Details about Robert Korajczyk

Access statistics for papers by Robert Korajczyk.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pko2

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2023

2. An Intangibles-Adjusted Profitability Factor
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

3. Semi-strong factors in asset returns
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (1)
   See also Journal Article Semi-Strong Factors in Asset Returns*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)

2014

4. A Performance Comparison of Large-n Factor Estimators
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
   See also Journal Article A Performance Comparison of Large-n Factor Estimators, The Review of Asset Pricing Studies, Society for Financial Studies (2018) (2018)

2010

5. Intraday Patterns in the Cross-section of Stock Returns
   Papers, arXiv.org View citations (70)
   See also Journal Article Intraday Patterns in the Cross‐section of Stock Returns, Journal of Finance, American Finance Association (2010) View citations (63) (2010)

2003

6. Are Momentum Profits Robust to Trading Costs?
   Finance, University Library of Munich, Germany View citations (1)

1995

7. A measure of stock market integration for developed and emerging markets
   Policy Research Working Paper Series, The World Bank View citations (4)
   See also Journal Article A Measure of Stock Market Integration for Developed and Emerging Markets, The World Bank Economic Review, World Bank (1996) View citations (71) (1996)

1989

8. Understanding Stock Price Behavior around the Time of Equity Issues
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
   See also Chapter Understanding Stock Price Behavior around the Time of Equity Issues, NBER Chapters, National Bureau of Economic Research, Inc (1990) View citations (42) (1990)

1988

9. The Attributes, Behavior and Performance of U.S. Mutual Funds
   Research Program in Finance Working Papers, University of California at Berkeley View citations (12)
10. The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

1987

11. An Intertemporal Equilibrium Beta Pricing Model
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
12. Estimating Pervasive Economic Factors with Missing Observations
    Research Program in Finance Working Papers, University of California at Berkeley View citations (25)
13. Risk and Return in an Equilibrium APT
    Research Program in Finance Working Papers, University of California at Berkeley View citations (14)

Journal Articles

2024

1. Large Sample Estimators of the Stochastic Discount Factor*
   Journal of Financial Econometrics, 2024, 22, (5), 1672-1713
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)
3. Semi-Strong Factors in Asset Returns*
   Journal of Financial Econometrics, 2024, 22, (1), 70-93
   See also Working Paper Semi-strong factors in asset returns, Economics Department Working Paper Series (2019) View citations (1) (2019)

2021

4. Arbitrage Portfolios
   The Review of Financial Studies, 2021, 34, (6), 2813-2856 View citations (5)

2019

5. High-Frequency Market Making to Large Institutional Trades
   The Review of Financial Studies, 2019, 32, (3), 1034-1067 View citations (32)

2018

6. A Performance Comparison of Large-n Factor Estimators
   The Review of Asset Pricing Studies, 2018, 8, (1), 153-182
   See also Working Paper A Performance Comparison of Large-n Factor Estimators, Economics Department Working Paper Series (2014) (2014)

2016

7. Horizon Pricing
   Journal of Financial and Quantitative Analysis, 2016, 51, (6), 1769-1793 View citations (3)

2015

8. A Synthesis of Two Factor Estimation Methods
   Journal of Financial and Quantitative Analysis, 2015, 50, (4), 825-842 View citations (3)

2014

9. Market Liquidity: Asset Pricing, Risk, and Crises
   Quantitative Finance, 2014, 14, (2), 211-212

2011

10. Are You Trading Predictably?
    Financial Analysts Journal, 2011, 67, (2), 36-44

2010

11. Intraday Patterns in the Cross‐section of Stock Returns
    Journal of Finance, 2010, 65, (4), 1369-1407 View citations (63)
    See also Working Paper Intraday Patterns in the Cross-section of Stock Returns, Papers (2010) View citations (70) (2010)

2008

12. Pricing the commonality across alternative measures of liquidity
    Journal of Financial Economics, 2008, 87, (1), 45-72 View citations (236)

2006

13. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 View citations (35)

2003

14. Capital structure choice: macroeconomic conditions and financial constraints
    Journal of Financial Economics, 2003, 68, (1), 75-109 View citations (401)

2002

15. Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance
    The Review of Financial Studies, 2002, 15, (2), 353-362 View citations (1)
16. Predicting Equity Liquidity
    Management Science, 2002, 48, (4), 470-483 View citations (59)

1996

17. A Measure of Stock Market Integration for Developed and Emerging Markets
    The World Bank Economic Review, 1996, 10, (2), 267-89 View citations (71)
    See also Working Paper A measure of stock market integration for developed and emerging markets, Policy Research Working Paper Series (1995) View citations (4) (1995)

1995

18. Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
    The Journal of Business, 1995, 68, (3), 309-49 View citations (159)

1993

19. A Test for the Number of Factors in an Approximate Factor Model
    Journal of Finance, 1993, 48, (4), 1263-91 View citations (258)

1992

20. Equity Issues with Time-Varying Asymmetric Information
    Journal of Financial and Quantitative Analysis, 1992, 27, (3), 397-417 View citations (48)
21. Equity risk premia and the pricing of foreign exchange risk
    Journal of International Economics, 1992, 33, (3-4), 199-219 View citations (24)

1991

22. The Effect of Information Releases on the Pricing and Timing of Equity Issues
    The Review of Financial Studies, 1991, 4, (4), 685-708 View citations (127)

1988

23. Risk and return in an equilibrium APT: Application of a new test methodology
    Journal of Financial Economics, 1988, 21, (2), 255-289 View citations (257)

1986

24. Assessing the Market Timing Performance of Managed Portfolios
    The Journal of Business, 1986, 59, (2), 217-35 View citations (110)
25. Performance measurement with the arbitrage pricing theory: A new framework for analysis
    Journal of Financial Economics, 1986, 15, (3), 373-394 View citations (319)

1985

26. The Pricing of Forward Contracts for Foreign Exchange
    Journal of Political Economy, 1985, 93, (2), 346-68 View citations (43)

Books

2010

1. Portfolio Risk Analysis
   Economics Books, Princeton University Press View citations (29)

Chapters

2010

1. Introduction
   A chapter in Portfolio Risk Analysis, 2010

1990

2. Understanding Stock Price Behavior around the Time of Equity Issues
   A chapter in Asymmetric Information, Corporate Finance, and Investment, 1990, pp 257-278 View citations (42)
   See also Working Paper Understanding Stock Price Behavior around the Time of Equity Issues, National Bureau of Economic Research, Inc (1989) View citations (13) (1989)