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Details about Robert Korajczyk

E-mail:
Homepage:http://www.kellogg.northwestern.edu/Faculty/Directory/Korajczyk_Robert.aspx
Phone:847-491-8336
Postal address:Finance Department Kellogg School of Management Northwestern University 2211 Sheridan Road Evanston, IL 60208-1898 USA
Workplace:Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC)

Access statistics for papers by Robert Korajczyk.

Last updated 2020-02-04. Update your information in the RePEc Author Service.

Short-id: pko2


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Working Papers

2019

  1. Semi-strong factors in asset returns
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads

2014

  1. A Performance Comparison of Large-n Factor Estimators
    Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Downloads
    See also Journal Article in Review of Asset Pricing Studies (2018)

2010

  1. Intraday Patterns in the Cross-section of Stock Returns
    Papers, arXiv.org Downloads View citations (26)
    See also Journal Article in Journal of Finance (2010)

2003

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

1995

  1. A measure of stock market integration for developed and emerging markets
    Policy Research Working Paper Series, The World Bank Downloads View citations (1)
    See also Journal Article in World Bank Economic Review (1996)

1989

  1. Understanding Stock Price Behavior around the Time of Equity Issues
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Chapter (1990)

1988

  1. The Attributes, Behavior and Performance of U.S. Mutual Funds
    Research Program in Finance Working Papers, University of California at Berkeley View citations (12)
  2. 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 Downloads View citations (2)

1987

  1. An Intertemporal Equilibrium Beta Pricing Model
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
  2. Estimating Pervasive Economic Factors with Missing Observations
    Research Program in Finance Working Papers, University of California at Berkeley View citations (17)
  3. Risk and Return in an Equilibrium APT
    Research Program in Finance Working Papers, University of California at Berkeley View citations (13)

Journal Articles

2019

  1. High-Frequency Market Making to Large Institutional Trades
    Review of Financial Studies, 2019, 32, (3), 1034-1067 Downloads View citations (1)

2018

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

2016

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

2015

  1. A Synthesis of Two Factor Estimation Methods
    Journal of Financial and Quantitative Analysis, 2015, 50, (4), 825-842 Downloads View citations (2)

2014

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

2010

  1. Intraday Patterns in the Cross‐section of Stock Returns
    Journal of Finance, 2010, 65, (4), 1369-1407 Downloads View citations (25)
    See also Working Paper (2010)

2008

  1. Pricing the commonality across alternative measures of liquidity
    Journal of Financial Economics, 2008, 87, (1), 45-72 Downloads View citations (163)

2006

  1. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 Downloads View citations (23)

2003

  1. Capital structure choice: macroeconomic conditions and financial constraints
    Journal of Financial Economics, 2003, 68, (1), 75-109 Downloads View citations (215)

2002

  1. Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance
    Review of Financial Studies, 2002, 15, (2), 353-362 View citations (1)
  2. Predicting Equity Liquidity
    Management Science, 2002, 48, (4), 470-483 Downloads View citations (41)

1996

  1. A Measure of Stock Market Integration for Developed and Emerging Markets
    World Bank Economic Review, 1996, 10, (2), 267-89 View citations (51)
    See also Working Paper (1995)

1995

  1. Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
    The Journal of Business, 1995, 68, (3), 309-49 Downloads View citations (133)

1993

  1. A Test for the Number of Factors in an Approximate Factor Model
    Journal of Finance, 1993, 48, (4), 1263-91 Downloads View citations (200)

1992

  1. Equity Issues with Time-Varying Asymmetric Information
    Journal of Financial and Quantitative Analysis, 1992, 27, (3), 397-417 Downloads View citations (39)
  2. Equity risk premia and the pricing of foreign exchange risk
    Journal of International Economics, 1992, 33, (3-4), 199-219 Downloads View citations (23)

1991

  1. The Effect of Information Releases on the Pricing and Timing of Equity Issues
    Review of Financial Studies, 1991, 4, (4), 685-708 Downloads View citations (86)

1988

  1. Risk and return in an equilibrium APT: Application of a new test methodology
    Journal of Financial Economics, 1988, 21, (2), 255-289 Downloads View citations (172)

1986

  1. Assessing the Market Timing Performance of Managed Portfolios
    The Journal of Business, 1986, 59, (2), 217-35 Downloads View citations (81)
  2. Performance measurement with the arbitrage pricing theory: A new framework for analysis
    Journal of Financial Economics, 1986, 15, (3), 373-394 Downloads View citations (221)

1985

  1. The Pricing of Forward Contracts for Foreign Exchange
    Journal of Political Economy, 1985, 93, (2), 346-68 Downloads View citations (36)

Books

2010

  1. Portfolio Risk Analysis
    Economics Books, Princeton University Press View citations (7)

Chapters

2010

  1. Introduction
    A chapter in Portfolio Risk Analysis, 2010 Downloads View citations (3)

1990

  1. Understanding Stock Price Behavior around the Time of Equity Issues
    A chapter in Asymmetric Information, Corporate Finance, and Investment, 1990, pp 257-278 Downloads View citations (27)
    See also Working Paper (1989)
 
Page updated 2020-02-16