Robert Korajczyk : Citation Profile

Are you Robert Korajczyk?

Northwestern University

19

H index

21

i10 index

2245

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: 161.    Total self citations: 10 (0.44 %)

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   Permalink: http://citec.repec.org/pko2
   Updated: 2023-11-04    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Schenk-Hoppé, Klaus (2)

Gehrig, Thomas (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Alexeev, Vitali (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Pasquariello, Paolo (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Stefanova, Denitsa (2)

Frömmel, Michael (2)

Davies, Ryan (2)

Wilhelmsson, Anders (2)

Roy, Saurabh (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Kearney, Fearghal (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Abudy, Menachem (2)

Lopez-Lira, Alejandro (2)

Gerritsen, Dirk (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Harris, Jeffrey (2)

Smales, Lee (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Ødegaard, Bernt (2)

Regis, Luca (2)

Adrian, Tobias (2)

Walther, Thomas (2)

Dreber, Anna (2)

Patel, Vinay (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Hjalmarsson, Erik (2)

Schuerhoff, Norman (2)

Ait-Sahalia, Yacine (2)

Scaillet, Olivier (2)

Tonks, Ian (2)

Connor, Gregory (2)

Kassner, Bernhard (2)

Chernov, Mikhail (2)

Mihet, Roxana (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Rakowski, David (2)

Xia, Shuo (2)

Frijns, Bart (2)

Dumitrescu, Ariadna (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Pelizzon, Loriana (2)

Taylor, Nick (2)

Rinne, Kalle (2)

Park, Andreas (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Verousis, Thanos (2)

Sojli, Elvira (2)

Liew, Chee (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Pastor, Lubos (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Sarno, Lucio (2)

Deev, Oleg (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Bos, Charles (2)

Foucault, Thierry (2)

Caporin, Massimiliano (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Colliard, Jean-Edouard (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (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 (19)

Jagannathan, Ravi (19)

Kapetanios, George (19)

Barigozzi, Matteo (18)

Pesaran, Mohammad (17)

Ferson, Wayne (17)

Forni, Mario (16)

Reichlin, Lucrezia (15)

Cites to:

Campbell, John (26)

Connor, Gregory (25)

Fama, Eugene (17)

Keim, Donald (14)

French, Kenneth (13)

Bollerslev, Tim (12)

Roll, Richard (12)

Stambaugh, Robert (12)

Lo, Andrew (11)

Jagannathan, Ravi (9)

Watson, Mark (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 (2023 and 2022)

YearTitle of citing document
2022Stock market linkages in Asia. Revisiting Granger causality evidences. (2022). Saji, T G. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:151-168.

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2022Developing a Framework for Real-Time Trading in a Laboratory Financial Market. (2022). Marner-Hausen, Mark. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:172.

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2022High 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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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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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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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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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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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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2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

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

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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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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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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324.

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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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2022Q-Monetary Transmission. (2022). Lagos, Ricardo ; Jeenas, Priit. In: Working Papers. RePEc:bge:wpaper:1348.

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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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2022Drought risk and capital structure dynamics. (2022). Hou, Greg ; Bai, Min ; Nguyen, Thao ; Truong, Cameron. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3397-3439.

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2022An investigation of CEO characteristics on firm performance. (2022). Reddy, Krishna ; Wallace, Damien ; Shen, Yun ; Ramiah, Vikash. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3563-3607.

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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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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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2022Bank bailouts, bail?ins, or no regulatory intervention? A dynamic model and empirical tests of optimal regulation and implications for future crises. (2022). Tsyplakov, Sergey ; Roman, Raluca A ; Himmelberg, Charles P ; Berger, Allen N. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:4:p:1031-1090.

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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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2022Financial crises, banking regulations, and corporate financing patterns around the world. (2022). Oztekin, Ozde ; Gungoraydinoglu, Ali. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:3:p:506-539.

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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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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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2022Policy uncertainty and cash dynamics. (2022). Tut, Daniel. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:422-444.

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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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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders. (2022). Liaudinskas, Karolis. In: Working Paper. RePEc:bno:worpap:2022_6.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

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2022.

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2022The Dispersion Bias. (2022). Shkolnik, Alex ; Papanicolaou, Alex ; Goldberg, Lisa R. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt4kt5g2x3.

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2022Banks’ Seasoned Equity Offerings Announcements and Central Bank Lending Operations. (2022). Mokas, Dimitris ; Kakes, Jan ; Giuliodori, Massimo. In: Working Papers. RePEc:dnb:dnbwpp:748.

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2022High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19. (2022). Alshareif, Elgilani E ; Kamalov, Firuz ; Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-05-50.

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2022Bank deregulation and stock price crash risk. (2022). Zeng, Cheng ; Liu, Yangke ; Lee, Edward ; Dang, Viet Anh. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002704.

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2022Short seller attention. (2022). Zaiats, Nataliya ; Ng, Lilian ; Dai, Rui. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002716.

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2022Cost of carry, financial constraints, and dynamics of corporate cash holdings. (2022). Zamanian, Morteza ; Eskandari, Ruhollah. In: Journal of Corporate Finance. RePEc:eee:corfin:v:74:y:2022:i:c:s0929119922000591.

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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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2022What drives intraday reversal? illiquidity or liquidity oversupply?. (2022). Xiong, Xiong ; Lin, Shen ; Kang, Junqing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000185.

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2022A theory of procyclical market liquidity. (2022). Strobl, Gunter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s0165188922000318.

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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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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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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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2022Interdependent capital structure choices and the macroeconomy. (2022). Uribe, Jorge M ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000985.

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2022Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model. (2022). Wang, Mingjin ; Gao, Yang ; Zhao, Wandi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001164.

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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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2022Asymptotic properties of correlation-based principal component analysis. (2022). Yang, Xiye ; Choi, Jungjun. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:1-18.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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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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2022Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93.

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2022Low liquidity beta anomaly in China. (2022). Li, Youwei ; Vigne, Samuel A ; Han, Xing ; Frommel, Michael. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000406.

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2022Sanctions against Iran, political connections and speed of adjustment. (2022). Mansouri, Kefsan ; Ghaderi, Kaveh ; Aflatooni, Abbas. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000061.

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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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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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2022The COVID-19 storm and the energy sector: The impact and role of uncertainty. (2022). Bwanya, Princess Rutendo ; Charteris, Ailie ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988321001638.

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2022How do macroeconomic dynamics affect small and medium-sized enterprises (SMEs) in the power sector in developing economies: Evidence from Turkey. (2022). Sevindik, Irem ; Uz, Dilek ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003524.

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2022The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070.

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2022Are conditional illiquidity risks priced in China? A cross-sectional test. (2022). Yin, Libo ; Lyu, Tongtong ; Su, Zhi. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000497.

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2022Cross-sectional seasonalities and seasonal reversals: Evidence from China. (2022). Guo, Shuxin ; Yuan, Yue ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001260.

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2022A tale of two Us: Corporate leverage and financial asset allocation in China. (2022). Wu, Wanting ; Wang, Fanzhi ; Shen, JI ; Ma, Sichao. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002186.

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2022Foreign ownership and the financing constraints of firms operating in a multinational environment. (2022). Samitas, Aristeidis ; Mertzanis, Charilaos ; Kampouris, Ilias. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002794.

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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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2022Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136.

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2022Industry competition and firm productivity: Evidence from the antitrust policy in China. (2022). Zhang, Ying E ; Xu, Jian ; Kong, Xiangyi. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002434.

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2022Leverage and the global supply chain. (2022). Hupka, Yuri. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004603.

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2022Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x.

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2022Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x.

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2022Standardization, transparency initiatives, and liquidity in the CDS market. (2022). Daures-Lescourret, Laurence ; Fulop, Andras. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000106.

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2022Liquidity components: Commonality in liquidity, underreaction, and equity returns. (2022). Ince, Baris. In: Journal of Financial Markets. RePEc:eee:finmar:v:60:y:2022:i:c:s1386418122000234.

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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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2022Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55.

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2022The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177.

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2022Market fairness and efficiency: Evidence from the Tokyo Stock Exchange. (2022). Zhang, Jiang ; McInish, Thomas H ; Kemme, David M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002612.

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2022The capital gain lock-in effect and seasoned equity offerings. (2022). Klein, Peter ; Hasan, Emrul M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000231.

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2022Uncertainty, investment spikes, and corporate leverage adjustments. (2022). Ha, Chang Yong ; Faff, Robert ; Im, Hyun Joong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002291.

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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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2022The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187.

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2022Closing auctions: Nasdaq versus NYSE. (2022). Wu, Yanbin ; Jegadeesh, Narasimhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1120-1139.

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2022Price revelation from insider trading: Evidence from hacked earnings news. (2022). Martineau, Charles ; Gregoire, Vincent ; Akey, Pat. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1162-1184.

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2022Overnight returns, daytime reversals, and future stock returns. (2022). Koch, Paul D ; Jiang, Chao ; Boehmer, Ekkehart ; Akbas, Ferhat. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:3:p:850-875.

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2022Retail trader sophistication and stock market quality: Evidence from brokerage outages. (2022). Wu, Yanbin ; Roseman, Brian S ; Green, Clifton T ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:2:p:502-528.

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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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2022International determinants of asymmetric dependence in investment returns. (2022). Sinagl, Petra ; Alcock, Jamie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278.

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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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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.
[Full Text][Citation analysis]		paper63
2010Intraday Patterns in the Cross?section of Stock Returns.(2010) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		article
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article243
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]		article31
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]		article296
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article243
2003Capital structure choice: macroeconomic conditions and financial constraints In: Journal of Financial Economics.
[Full Text][Citation analysis]		article371
2008Pricing the commonality across alternative measures of liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]		article223
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2002Predicting Equity Liquidity In: Management Science.
[Full Text][Citation analysis]		article53
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: The 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.
[Full Text][Citation analysis]		paper1
1990Understanding Stock Price Behavior around the Time of Equity Issues In: NBER Chapters.
[Full Text][Citation analysis]		chapter47
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: 47		paper
1988The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2023An Intangibles-Adjusted Profitability Factor In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article21
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]		article125
1996A Measure of Stock Market Integration for Developed and Emerging Markets. In: The World Bank Economic Review.
[Citation analysis]		article71
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: 71		paper
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book26
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]		paper22
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
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]		article105
1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? In: The Journal of Business.
[Full Text][Citation analysis]		article151
1985The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy.
[Full Text][Citation analysis]		article43
2003Are Momentum Profits Robust to Trading Costs? In: Finance.
[Citation analysis]		paper1

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