Details about K. Geert Rouwenhorst
Access statistics for papers by K. Geert Rouwenhorst.
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Short-id: pro146
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Working Papers
2015
- Facts and Fantasies about Commodity Futures Ten Years Later
NBER Working Papers, National Bureau of Economic Research, Inc View citations (70)
2009
- New Evidence on the First Financial Bubble
NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
See also Journal Article New evidence on the first financial bubble, Journal of Financial Economics, Elsevier (2013) View citations (40) (2013)
2008
- Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
- International Momentum Strategies
Yale School of Management Working Papers, Yale School of Management View citations (5)
- Long-Term Global Market Correlations
Yale School of Management Working Papers, Yale School of Management View citations (36)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (68)
See also Journal Article Long-Term Global Market Correlations, The Journal of Business, University of Chicago Press (2005) View citations (258) (2005)
- The Role of Beta and Size in the Cross-Section of European Stock Returns
Yale School of Management Working Papers, Yale School of Management View citations (7)
See also Journal Article The Role of Beta and Size in the Cross‐Section of European Stock Returns, European Financial Management, European Financial Management Association (1999) View citations (43) (1999)
2007
- The Fundamentals of Commodity Futures Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (62)
See also Journal Article The Fundamentals of Commodity Futures Returns, Review of Finance, European Finance Association (2013) View citations (236) (2013)
2004
- Facts and Fantasies about Commodity Futures
NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
2001
- Behavioral Factors in Mutual Fund Flows
Yale School of Management Working Papers, Yale School of Management View citations (10)
Also in Yale School of Management Working Papers, Yale School of Management (2000) View citations (23)
- Day Trading International Mutual Funds: Evidence And Policy Solutions
Yale School of Management Working Papers, Yale School of Management View citations (48)
See also Journal Article Day Trading International Mutual Funds: Evidence and Policy Solutions, Journal of Financial and Quantitative Analysis, Cambridge University Press (2001) View citations (43) (2001)
- Global Real Estate Markets: Cycles And Fundamentals
Yale School of Management Working Papers, Yale School of Management
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (41) Yale School of Management Working Papers, Yale School of Management (1999) View citations (28)
- Local Return Factors and Turnover in Emerging Stock Markets
Yale School of Management Working Papers, Yale School of Management View citations (4)
See also Journal Article Local Return Factors and Turnover in Emerging Stock Markets, Journal of Finance, American Finance Association (1999) View citations (346) (1999)
2000
- European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?
Yale School of Management Working Papers, Yale School of Management View citations (8)
1999
- Pairs Trading: Performance of a Relative Value Arbitrage Rule
NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations (4) Yale School of Management Working Papers, Yale School of Management (1998) View citations (5) Yale School of Management Working Papers, Yale School of Management (1998) View citations (4)
See also Journal Article Pairs Trading: Performance of a Relative-Value Arbitrage Rule, The Review of Financial Studies, Society for Financial Studies (2006) View citations (232) (2006)
1991
- Asset Returns and Business Cycles
Working Papers, Rochester, Business - Ph.D., View citations (4)
Journal Articles
2021
- The first commodity futures index of 1933
Journal of Commodity Markets, 2021, 23, (C) View citations (1)
2020
- A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
Journal of Finance, 2020, 75, (1), 377-417 View citations (59)
2019
- On commodity price limits
Journal of Futures Markets, 2019, 39, (8), 946-961 View citations (4)
2014
- Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
The Review of Financial Studies, 2014, 27, (11), 3099-3132 View citations (23)
- William N. Goetzmann, Catherine Labio, K. Geert Rouwenhorst, and Timothy G. Young, eds., The great mirror of folly: finance, culture, the crash of 1720 ( New Haven: Yale University Press, 2013. Pp. xiv + 346. 255 illus. ISBN 9780300162462 Hbk. £50/$75)
Economic History Review, 2014, 67, (4), 1175-1176
2013
- New evidence on the first financial bubble
Journal of Financial Economics, 2013, 108, (3), 585-607 View citations (40)
See also Working Paper New Evidence on the First Financial Bubble, NBER Working Papers (2009) View citations (26) (2009)
- The Fundamentals of Commodity Futures Returns
Review of Finance, 2013, 17, (1), 35-105 View citations (236)
See also Working Paper The Fundamentals of Commodity Futures Returns, NBER Working Papers (2007) View citations (62) (2007)
2012
- Commodity Investing
Annual Review of Financial Economics, 2012, 4, (1), 447-467 View citations (31)
2006
- Pairs Trading: Performance of a Relative-Value Arbitrage Rule
The Review of Financial Studies, 2006, 19, (3), 797-827 View citations (232)
See also Working Paper Pairs Trading: Performance of a Relative Value Arbitrage Rule, NBER Working Papers (1999) View citations (24) (1999)
2005
- Long-Term Global Market Correlations
The Journal of Business, 2005, 78, (1), 1-38 View citations (258)
See also Working Paper Long-Term Global Market Correlations, Yale School of Management Working Papers (2008) View citations (36) (2008)
2001
- Day Trading International Mutual Funds: Evidence and Policy Solutions
Journal of Financial and Quantitative Analysis, 2001, 36, (3), 287-309 View citations (43)
See also Working Paper Day Trading International Mutual Funds: Evidence And Policy Solutions, Yale School of Management Working Papers (2001) View citations (48) (2001)
1999
- Local Return Factors and Turnover in Emerging Stock Markets
Journal of Finance, 1999, 54, (4), 1439-1464 View citations (346)
See also Working Paper Local Return Factors and Turnover in Emerging Stock Markets, Yale School of Management Working Papers (2001) View citations (4) (2001)
- The Role of Beta and Size in the Cross‐Section of European Stock Returns
European Financial Management, 1999, 5, (1), 9-27 View citations (43)
See also Working Paper The Role of Beta and Size in the Cross-Section of European Stock Returns, Yale School of Management Working Papers (2008) View citations (7) (2008)
1995
- Evaluating the gains from international risksharing: A comment
Carnegie-Rochester Conference Series on Public Policy, 1995, 42, (1), 145-149
- The structure of international stock returns and the integration of capital markets
Journal of Empirical Finance, 1995, 2, (3), 173-197 View citations (63)
1994
- Does industrial structure explain the benefits of international diversification?
Journal of Financial Economics, 1994, 36, (1), 3-27 View citations (289)
- International term structures and real economic growth
Journal of Monetary Economics, 1994, 33, (1), 133-155 View citations (191)
1991
- Time to build and aggregate fluctuations: A reconsideration
Journal of Monetary Economics, 1991, 27, (2), 241-254 View citations (37)
1990
- 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 (13)
Edited books
2005
- The Origins of Value: The Financial Innovations that Created Modern Capital Markets
OUP Catalogue, Oxford University Press View citations (64)
Chapters
2014
- 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 View citations (5)
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