Details about K. Geert Rouwenhorst

Access statistics for papers by K. Geert Rouwenhorst.

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Short-id: pro146

Working Papers

2015

1. Facts and Fantasies about Commodity Futures Ten Years Later
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (70)

2009

2. 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

3. 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)
4. International Momentum Strategies
   Yale School of Management Working Papers, Yale School of Management View citations (5)
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)
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 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

7. 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

8. Facts and Fantasies about Commodity Futures
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)

2001

9. 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)
10. 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)
11. 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)
12. 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

13. 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

14. 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

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

Journal Articles

2021

1. The first commodity futures index of 1933
   Journal of Commodity Markets, 2021, 23, (C) View citations (1)

2020

2. 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

3. On commodity price limits
   Journal of Futures Markets, 2019, 39, (8), 946-961 View citations (4)

2014

4. 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)
5. 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

6. 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)
7. 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

8. Commodity Investing
   Annual Review of Financial Economics, 2012, 4, (1), 447-467 View citations (31)

2006

9. 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

10. 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

11. 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

12. 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)
13. 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

14. Evaluating the gains from international risksharing: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1995, 42, (1), 145-149
15. 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

16. Does industrial structure explain the benefits of international diversification?
    Journal of Financial Economics, 1994, 36, (1), 3-27 View citations (289)
17. International term structures and real economic growth
    Journal of Monetary Economics, 1994, 33, (1), 133-155 View citations (191)

1991

18. Time to build and aggregate fluctuations: A reconsideration
    Journal of Monetary Economics, 1991, 27, (2), 241-254 View citations (37)

1990

19. 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

1. The Origins of Value: The Financial Innovations that Created Modern Capital Markets
   OUP Catalogue, Oxford University Press View citations (64)

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 View citations (5)