Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Harry G. Guthmann Distinguished Professor of Finance

2211 Campus Drive, Room 4357

Evanston, IL 60208-0898

United States

http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

SCHOLARLY PAPERS

47

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CROSSREF CITATIONS

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Scholarly Papers (47)

1.
Downloads 5,432 ( 1,904)
Citation 104

Intraday Patterns in the Cross-Section of Stock Returns

Number of pages: 59 Posted: 17 Jun 2009 Last Revised: 27 May 2010
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 4,599 (2,519)
Citation 10

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, 2010, Vol. 65, No. 4, pp. 1369-1407
Number of pages: 59 Posted: 21 Nov 2009 Last Revised: 14 Nov 2019
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 833 (37,637)
Citation 87

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Return periodicity, Market Microstructure

2.
Downloads 4,099 ( 3,006)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

3.
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Citation 86

Are Momentum Profits Robust to Trading Costs?

Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 28 Mar 2002
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 3,844 (3,439)
Citation 86

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Momentum strategies, Transaction costs, Price impact, Optimal trading, Market efficiency

Are Momentum Profits Robust to Trading Costs?

Journal of Finance, Vol. 59, No. 3, pp. 1039-1082, June 2004
Posted: 29 Dec 2004
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Momentum strategies, transaction costs, price impact, optimal trading, market efficiency

4.

Factor Models of Asset Returns

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Rama Cont, ed., Chicester: Wiley, 2010.
Number of pages: 10 Posted: 26 Oct 2007 Last Revised: 17 Nov 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 2,912 (5,594)

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Factor Models, Principal Components, Factor Analysis, Macroeconomic Factors

Capital Structure Choice: Macroeconomic Conditions and Financial Constraints

AFA 2002 Atlanta Meetings; Kellogg School of Mgmt. Finance Working Paper No. 279
Number of pages: 50 Posted: 04 Mar 2002
Robert A. Korajczyk and Amnon Levy
Downloads 2,783 (5,928)
Citation 87

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Capital structure, Business cycles, Financial constraints

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Capital structure, Business cycles, Financial constraints

6.

Factor Models in Portfolio and Asset Pricing Theory

HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010.
Number of pages: 22 Posted: 30 May 2008 Last Revised: 20 Nov 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,823 (11,951)

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Asset Pricing, Portfolio Theory, Factor Models

7.
Downloads 1,609 ( 14,550)

Are You Trading Predictably?

Number of pages: 19 Posted: 05 Jun 2010 Last Revised: 05 Sep 2010
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business
Downloads 1,609 (14,297)

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Trading, Microstructure, Periodicity, Anomaly

Are You Trading Predictably?

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business

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Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies

Pricing the Commonality Across Alternative Measures of Liquidity

Number of pages: 41 Posted: 11 May 2006
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 1,584 (14,661)
Citation 43

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Liquidity, Risk Premium

Pricing the Commonality Across Alternative Measures of Liquidity

Journal of Financial Economics (JFE), Vol. 87, No. 1, 2008
Posted: 15 Jan 2008
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Liquidity, Risk Premium

9.
Downloads 1,574 ( 15,062)
Citation 14

Predicting Equity Liquidity

Northwestern University Dept. of Finance Working Paper No. 205
Number of pages: 55 Posted: 09 Jan 2001
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk
Downloads 1,574 (14,805)
Citation 14

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Liquidity, price impact, transactions costs

Predicting Equity Liquidity

Management Science, Vol. 48, No. 4, pp. 470-483, April 2002, copyright
Posted: 07 Feb 2003
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk

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Liquidity, Transactions Costs, Price Impact

10.

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns

Handbooks in Operations Research and Management Science, Vol. 9
Number of pages: 88 Posted: 02 Aug 2009
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,495 (16,381)
Citation 2

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Arbitrage Pricing Theory, Multifactor Models

11.

High Frequency Market Making to Large Institutional Trades

Review of Financial Studies, (2019) vol. 32, no. 3, 1034-1067
Number of pages: 52 Posted: 28 Feb 2015 Last Revised: 08 Feb 2019
Robert A. Korajczyk and Dermot Murphy
Northwestern University - Kellogg School of Management and University of Illinois at Chicago
Downloads 1,336 (19,321)
Citation 35

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High Frequency Trading, HFT, Institutional Trades, Implementation Shortfall, Market Making, Liquidity Provision

12.

Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis

Journal of Financial Economics (JFE), Vol. 15, No. 3, 1986
Number of pages: 38 Posted: 26 Aug 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,145 (24,350)
Citation 46

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Asymptotic Principal Components, Arbitrage Pricing Theory, APT, Performance Measurement, Jensen Measure, Appraisal Ratio

13.

Risk and Return in an Equilibrium Apt: Application of a New Test Methodology

Journal of Financial Economics (JFE), Vol. 21, No. 2, 1988
Number of pages: 64 Posted: 27 Aug 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
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Citation 109

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Asymptotic Principal Components, Arbitrage Pricing Theory, APT, Asset Pricing Model

14.
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Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 21 Jun 2018
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 1,017 (28,466)
Citation 19

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asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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asset pricing model, investment horizon, factors, characteristics

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A Measure of Stock Market Integration for Developed and Emerging Markets

World Bank Economic Review, Vol. 10, pp. 267-289, May 1996
Posted: 07 Jul 2006
Robert A. Korajczyk

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Market Integration, Emerging Markets

16.

Arbitrage Portfolios

Review of Financial Studies, vol. 34 No 6, 2813-2856
Number of pages: 95 Posted: 31 Oct 2018 Last Revised: 24 May 2021
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 895 (34,614)
Citation 7

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

17.

The Determinants of Equity Illiquidity

Working Paper No. 205
Number of pages: 38 Posted: 15 Apr 1999
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk
Downloads 892 (34,733)

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18.

Assessing the Market Timing Performance of Managed Portfolios

Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986
Number of pages: 31 Posted: 21 Oct 2011 Last Revised: 03 May 2012
Ravi Jagannathan and Robert A. Korajczyk
Downloads 801 (40,353)
Citation 8

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Portfolio Performance Evaluation, Market Timing, Performance Atribution

The Common and Specific Components of Dynamic Volatility

Northwestern University, Finance Working Paper No. 311
Number of pages: 32 Posted: 03 Nov 2002
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and University of Cambridge
Downloads 713 (46,505)
Citation 12

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APT, ARCH, Factor Models, Principal Components, Volatility

The Common and Specific Components of Dynamic Volatility

Journal of Econometrics, Vol. 132, May 2006
Posted: 03 May 2006
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and University of Cambridge

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APT, ARCH, Factor Models, Principal Components, Volatility

20.

Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components

Number of pages: 32 Posted: 23 Oct 2003 Last Revised: 28 Apr 2009
Gregory Connor, Robert A. Korajczyk and Robert T. Uhlaner
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and McKinsey & Co. Inc. - San Francisco Office
Downloads 590 (60,282)
Citation 1

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Factor model, Principal Components

21.

A Synthesis of Two Factor Estimation Methods

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 4, 2015
Number of pages: 42 Posted: 21 Aug 2009 Last Revised: 14 Nov 2015
Gregory Connor, Robert A. Korajczyk and Robert T. Uhlaner
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and McKinsey & Co. Inc. - San Francisco Office
Downloads 437 (87,108)
Citation 2

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Cross-sectional regression, Factor model, Principal components, Errors in variables

22.

A Test for the Number of Factors in an Approximate Factor Model

Journal of Finance, Vol. 48, pp. 1263-1291, September 1993
Number of pages: 47 Posted: 24 Jan 2007 Last Revised: 21 Aug 2009
Robert A. Korajczyk and Gregory Connor
Northwestern University - Kellogg School of Management and London School of Economics & Political Science (LSE) - Department of Accounting and Finance
Downloads 382 (101,745)
Citation 86

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Factor Models, Principal Components

23.

Market Timing

Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor, edited by John Guerard, Jr., Springer International Publishers, 2017, pp.49-71
Number of pages: 27 Posted: 02 Nov 2014 Last Revised: 06 Feb 2017
Ravi Jagannathan and Robert A. Korajczyk
Downloads 352 (111,483)
Citation 2

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Market Timing, Portfolio Performance, Return-Based Performance

24.

Introduction to Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics

ASSET PRICING AND PORTFOLIO PERFORMANCE: MODELS, STRATEGY, AND PERFORMANCE METRICS, London, UK: Risk Books, 1999
Number of pages: 46 Posted: 07 Jan 2010
Robert A. Korajczyk
Downloads 346 (113,628)

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Asset Pricing Models, Portfolio Strategy, Portfolio Performance Metrics

25.

Risk Management in Asset Management

The Growth of Risk Management: A History, 2003
Number of pages: 17 Posted: 30 Jul 2009
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 321 (123,406)

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risk management, asset management

26.

Large Sample Estimators of the Stochastic Discount Factor

Number of pages: 107 Posted: 07 Mar 2018 Last Revised: 24 May 2021
Soohun Kim and Robert A. Korajczyk
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Northwestern University - Kellogg School of Management
Downloads 297 (134,110)

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Asset Pricing, Factor Structure, Stochastic Discount Factor, SDF

27.

Book Review of Market Liquidity: Asset Pricing, Risk, and Crises by Yakov Amihud, Haim Mendelson, and Lasse Heje Pedersen

Quantitative Finance, Vol. 14, No. 2, (2014), pp. 211-212.
Number of pages: 3 Posted: 02 May 2013 Last Revised: 31 Dec 2013
Robert A. Korajczyk
Downloads 295 (135,025)

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Microstructure, Liquidity, Asset Pricing, Risk, Crises

28.

Estimating Pervasive Economic Factors with Missing Observations

Number of pages: 35 Posted: 18 Sep 2008
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 246 (162,305)
Citation 26

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Factor Models, Arbitrage Pricing Theory

29.

The Pricing of Forward Contracts for Foreign Exchange

Journal of Political Economy, Vol. 93, No. 2, 1985
Number of pages: 44 Posted: 29 Sep 2011
Robert A. Korajczyk
Downloads 221 (179,822)
Citation 4

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Foreign exchange, uncovered interest parity, carry trade, forward market

30.

Characteristic-Based Returns: Alpha or Smart Beta?

Journal of Investment Management, 20 (First Quarter 2022):70-89., KAIST College of Business Working Paper Series
Number of pages: 32 Posted: 24 Jul 2021 Last Revised: 20 Jan 2022
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 210 (188,649)

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arbitrage, characteristic based model, smart beta, factor pricing

31.

The CAPM Controversy: Policy and Strategy Implications for Investment Management: An Overview

'CAPM Controversy: Policy and Strategy Implications for Investment Management' Conference, Charlottesville, October 1993
Number of pages: 10 Posted: 17 Dec 2009
Diana Harrington and Robert A. Korajczyk
affiliation not provided to SSRN and Northwestern University - Kellogg School of Management
Downloads 204 (193,811)

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Capital Asset Pricing Model, CAPM, Portfolio Theory

32.

Foreign Investors, Private Information, and Price Discovery

Number of pages: 41 Posted: 04 Oct 2010 Last Revised: 04 Jun 2020
Jun Cai, Richard Ho, Robert A. Korajczyk and Zheng Zhang
City University of Hong Kong (CityU) - Department of Economics & Finance, City University of Hong Kong (CityU) - Department of Economics & Finance, Northwestern University - Kellogg School of Management and Peking University - Department of Finance, Guanghua School of Management
Downloads 199 (198,229)

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Emerging Markets, Price Discovery, Weighted Price Contribution, Foreign Ownership, Market Integration, Market Microstructure

33.

Do High-Frequency Traders Improve your Implementation Shortfall?

Journal of Investment Management, 18 (First Quarter 2020): 18-33.
Number of pages: 29 Posted: 16 Apr 2019 Last Revised: 25 Feb 2020
Robert A. Korajczyk and Dermot Murphy
Northwestern University - Kellogg School of Management and University of Illinois at Chicago
Downloads 188 (208,662)

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high-frequency trading, institutional orders, implementation shortfall, transaction costs, transaction tax

34.

Equity Issues with Time-Varying Asymmetric Information

Journal of Financial and Quantitative Analysis (JFQA), Vol. 27, No. 3, 1992
Number of pages: 32 Posted: 22 Oct 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 180 (216,734)
Citation 34

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Equity Issues, Adverse Selection, Asymmetric Information

35.

Semi-strong Factors in Asset Returns

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-6
Number of pages: 35 Posted: 15 Jul 2019 Last Revised: 29 Apr 2021
Gregory Connor and Robert A. Korajczyk
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 173 (224,196)
Citation 2

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Semi-strong factors, Factor model

Understanding Stock Price Behavior Around the Time of Equity Issues

ASYMMETRIC INFORMATION, CORPORATE FINANCE, AND INVESTMENT, R. Glenn Hubbard, ed., University of Chicago Press, 1990
Number of pages: 40 Posted: 21 Oct 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 96 (351,617)

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equity issues, adverse selection, asymmetric information

Understanding Stock Price Behavior Around the Time of Equity Issues

NBER Working Paper No. w3170
Number of pages: 40 Posted: 08 Jan 2008 Last Revised: 01 Sep 2021
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 73 (415,515)

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37.

Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance

Review of Financial Studies, Vol. 15, No. 2, pp. 353-361, 2002
Number of pages: 15 Posted: 14 Apr 2005 Last Revised: 16 Dec 2009
John Heaton and Robert A. Korajczyk
University of Chicago - Finance and Northwestern University - Kellogg School of Management
Downloads 164 (234,552)

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Market Frictions, Behavioral Finance, Liquidity

38.

The Effect of Information Releases on the Pricing and Timing of Equity Issues

Review of Financial Studies, Vol. 4, No. 4, pp. 685-708, 1991
Number of pages: 34 Posted: 03 Nov 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 135 (274,681)
Citation 1

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Equity Issues, Adverse Selection, Asymmetric Information

39.

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Journal of Business, Vol. 68, No. 3, July 1995
Number of pages: 80 Posted: 10 Oct 1998 Last Revised: 11 Apr 2010
Wayne E. Ferson and Robert A. Korajczyk
University of Southern California and Northwestern University - Kellogg School of Management
Downloads 135 (274,681)
Citation 7

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40.

The Attributes, Behavior, and Performance of U.S. Mutual Funds

Review of Quantitative Finance and Accounting, Vol. 1, No. 1, pp. 5-26, 1990
Number of pages: 38 Posted: 25 Oct 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 97 (346,547)
Citation 17

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Mutual Funds, Portfolio Performance, Arbitrage Pricing Theory, APT, CAPM, Market Timing

41.

An Empirical Investigation of International Asset Pricing

Review of Financial Studies, Vol. 2, No. 4, pp. 553-585, 1989
Number of pages: 71 Posted: 25 Oct 2011
Robert A. Korajczyk and Claude Viallet
Downloads 94 (353,458)
Citation 35

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International CAPM, International APT, International Asset Pricing

42.

An Intertemporal Equilibrium Beta Pricing Model

Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989
Number of pages: 33 Posted: 24 Oct 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 57 (465,836)
Citation 8

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Arbitrage Pricing Theory, APT, Asset Pricing Model

43.

Equity Risk Premia and the Pricing of Foreign Exchange Risk

Journal of International Economics, Vol. 33, Nos. 3-4, 1992
Number of pages: 34 Posted: 13 Oct 2011
Robert A. Korajczyk and Claude Viallet
Downloads 54 (477,233)

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Foreign exchange, uncovered interest parity, carry trade, forward market, Arbitrage Pricing Theory, APT, Asset Pricing Model

44.

A Performance Comparison of Large-n Factor Estimators

Review of Asset Pricing Studies, Volume 8, Number 1 (2018): 153-182.
Number of pages: 110 Posted: 18 Jan 2014 Last Revised: 24 May 2018
Zhuo Chen, Gregory Connor and Robert A. Korajczyk
Tsinghua University - PBC School of Finance, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 37 (554,405)
Citation 3

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Factor Model, Asymptotic Principal Components, Large-Scale Factor Model

45.

The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence

NBER Working Paper No. w2727
Number of pages: 51 Posted: 29 Mar 2010 Last Revised: 16 Dec 2021
Robert A. Korajczyk, Robert L. McDonald and Deborah J. Lucas
Downloads 37 (554,405)
Citation 11

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Accounting, Cash Flow Analysis, Financial Analysis, Financial Statements, Investment Management, Market Analysis, Valuation

47.

Short-Horizon Beta or Long-Horizon Alpha?

Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016 Last Revised: 02 Nov 2018
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors