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Details about K. Geert Rouwenhorst

Homepage:http://mayet.som.yale.edu/~geert/
Workplace:School of Management, Yale University, (more information at EDIRC)

Access statistics for papers by K. Geert Rouwenhorst.

Last updated 2015-10-06. Update your information in the RePEc Author Service.

Short-id: pro146


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Working Papers

2015

  1. Facts and Fantasies about Commodity Futures Ten Years Later
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2009

  1. New Evidence on the First Financial Bubble
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2013)

2008

  1. Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (5)
  2. International Momentum Strategies
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
    See also Journal Article in Journal of Finance (1998)
  3. Long-Term Global Market Correlations
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (56)
    DNB Staff Reports (discontinued), Netherlands Central Bank (2003) Downloads View citations (36)

    See also Journal Article in The Journal of Business (2005)
  4. The Fundamentals of Commodity Futures Returns
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (24)

    See also Journal Article in Review of Finance (2013)
  5. The Origins of Mutual Funds
    Yale School of Management Working Papers, Yale School of Management Downloads
  6. The Role of Beta and Size in the Cross-Section of European Stock Returns
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
    See also Journal Article in European Financial Management (1999)

2007

  1. Commodity Futures: A Japanese Perspective
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)

2006

  1. A Note on Erb and Harvey (2005)
    Yale School of Management Working Papers, Yale School of Management Downloads

2005

  1. Facts and Fantasies about Commodity Futures
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (17)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (41)

2001

  1. Behavioral Factors in Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (9)
    Also in Yale School of Management Working Papers, Yale School of Management (2000) Downloads View citations (17)
  2. Day Trading International Mutual Funds: Evidence And Policy Solutions
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (18)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2001)
  3. Global Real Estate Markets: Cycles And Fundamentals
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (24)
    Yale School of Management Working Papers, Yale School of Management (1999) Downloads View citations (6)
  4. Local Return Factors and Turnover in Emerging Stock Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    See also Journal Article in Journal of Finance (1999)

2000

  1. European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)

1999

  1. Pairs Trading: Performance of a Relative Value Arbitrage Rule
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (1)
    Yale School of Management Working Papers, Yale School of Management (1998) Downloads
    Yale School of Management Working Papers, Yale School of Management (1998) Downloads

    See also Journal Article in Review of Financial Studies (2006)

1991

  1. Asset Returns and Business Cycles
    Working Papers, Rochester, Business - Ph.D., View citations (4)

Journal Articles

2014

  1. Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
    Review of Financial Studies, 2014, 27, (11), 3099-3132 Downloads View citations (1)

2013

  1. New evidence on the first financial bubble
    Journal of Financial Economics, 2013, 108, (3), 585-607 Downloads View citations (4)
    See also Working Paper (2009)
  2. The Fundamentals of Commodity Futures Returns
    Review of Finance, 2013, 17, (1), 35-105 Downloads View citations (64)
    See also Working Paper (2008)

2012

  1. Commodity Investing
    Annual Review of Financial Economics, 2012, 4, (1), 447-467 Downloads View citations (10)

2006

  1. Pairs Trading: Performance of a Relative-Value Arbitrage Rule
    Review of Financial Studies, 2006, 19, (3), 797-827 Downloads View citations (67)
    See also Working Paper (1999)

2005

  1. Long-Term Global Market Correlations
    The Journal of Business, 2005, 78, (1), 1-38 Downloads View citations (139)
    See also Working Paper (2008)

2001

  1. Day Trading International Mutual Funds: Evidence and Policy Solutions
    Journal of Financial and Quantitative Analysis, 2001, 36, (03), 287-309 Downloads View citations (20)
    See also Working Paper (2001)

1999

  1. Local Return Factors and Turnover in Emerging Stock Markets
    Journal of Finance, 1999, 54, (4), 1439-1464 Downloads View citations (187)
    See also Working Paper (2001)
  2. The Role of Beta and Size in the Cross-Section of European Stock Returns
    European Financial Management, 1999, 5, (1), 9-27 Downloads View citations (26)
    See also Working Paper (2008)

1998

  1. International Momentum Strategies
    Journal of Finance, 1998, 53, (1), 267-284 Downloads View citations (330)
    See also Working Paper (2008)

1995

  1. Evaluating the gains from international risksharing: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1995, 42, (1), 145-149 Downloads
  2. The structure of international stock returns and the integration of capital markets
    Journal of Empirical Finance, 1995, 2, (3), 173-197 Downloads View citations (47)

1994

  1. Does industrial structure explain the benefits of international diversification?
    Journal of Financial Economics, 1994, 36, (1), 3-27 Downloads View citations (219)
  2. International term structures and real economic growth
    Journal of Monetary Economics, 1994, 33, (1), 133-155 Downloads View citations (146)

1991

  1. Time to build and aggregate fluctuations: A reconsideration
    Journal of Monetary Economics, 1991, 27, (2), 241-254 Downloads View citations (26)

1990

  1. Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach
    Journal of Business & Economic Statistics, 1990, 8, (1), 19-21 View citations (14)

Edited books

2005

  1. The Origins of Value: The Financial Innovations that Created Modern Capital Markets
    OUP Catalogue, Oxford University Press View citations (9)

Chapters

2014

  1. Dutch Securities for American Land Speculation in the Late Eighteenth Century
    A chapter in Housing and Mortgage Markets in Historical Perspective, 2014, pp 287-304 Downloads
 
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