Details about Robert L. Kosowski

Access statistics for papers by Robert L. Kosowski.

Last updated 2023-11-02. Update your information in the RePEc Author Service.

Short-id: pko1141

Working Papers

2021

1. Best Short
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
2. The Correlation Risk Premium: International Evidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article The Correlation Risk Premium: International Evidence, Journal of Banking & Finance, Elsevier (2022) View citations (4) (2022)

2019

3. Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2018

4. The Effect of Investment Constraints on Hedge Fund Investor Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article The Effect of Investment Constraints on Hedge Fund Investor Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) View citations (11) (2019)

2015

5. Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds*, Review of Finance, European Finance Association (2021) View citations (7) (2021)

2005

6. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (12)
   See also Journal Article Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis, Journal of Finance, American Finance Association (2006) View citations (320) (2006)

Journal Articles

2022

1. The Correlation Risk Premium: International Evidence
   Journal of Banking & Finance, 2022, 136, (C) View citations (4)
   See also Working Paper The Correlation Risk Premium: International Evidence, CEPR Discussion Papers (2021) (2021)

2021

2. The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds*
   (Large sample properties of matching estimators for average treatment effects)
   Review of Finance, 2021, 25, (1), 189-233 View citations (7)
   See also Working Paper Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds, CEPR Discussion Papers (2015) (2015)

2019

3. The Effect of Investment Constraints on Hedge Fund Investor Returns
   Journal of Financial and Quantitative Analysis, 2019, 54, (4), 1539-1571 View citations (11)
   See also Working Paper The Effect of Investment Constraints on Hedge Fund Investor Returns, CEPR Discussion Papers (2018) (2018)

2014

4. Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas
   Journal of Finance, 2014, 69, (6), 2819-2870 View citations (31)
5. When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
   The Review of Financial Studies, 2014, 27, (2), 581-616 View citations (35)

2013

6. Hedge Fund Return Predictability Under the Magnifying Glass
   Journal of Financial and Quantitative Analysis, 2013, 48, (4), 1057-1083 View citations (29)

2011

7. Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
   Quarterly Journal of Finance (QJF), 2011, 01, (03), 607-664 View citations (57)
8. Hedge funds, managerial skill, and macroeconomic variables
   Journal of Financial Economics, 2011, 99, (3), 672-692 View citations (46)

2007

9. Do hedge funds deliver alpha? A Bayesian and bootstrap analysis
   Journal of Financial Economics, 2007, 84, (1), 229-264 View citations (178)

2006

10. Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 View citations (320)
    See also Working Paper Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, CFR Working Papers (2005) View citations (12) (2005)

Books

2014

1. Principles of Financial Engineering
   Elsevier Monographs, Elsevier View citations (1)