Simon (2)

He, Xuezhong (Tony) (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

Hurlin, Christophe (2)

Foucault, Thierry (2)

Vilkov, Grigory (2)

Rakowski, David (2)

Hautsch, Nikolaus (2)

Dumitrescu, Ariadna (2)

FERROUHI, EL MEHDI (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Vogel, Sebastian (2)

Menkveld, Albert (2)

Abudy, Menachem (2)

Frijns, Bart (2)

Harris, Jeffrey (2)

Talavera, Oleksandr (2)

Caporin, Massimiliano (2)

Xia, Shuo (2)

Ferrara, Gerardo (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Gerritsen, Dirk (2)

Brownlees, Christian (2)

Wolff, Christian (2)

Zhou, Chen (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 (31)

Bai, Jushan (26)

Swanson, Norman (23)

Hallin, Marc (23)

Kapetanios, George (19)

Jagannathan, Ravi (19)

Barigozzi, Matteo (18)

Ferson, Wayne (17)

Pesaran, Mohammad (17)

Forni, Mario (16)

Reichlin, Lucrezia (15)

Cites to:

Campbell, John (27)

Connor, Gregory (25)

Fama, Eugene (17)

Keim, Donald (14)

French, Kenneth (13)

Roll, Richard (12)

Bollerslev, Tim (12)

Stambaugh, Robert (12)

Lo, Andrew (11)

Watson, Mark (9)

Jagannathan, Ravi (9)

Main data

Where Robert Korajczyk has published?

Journals with more than one article published# docs
Journal of Financial Economics4
Review of Financial Studies4
Journal of Financial and Quantitative Analysis3
The Journal of Business2
Journal of Finance2

Working Papers Series with more than one paper published# docs
Research Program in Finance Working Papers / University of California at Berkeley4
NBER Working Papers / National Bureau of Economic Research, Inc3
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth2

Recent works citing Robert Korajczyk (2024 and 2023)

YearTitle of citing document
2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets. (2022). Zong, Hua ; Deng, Jun. In: Papers. RePEc:arx:papers:2205.12043.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206.

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2023High-frequency Anticipatory Trading and Its Influences: Small Informed Trader vs. Front-runner. (2023). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2304.13985.

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2023Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Economic Forecasts Using Many Noises. (2023). Shi, Zhentao ; Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan. In: Papers. RePEc:arx:papers:2312.05593.

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2023Disentangling Sentiment from Cyclicality in Firm Capital Structure. (2023). Lambe, Brendan J ; Almaghyereh, Aktham I ; O'Sullivan, Jennifer A ; Alzoubi, Haitham A. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:2:p:570-605.

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2023Local social environment and the speed of leverage adjustment. (2023). Lu, Chun ; Li, Tongxia. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1919-1952.

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2023COVID?19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms. (2023). Torluccio, Giuseppe ; Bendinelli, Ennio ; Cardillo, Giovanni. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:602-623.

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2023Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:369-394.

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2023Who Owns What? A Factor Model for Direct Stockholding. (2023). Ramadorai, Tarun ; Campbell, John ; Ranish, Benjamin ; Balasubramaniam, Vimal. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1545-1591.

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2023The role of bank lenders in firm leverage adjustments. (2023). Chen, Kai ; Zhu, Feifei ; Gao, Wenlian. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:63-97.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Algorithmic trading and block ownership initiation: An information perspective. (2023). Zhu, Yushu ; Zheng, Jiayi. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922000828.

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2023Innovation Success and Capital Structure. (2023). Rajaiya, Harshit. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001882.

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2023Firms’ rollover risk, capital structure and unequal exposure to aggregate shocks. (2023). Varghese, Richard ; Haque, Sharjil. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000652.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Socially conscious investment funds and home country institutions. (2023). Smimou, K ; Hoover, Gary A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:395-417.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109.

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2023Reinforcing the effects of corruption and financial constraints on firm performance: Normal versus crisis period in developing economies. (2023). Sharma, Chandan ; Priya, Pragati. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002754.

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2023Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x.

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2023Cyclical capital structure decisions. (2023). Uribe, Jorge ; Plana-Erta, Dolors ; Llobet-Dalmases, Joan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000402.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

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2023Customer–supplier relationships and non-linear financial policy response. (2023). Zhao, Longkai ; Wong, Kacheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:180-205.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023A latent factor model for the Chinese stock market. (2023). Jiang, Fuwei ; Leong, Wen Jun ; Ma, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000716.

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2023Transaction costs, frequent trading, and stock prices. (2023). Isaenko, Sergey. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000647.

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023COVID-19 and market structure dynamics. (2023). Woods, Donovan ; Cox, Justin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621003137.

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2023Intraday momentum in the VIX futures market. (2023). Yang, Jimmy J ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260.

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2023Canonical portfolios: Optimal asset and signal combination. (2023). Firoozye, Nikan ; Zohren, Stefan ; Tan, Vincent. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001577.

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2023What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242.

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2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

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2023Heterogeneous liquidity providers and night-minus-day return predictability. (2023). Qin, Zhongling ; Malliaris, Steven ; Lu, Zhongjin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:175-200.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Fire sale risk and expected stock returns. (2023). Kim, Min S ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:578-609.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2023Social unrest and corporate behaviour during the Arab Spring period. (2023). Ghosh, Saibal. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000014.

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2023Institutional ownership and momentum in the Chinese A-share market. (2023). Wang, Peng ; Xiong, Tao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000860.

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2023An intraday analysis of block orders on the Taiwan Stock Exchange. (2023). Wu, Yi-Hsien ; Hung, Pi-Hsia ; Lien, Donald. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:133-147.

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2023Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283.

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2023Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x.

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2023Impact of Paris Agreement on financing strategy: Evidence from global FPSO industry. (2023). Shubita, Moade ; Chowdhury, Anup ; Lee, Lillian. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162522007879.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2023Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2023). Siemroth, Christoph ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:gat:wpaper:2313.

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2023Towards a macroprudential regulatory framework for mutual funds?. (2023). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: Post-Print. RePEc:hal:journl:hal-04103373.

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2023Leveraged Exchange-Traded Funds with Market Closure and Frictions. (2023). Yang, Chen ; Soner, Mete H ; Kou, Steven ; Dai, Min. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:2517-2535.

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2023Technological Determinants of Financial Constraints. (2023). Starmans, Jan. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:3003-3024.

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2023The Econometrics of Factor Loadings and Implications for Monetary Policy in a Small Open Economy (2005- 2020) – Sierra Leone. (2023). Warburton, Christopher ; Jackson, Emerson A. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:19-35.

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2023A Study of Investment Style Timing of Mutual Funds in India. (2023). Kayal, Parthajit ; Pavithra, S. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09368-6.

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2023Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China. (2023). Yao, Yao ; Louhichi, Wael ; Liu, Zhenya ; Boubaker, Sabri. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10265-3.

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2023What we know about the low-risk anomaly: a literature review. (2023). Traut, Joshua. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00427-0.

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2023Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Notes on the convergence of the estimated risk factor matrix in linear regression models. (2023). Klepfish, E G ; Riposo, Julien. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:2:d:10.1057_s41260-022-00285-x.

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2023Impact of stock investment on economic performance: a comparative study of on developed & developing economies. (2023). Waheed, Nauman ; Maroof, Zaib ; Naz, Munazza ; Jawad, Muhammad ; Rashid, Tahani. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01447-0.

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2023Equity financing incentive and corporate disclosure: new causal evidence from SEO deregulation. (2023). Zhou, Xiaolu ; Li, Ningzhong ; Chen, Jun. In: Review of Accounting Studies. RePEc:spr:reaccs:v:28:y:2023:i:2:d:10.1007_s11142-021-09662-0.

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2023What do we Know about Corporate Debt Maturity Structure in Saudi Arabia?. (2023). Alnori, Faisal Seraj. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:6:f:13_6_13.

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2023Corporate Investment in Bank-Dependent Companies in Crisis Time. (2023). Ilona, Skibiska-Fabrowska ; Elbieta, Bukalska. In: Central European Economic Journal. RePEc:vrs:ceuecj:v:10:y:2023:i:57:p:1-22:n:1.

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2023Impact of financial constraints and financial distress on cash holdings. (2023). Anna, Maziarczyk ; Elbieta, Bukalska. In: International Journal of Management and Economics. RePEc:vrs:ijomae:v:59:y:2023:i:1:p:13-31:n:1.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023Macroeconomic risks and capital structure adjustment speed: The Chinese evidence. (2023). Kyaw, Nyonyo A ; He, Wei. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2885-2899.

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Works by Robert Korajczyk:

YearTitleTypeCited
2010Intraday Patterns in the Cross-section of Stock Returns In: Papers.
[Full Text][Citation analysis]		paper65
2010Intraday Patterns in the Cross?section of Stock Returns.(2010) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article246
1992Equity Issues with Time-Varying Asymmetric Information In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article46
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2016Horizon Pricing In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article4
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
1992Equity risk premia and the pricing of foreign exchange risk In: Journal of International Economics.
[Full Text][Citation analysis]		article24
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article302
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article249
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
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