Serhiy Kozak : Citation Profile


Are you Serhiy Kozak?

University of Maryland

4

H index

2

i10 index

204

Citations

RESEARCH PRODUCTION:

2

Articles

6

Papers

RESEARCH ACTIVITY:

   6 years (2017 - 2023). See details.
   Cites by year: 34
   Journals where Serhiy Kozak has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 5 (2.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko970
   Updated: 2024-01-16    RAS profile: 2023-03-10    
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Relations with other researchers


Works with:

Kozak, Serhiy (4)

Nagel, Stefan (2)

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

Is cited by:

Neuhierl, Andreas (8)

Weber, Michael (7)

Xiu, Dacheng (6)

Pelger, Markus (6)

Scaillet, Olivier (4)

Chernov, Mikhail (4)

Van Nieuwerburgh, Stijn (3)

Baruník, Jozef (3)

Primiceri, Giorgio (3)

Pruitt, Seth (3)

Giannone, Domenico (3)

Cites to:

French, Kenneth (10)

Cochrane, John (9)

Nagel, Stefan (7)

Fama, Eugene (5)

Kozak, Serhiy (5)

Campbell, John (5)

Stambaugh, Robert (5)

Hansen, Lars (4)

Zhang, Lu (4)

Chernov, Mikhail (4)

Neuhierl, Andreas (3)

Main data


Where Serhiy Kozak has published?


Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc5

Recent works citing Serhiy Kozak (2024 and 2023)


YearTitle of citing document
2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2024Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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

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2023The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2023Do risk exposures explain accounting anomalies? A new testing method. (2023). Peng, Zihang. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:3:p:2965-2983.

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2023The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358.

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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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2023Reasons Behind Words: OPEC Narratives and the Oil Market. (2023). Joets, Marc ; Brunetti, Celso ; Mignon, Valerie. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-24.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Investor climate sentiment and financial markets. (2023). Santi, Caterina. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000066.

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2023Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492.

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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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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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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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2023Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351.

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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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2023.

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2023Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability. (2023). Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2587-2619.

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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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2023Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?. (2023). Wiest, Tobias. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00417-8.

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2023Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246..

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2023Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases. (2023). Lopez-Lira, Alejandro ; Han, Xiao ; van Binsbergen, Jules H. In: Review of Financial Studies. RePEc:oup:rfinst:v:36:y:2023:i:6:p:2361-2396..

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2023.

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2023Clustering-based sector investing. (2023). Goodarzi, Milad ; Bagnara, Matteo. In: SAFE Working Paper Series. RePEc:zbw:safewp:397.

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Works by Serhiy Kozak:


YearTitleTypeCited
2018Interpreting Factor Models In: Journal of Finance.
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article79
2017Shrinking the Cross Section In: CEPR Discussion Papers.
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paper113
2020Shrinking the cross-section.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113
article
2017Shrinking the Cross Section.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113
paper
2017Predicting Relative Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
2020Factor Timing In: NBER Working Papers.
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paper8
2023Equity Term Structures without Dividend Strips Data In: NBER Working Papers.
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paper0
2023When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor? In: NBER Working Papers.
[Full Text][Citation analysis]
paper0

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