Shrihari Santosh

University of Colorado at Boulder - Department of Finance

Campus Box 419

Boulder, CO 80309

United States

SCHOLARLY PAPERS

9

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Top 7,091

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8,310

SSRN CITATIONS
Rank 5,041

SSRN RANKINGS

Top 5,041

in Total Papers Citations

241

CROSSREF CITATIONS

26

Scholarly Papers (9)

1.
Downloads 2,542 ( 6,682)
Citation 68

Shrinking the Cross Section

Number of pages: 69 Posted: 05 Apr 2017 Last Revised: 01 Aug 2018
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 2,464 (7,176)
Citation 2

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Factor Models, SDF, Cross Section, Shrinkage, Machine Learning

Shrinking the Cross Section

Number of pages: 69 Posted: 18 Aug 2018
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 78 (398,656)
Citation 35

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Factor Models, SDF, Cross Section, Shrinkage, Machine Learning

Shrinking the Cross Section

Number of pages: 60 Posted: 01 Dec 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
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Citation 10
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2.
Downloads 2,002 ( 9,454)
Citation 10

Factor Timing

Number of pages: 79 Posted: 05 Apr 2017 Last Revised: 31 Dec 2019
Valentin Haddad, Serhiy Kozak and Shrihari Santosh
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance
Downloads 2,002 (10,019)
Citation 5

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Predictability, Returns, Cross Section, Time Series, Equities, Bonds, Foreign Exchange

3.

Interpreting Factor Models

Journal of Finance, Forthcoming
Number of pages: 47 Posted: 05 Apr 2017 Last Revised: 29 Dec 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 1,787 (12,297)
Citation 24

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Factor Models, Characteristics, Covariances, Rational, Behavioral

4.

Why Do Discount Rates Vary?

Number of pages: 52 Posted: 09 Apr 2012 Last Revised: 31 Dec 2019
Serhiy Kozak and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance
Downloads 867 (35,947)
Citation 1

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risk premium, CAPM, ICAPM, discount rates, hedging demand

5.

The Path of Price Discovery: Trade Time vs Clock Time

Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 30 Nov 2020
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 603 (58,390)
Citation 2

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Price discovery, trade time, tick, earnings, surprise

6.

Pricing Implications of Noise

Number of pages: 62 Posted: 08 Jul 2021 Last Revised: 01 Nov 2021
Christian L. Goulding, Shrihari Santosh and Xingtan Zhang
Research Affiliates, LLC, University of Colorado at Boulder - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 220 (179,849)

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the skewness effect; the volatility effect; noise

7.

Investor Betas

Number of pages: 29 Posted: 28 Jan 2021
Ryan Lewis and Shrihari Santosh
University of Colorado, Boulder and University of Colorado at Boulder - Department of Finance
Downloads 132 (278,244)

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CAPM, risk, return, idiosyncratic, portfolio, active investor

8.

Exaggerated Likelihoods

Number of pages: 45 Posted: 10 Feb 2020 Last Revised: 24 Mar 2021
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 98 (342,935)

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Beliefs, overreaction, exaggeration, overconfidence

9.

Disagreement, Skewness, and Asset Prices

Number of pages: 45 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Christian L. Goulding, Shrihari Santosh and Xingtan Zhang
Research Affiliates, LLC, University of Colorado at Boulder - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 59 (456,643)

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the dispersion effect; the skewness effect; divergence of opinions