Details about Gregory Connor

Access statistics for papers by Gregory Connor.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pco532

Working Papers

2020

1. A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2019

2. 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)

2016

3. -Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth

2015

4. Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (3)

2014

5. 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)
6. Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (1)

2013

7. Irish Mortgage Default Optionality
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (1)

2012

8. A Coasean Approach to Bank Resolution Policy in the Eurozone
   FMG Special Papers, Financial Markets Group
   Also in Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2012) View citations (3)
9. Dynamic Stock Market Covariances in the Eurozone
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (2)
   See also Journal Article Dynamic stock market covariances in the Eurozone, Journal of International Money and Finance, Elsevier (2013) View citations (19) (2013)

2010

10. Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (2)
11. The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (8)
    See also Journal Article The U.S. and Irish credit crises: Their distinctive differences and common features, Journal of International Money and Finance, Elsevier (2012) View citations (24) (2012)

2009

12. Market Dispersion and the Profitability of Hedge Funds
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (3)
13. The Risky Lending Gap
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth

2007

14. Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (14)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (14)
    FMG Discussion Papers, Financial Markets Group (2007) View citations (12)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2007) View citations (8)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (14)

2006

15. Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006)
    See also Journal Article Semiparametric estimation of a characteristic-based factor model of common stock returns, Journal of Empirical Finance, Elsevier (2007) View citations (36) (2007)

2004

16. (IAM Series No 002) An Intro to Hedge Funds
    FMG Discussion Papers, Financial Markets Group
17. An Introduction to hedge funds
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)

2001

18. A Structured GARCH Model of Daily Equity Return Volatility
    FMG Discussion Papers, Financial Markets Group
19. Tests of the Fama Model in India
    FMG Discussion Papers, Financial Markets Group
20. Tests of the Fama and French model in India
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (17)

2000

21. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
    FMG Discussion Papers, Financial Markets Group View citations (1)

1995

22. Optimal Cash Management for Investment Funds
    Research Program in Finance Working Papers, University of California at Berkeley View citations (3)

1990

23. The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing
    Research Program in Finance Working Papers, University of California at Berkeley

1988

24. The Attributes, Behavior and Performance of U.S. Mutual Funds
    Research Program in Finance Working Papers, University of California at Berkeley View citations (12)

1987

25. An Intertemporal Equilibrium Beta Pricing Model
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
26. Estimating Pervasive Economic Factors with Missing Observations
    Research Program in Finance Working Papers, University of California at Berkeley View citations (25)
27. New Cross-Sectional Regression Tests of Beta Pricing Models
    Research Program in Finance Working Papers, University of California at Berkeley
28. 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. 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)

2018

2. 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)

2015

3. A Synthesis of Two Factor Estimation Methods
   Journal of Financial and Quantitative Analysis, 2015, 50, (4), 825-842 View citations (3)
4. Strategic, unaffordability and dual-trigger default in the Irish mortgage market
   Journal of Housing Economics, 2015, 28, (C), 59-75 View citations (10)

2013

5. Dynamic stock market covariances in the Eurozone
   Journal of International Money and Finance, 2013, 37, (C), 353-370 View citations (19)
   See also Working Paper Dynamic Stock Market Covariances in the Eurozone, Economics Department Working Paper Series (2012) View citations (2) (2012)

2012

6. Efficient Semiparametric Estimation of the Fama–French Model and Extensions
   Econometrica, 2012, 80, (2), 713-754 View citations (50)
7. Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector
   The World Economy, 2012, 35, (10), 1256-1276 View citations (3)
8. The U.S. and Irish credit crises: Their distinctive differences and common features
   Journal of International Money and Finance, 2012, 31, (1), 60-79 View citations (24)
   See also Working Paper The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features, Economics Department Working Paper Series (2010) View citations (8) (2010)

2007

9. Semiparametric estimation of a characteristic-based factor model of common stock returns
   Journal of Empirical Finance, 2007, 14, (5), 694-717 View citations (36)
   See also Working Paper Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns, STICERD - Econometrics Paper Series (2006) (2006)

2006

10. Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle
    Renewable Energy, 2006, 31, (2), 173-180 View citations (24)
11. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 View citations (34)

1997

12. Sensible Return Forecasting for Portfolio Management
    Financial Analysts Journal, 1997, 53, (5), 44-51

1996

13. A Global Stock and Bond Model
    Financial Analysts Journal, 1996, 52, (6), 65-74
14. National versus Global Influences on Equity Returns
    Financial Analysts Journal, 1996, 52, (2), 31-39

1993

15. A Test for the Number of Factors in an Approximate Factor Model
    Journal of Finance, 1993, 48, (4), 1263-91 View citations (251)

1988

16. Risk and return in an equilibrium APT: Application of a new test methodology
    Journal of Financial Economics, 1988, 21, (2), 255-289 View citations (256)

1986

17. Performance measurement with the arbitrage pricing theory: A new framework for analysis
    Journal of Financial Economics, 1986, 15, (3), 373-394 View citations (314)

1985

18. Arbitrage Pricing Theory: The Way Forward
    Australian Journal of Management, 1985, 10, (1), 109-130 View citations (1)

1984

19. A unified beta pricing theory
    Journal of Economic Theory, 1984, 34, (1), 13-31 View citations (78)

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