Serhiy Kozak : Citation Profile

University of Maryland

5

H index

2

i10 index

308

Citations

RESEARCH PRODUCTION:

6

Articles

6

Papers

RESEARCH ACTIVITY:

   7 years (2017 - 2024). See details.
   Cites by year: 44
   Journals where Serhiy Kozak has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 8 (2.53 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko970
   Updated: 2025-12-13    RAS profile: 2024-05-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Kozak, Serhiy (7)

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 (9)

Weber, Michael (7)

Pelger, Markus (7)

Xiu, Dacheng (6)

Feng, Guanhao (6)

Scaillet, Olivier (5)

Van Nieuwerburgh, Stijn (4)

Chernov, Mikhail (4)

Rubesam, Alexandre (4)

Sentana, Enrique (4)

Primiceri, Giorgio (3)

Cites to:

Campbell, John (22)

Cochrane, John (17)

French, Kenneth (12)

Nagel, Stefan (11)

Van Nieuwerburgh, Stijn (9)

Kozak, Serhiy (9)

Giglio, Stefano (8)

Martin, Ian (7)

Hansen, Lars (7)

Fama, Eugene (7)

Duffie, Darrell (6)

Main data

Where Serhiy Kozak has published?

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

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

Recent works citing Serhiy Kozak (2025 and 2024)

YearTitle of citing document
2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

Full description at Econpapers || Download paper

2025Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

Full description at Econpapers || Download paper

2024Missing Values Handling for Machine Learning Portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

Full description at Econpapers || Download paper

2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

Full description at Econpapers || Download paper

2024Large (and Deep) Factor Models. (2024). Xu, Teng Andrea ; Malamud, Semyon ; Kelly, Bryan ; Kuznetsov, Boris. In: Papers. RePEc:arx:papers:2402.06635.

Full description at Econpapers || Download paper

2024Quantitative Investment Diversification Strategies via Various Risk Models. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari. In: Papers. RePEc:arx:papers:2407.01550.

Full description at Econpapers || Download paper

2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

Full description at Econpapers || Download paper

2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

Full description at Econpapers || Download paper

2025NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks. (2025). Wang, Shunyao ; Cheng, Ming. In: Papers. RePEc:arx:papers:2505.06864.

Full description at Econpapers || Download paper

2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

Full description at Econpapers || Download paper

2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

Full description at Econpapers || Download paper

2025Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi. In: Papers. RePEc:arx:papers:2509.04812.

Full description at Econpapers || Download paper

2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

Full description at Econpapers || Download paper

2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

Full description at Econpapers || Download paper

2025How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs. (2025). Guidolin, Massimo ; Andronoudis, Dimos ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25241.

Full description at Econpapers || Download paper

2024Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590.

Full description at Econpapers || Download paper

2024Sentiment and the cross‐section of expected stock returns. (2024). Lin, Nanying ; Lu, Lei ; Jacoby, Gady ; Liao, Chi. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:459-485.

Full description at Econpapers || Download paper

2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

Full description at Econpapers || Download paper

2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

Full description at Econpapers || Download paper

2025A New Four-factor Model for the Chinese Stock Market. (2025). Cao, Jianhui ; Xiong, Heping ; Zhang, Haitao ; Tang, Chao. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:xiongtangcaozhang.

Full description at Econpapers || Download paper

2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

Full description at Econpapers || Download paper

2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Guo, LI ; Tu, Jun ; Sang, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

Full description at Econpapers || Download paper

2024Dynamic mean-variance portfolio selection under factor models. (2024). Shi, Yun ; Cui, Xiangyu ; Kong, Lingjie ; Yang, Lanzhi ; Li, Duan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001155.

Full description at Econpapers || Download paper

2025Housing rare disaster events and asset prices. (2025). Poncet, Patrice ; Chibane, Messaoud. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000653.

Full description at Econpapers || Download paper

2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Li, Yingying ; Lu, Wenbin ; Wan, Runzhe ; Song, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

Full description at Econpapers || Download paper

2024Factor momentum in the Chinese stock market. (2024). Ma, Tian ; Jiang, Fuwei ; Liao, Cunfei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251.

Full description at Econpapers || Download paper

2024Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach. (2024). Sun, Chuanping. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s092753982400032x.

Full description at Econpapers || Download paper

2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

Full description at Econpapers || Download paper

2024Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data. (2024). Strauss, Jack ; Mekelburg, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000732.

Full description at Econpapers || Download paper

2024A comparison of factor models in China. (2024). Wang, Jinzhe ; Zhu, Yifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000823.

Full description at Econpapers || Download paper

2024Forecasting oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

Full description at Econpapers || Download paper

2025In the shadows of opacity: Firm information quality and latent factor model performance. (2025). Zhang, Guanglong ; Wang, Chuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000572.

Full description at Econpapers || Download paper

2024Cryptocurrency anomalies and economic constraints. (2024). Liedtke, Gerrit ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

Full description at Econpapers || Download paper

2024Financial fusion: Bridging Islamic and Green investments in the European stock market. (2024). Sensoy, Ahmet ; Karim, Sitara ; Husain, Afzol. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002734.

Full description at Econpapers || Download paper

2024VIX-managed portfolios. (2024). Boovi, Milo. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002850.

Full description at Econpapers || Download paper

2024From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns. (2024). Zhu, Lin ; Tang, Guohao ; Jiang, Fuwei ; Jin, Fujing. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400365x.

Full description at Econpapers || Download paper

2024Chaos, overfitting and equilibrium: To what extent can machine learning beat the financial market?. (2024). Peng, Yaohao ; de Moraes, Joo Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400406x.

Full description at Econpapers || Download paper

2024Exploring the factor zoo with a machine-learning portfolio. (2024). Chng, Michael T ; Huang, Tao ; Sak, Halis. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005313.

Full description at Econpapers || Download paper

2024Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis. (2024). Ali, Shoaib ; Bejaoui, Azza ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006306.

Full description at Econpapers || Download paper

2024Can factor momentum beat momentum factor? Evidence from China. (2024). Zhang, Xuan ; Ouyang, Ruolan ; Zhu, Dongming. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000515.

Full description at Econpapers || Download paper

2024The role of central bank communication in the long-term stock-bond correlations: Evidence from China. (2024). Wang, Yanning. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009231.

Full description at Econpapers || Download paper

2025Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model. (2025). Kwon, Tae Yeon. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014351.

Full description at Econpapers || Download paper

2024Quants and market anomalies. (2024). Liu, XI ; Markov, Stanimir ; Gokkaya, Sinan ; Birru, Justin. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:78:y:2024:i:1:s0165410124000181.

Full description at Econpapers || Download paper

2024Information spillover and cross-predictability of currency returns: An analysis via Machine Learning. (2024). Yan, Shu ; Wu, Yangru ; Liu, Yuzheng ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002279.

Full description at Econpapers || Download paper

2025Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462.

Full description at Econpapers || Download paper

2025A factor model for the cross-section of country equity risk premia. (2025). Fieberg, Christian ; Cakici, Nusret ; Zaremba, Adam ; Liedtke, Gerrit. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002875.

Full description at Econpapers || Download paper

2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Ardia, David ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

Full description at Econpapers || Download paper

2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Boons, Martijn ; Baba-Yara, Fahiz ; Tamoni, Andrea. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400031x.

Full description at Econpapers || Download paper

2024Missing values handling for machine learning portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000382.

Full description at Econpapers || Download paper

2024Intermediary-based equity term structure. (2024). Li, Kai ; Xu, Chenjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000795.

Full description at Econpapers || Download paper

2025The volatility puzzle of the beta anomaly. (2025). Barroso, Pedro ; Detzel, Andrew ; Maio, Paulo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:165:y:2025:i:c:s0304405x25000029.

Full description at Econpapers || Download paper

2025Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327.

Full description at Econpapers || Download paper

2025Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds. (2025). Pflueger, Carolin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000352.

Full description at Econpapers || Download paper

2024Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020.

Full description at Econpapers || Download paper

2024What difference do new factor models make in portfolio allocation?. (2024). Wang, Jiexun ; Jiang, Fuwei ; Fabozzi, Frank J ; Huang, Dashan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

Full description at Econpapers || Download paper

2024Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232.

Full description at Econpapers || Download paper

2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

Full description at Econpapers || Download paper

2024A four-factor model based on factor momentum. (2024). Li, Daye ; Cui, Mengqi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002634.

Full description at Econpapers || Download paper

2025Risk premium principal components for the Chinese stock market. (2025). Shao, Jingjing ; Mao, Jie ; Wang, Weiguan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003317.

Full description at Econpapers || Download paper

2025Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256.

Full description at Econpapers || Download paper

2024Term structure of equity risk premia in rough terrain: 150 years of the French stock market. (2024). Prat, Georges ; le Bris, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s106297692400084x.

Full description at Econpapers || Download paper

2025The pricing ability of factor model based on machine learning: Evidence from high-frequency data in China. (2025). Zhang, Xuan ; Pan, Mengmeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003168.

Full description at Econpapers || Download paper

2024Do hedge funds bet against beta?. (2024). Riley, Timothy B ; Yan, Qing ; Malakhov, Alexey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1507-1525.

Full description at Econpapers || Download paper

2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

Full description at Econpapers || Download paper

2025Enhancing stock return prediction in the Chinese market: A GAN-based approach. (2025). Deng, Zhibin ; Li, Jianping ; Wang, Qiao ; Wu, Hongxu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000169.

Full description at Econpapers || Download paper

2024Consumption in asset returns. (2024). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126152.

Full description at Econpapers || Download paper

2025An information-theoretic asset pricing model. (2025). Ghosh, Anisha ; Taylor, Alex P ; Julliard, Christian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126155.

Full description at Econpapers || Download paper

2024Factor Selection and Structural Breaks. (2024). Smith, Simon ; Chib, Siddhartha. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-37.

Full description at Econpapers || Download paper

2024Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors. (2024). Kim, Saejoon. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3442-:d:1513629.

Full description at Econpapers || Download paper

2024Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI. (2024). Uribe, Jorge ; Chuliá, Helena ; Khalili, Sabuhi ; Chulia, Helena. In: IREA Working Papers. RePEc:ira:wpaper:202402.

Full description at Econpapers || Download paper

2024A Machine Learning-Based Analysis on the Causality of Financial Stress in Banking Institutions. (2024). Gartner, Ivan Ricardo ; Peng, Yaohao ; Castro, Daniel Tavares ; Moraes, Joao Gabriel. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10514-z.

Full description at Econpapers || Download paper

2024Machine learning in accounting and finance research: a literature review. (2024). Alexandridis, Antonios ; Nerantzidis, Michail ; Liaras, Evangelos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01306-z.

Full description at Econpapers || Download paper

2025The Information Cliff. (2025). Wang, Chen ; Li, YE. In: SocArXiv. RePEc:osf:socarx:bf8cx_v1.

Full description at Econpapers || Download paper

2024Nexus Between Discount Rate and Industrial Performance. (2024). Khan, Ajab. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:6:p:1590-1602.

Full description at Econpapers || Download paper

2025Machine learning vs deep learning in stock market investment: an international evidence. (2025). Zhang, Shibo ; Ma, Feng ; He, Feng ; Hao, Jing. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05286-6.

Full description at Econpapers || Download paper

2025Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

Full description at Econpapers || Download paper

2024Stock return prediction with multiple measures using neural network models. (2024). Wang, Cong. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00608-w.

Full description at Econpapers || Download paper

2024Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets. (2024). Chun, Dohyun ; Kang, Jongho ; Kim, Jihun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00648-w.

Full description at Econpapers || Download paper

2025Recurrent double-conditional factor model. (2025). Fieberg, Christian ; Liedtke, Gerrit ; Poddig, Thorsten. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00771-1.

Full description at Econpapers || Download paper

2024Measuring weather exposure with annual reports. (2024). Schoenfeld, Jordan ; Nagar, Venky. In: Review of Accounting Studies. RePEc:spr:reaccs:v:29:y:2024:i:1:d:10.1007_s11142-022-09711-2.

Full description at Econpapers || Download paper

2024The economic value of cross-predictability: A performance-based measure. (2024). Bagnara, Matteo. In: SAFE Working Paper Series. RePEc:zbw:safewp:300646.

Full description at Econpapers || Download paper

Works by Serhiy Kozak:

YearTitleTypeCited
2018Interpreting Factor Models In: Journal of Finance.
[Full Text][Citation analysis]		article96
2024Equity Term Structures without Dividend Strips Data In: Journal of Finance.
[Full Text][Citation analysis]		article4
2023Equity Term Structures without Dividend Strips Data.(2023) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2017Shrinking the Cross Section In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper179
2020Shrinking the cross-section.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		article
2017Shrinking the Cross Section.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		paper
2020Why do discount rates vary? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article8
2022Dynamics of bond and stock returns In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article7
2017Predicting Relative Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2020Factor Timing In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2020Factor Timing.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2023When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor? In: NBER Working Papers.
[Full Text][Citation analysis]		paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team