This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations of
Robert Korajczyk

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Chapters | Access and download statistics

Working papers

  1. Robert A. Korajczyk & Ronnie Sadka, 2003. "Are Momentum Profits Robust to Trading Costs?," Finance 0308004, EconWPA.
    Published as:

    Cited by:

    1. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    3. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-335, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    4. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September. [Downloadable!] (restricted)

  2. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank. [Downloadable!]
    Published as:

    Cited by:

    1. Mahesh Kumar Tambi, 2005. "Integration Of Financial Markets," Finance 0504014, EconWPA. [Downloadable!]
    2. Salvatore Capasso, 2006. "Stock Market Development and Economic Growth: A Matter of Information Dynamics," CSEF Working Papers 166, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    3. Selçuk Caner & Zeynep Önder, 2005. "Sources of volatility in stock returns in emerging markets," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 929-941, May. [Downloadable!] (restricted)
    4. Bill Francis & Iftekhar Hasan & Delroy Hunter, 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Working Paper 2002-16, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    5. Geert Bekaert & Campbell R. Harvey, 1998. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Working Papers 6669, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority. [Downloadable!]
    8. Levine, Ross & Zervos, Sara, 1996. "Capital control liberalization and stock market development," Policy Research Working Paper Series 1622, The World Bank. [Downloadable!]
      Other versions:
    9. Fedorova , Elena & Vaihekoski, Mika, 2009. "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers 27/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    10. Capasso, Salvatore, 2006. "Stock Market Development and Economic Growth," Working Papers RP2006/102, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    11. Salvatore Capasso, 2004. "Stock market development and economic growth: a matter of informational problems," Money Macro and Finance (MMF) Research Group Conference 2003 10, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    12. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank. [Downloadable!]
      Other versions:
    13. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)
    14. Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany. [Downloadable!]
    15. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank. [Downloadable!]
      Other versions:

  3. Robert A. Korajczyk & Deborah Lucas & Robert McDonald, 1992. "The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence," NBER Working Papers 2727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Robert A. Korajczyk & Deborah J. Lucas & Robert L. McDonald, 1989. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Working Papers 3170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  4. Robert A. Korajczyk & Deborah J. Lucas & Robert L. McDonald, 1989. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Working Papers 3170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Sangkyun Park, 1994. "The bank capital requirement and information asymmetry," Working Papers 1994-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    2. Larry Lang & Annette Poulsen & Rene M. Stulz, 1994. "Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion," NBER Working Papers 4654, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Anne Gron & Deborah Lucas, 1995. "External Financing and Insurance Cycles," NBER Working Papers 5229, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. James Dow & Gary Gorton, 1995. "Stock Market Efficiency and Economic Efficiency: Is There a Connection?," NBER Working Papers 5233, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. A. Panno, 2003. "An empirical investigation on the determinants of capital structure: the UK and Italian experience," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 97-112, January. [Downloadable!] (restricted)
    6. DeAngelo, Harry & DeAngelo, Linda & Stulz, Rene, 2007. "Fundamentals, Market Timing, and Seasoned Equity Offerings," Working Paper Series 2007-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    7. Harry DeAngelo & Linda DeAngelo & René M. Stulz, 2007. "Fundamentals, Market Timing, and Seasoned Equity Offerings," NBER Working Papers 13285, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Anne Beatty & Anne Gron, 2001. "Capital, Portfolio, and Growth: Bank Behavior Under Risk-Based Capital Guidelines," Journal of Financial Services Research, Springer, vol. 20(1), pages 5-31, September. [Downloadable!] (restricted)
    9. Jun-Koo Kang & Rene M. Stulz, 1994. "How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues," NBER Working Papers 4908, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Anjan V. Thakor, 2004. "Information, Investment Horizon, and Price Reactions," Finance 0411029, EconWPA. [Downloadable!]
      Other versions:

  5. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.

    Cited by:

    1. Fabio Panetta, 2001. "The Stability of the Relation between the Stock Market and Macroeconomic Forces," Temi di discussione (Economic working papers) 393, Bank of Italy, Economic Research Department. [Downloadable!]
    2. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," European Journal of Finance, Taylor and Francis Journals, vol. 10(5), pages 391-411, October. [Downloadable!] (restricted)
    4. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    5. J. C. Matallín & A. Fernández-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1829-1837, November. [Downloadable!] (restricted)
    6. Karen L. Benson & Robert W. Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 631-644, June. [Downloadable!] (restricted)
    7. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    8. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
    9. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]

  6. Gregory Connor and Robert Korajczyk., 1987. "An Intertemporal Equilibrium Beta Pricing Model," Research Program in Finance Working Papers 176, University of California at Berkeley.

    Cited by:

    1. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank. [Downloadable!]
      Other versions:

  7. Gregory Connor and Robert Korajczyk., 1987. "Risk and Return in an Equilibrium APT," Research Program in Finance Working Papers 174, University of California at Berkeley.

    Cited by:

    1. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Moon, H.R. & Perron, B., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    4. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    6. Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Paul D. Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Working Papers 03-21, Bank of Canada. [Downloadable!]
    8. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  8. Gregory Connor and Robert A. Korajczyk., 1987. "Estimating Pervasive Economic Factors with Missing Observations," Research Program in Finance Working Papers 173, University of California at Berkeley.

    Cited by:

    1. Lubos Pastor & Robert F. Stambaugh, 1998. "Costs of Equity Capital and Model Mispricing," NBER Working Papers 6490, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Levine, Ross & Zervos, Sara, 1996. "Capital control liberalization and stock market development," Policy Research Working Paper Series 1622, The World Bank. [Downloadable!]
      Other versions:
    3. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," Working Paper 2002-23, Federal Reserve Bank of Atlanta. [Downloadable!]

Articles

  1. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January. [Downloadable!] (restricted)

    Cited by:

    1. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    2. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund. [Downloadable!]
    3. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    4. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2009. "Market Liquidity as Dynamic Factors," ECARES Working Papers 2009_004, Université Libre de Bruxelles, Ecares. [Downloadable!]
    5. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
    6. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2008. "The Risk Components of Liquidity," Discussion Papers 2008/7, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    7. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:

  2. Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver, 2006. "The common and specific components of dynamic volatility," Journal of Econometrics, Elsevier, vol. 132(1), pages 231-255, May. [Downloadable!] (restricted)

    Cited by:

    1. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    2. Md. Arifur Rahman, 2007. "The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 91-124, June. [Downloadable!]
    3. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    4. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York. [Downloadable!]
    5. Soosung Hwang & Steve E. Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 203-216, February. [Downloadable!] (restricted)
    6. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]

  3. Robert A. Korajczyk & Ronnie Sadka, 2004. "Are Momentum Profits Robust to Trading Costs?," Journal of Finance, American Finance Association, vol. 59(3), pages 1039-1082, 06. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Korajczyk, Robert A. & Levy, Amnon, 2003. "Capital structure choice: macroeconomic conditions and financial constraints," Journal of Financial Economics, Elsevier, vol. 68(1), pages 75-109, April. [Downloadable!] (restricted)

    Cited by:

    1. Allard Bruinshoofd & Leo de Haan, 2005. "Financing the New Economy: Are ICT Firms Really That Different?," DNB Working Papers 077, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Brandon Julio & Woojin Kim & Michael Weisbach, 2007. "What Determines the Structure of Corporate Debt Issues?," NBER Working Papers 13706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Elsas, Ralf & Florysiak, David, 2008. "Empirical Capital Structure Research: New Ideas, Recent Evidence, and Methodological Issues," Discussion Papers in Business Administration 4743, University of Munich, Munich School of Management. [Downloadable!]
    4. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer, vol. 29(3), pages 177-210, June. [Downloadable!] (restricted)
    5. Christopher F. Baum & Atreya Chakraborty & Boyan Liu, 2008. "The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage," Boston College Working Papers in Economics 688, Boston College Department of Economics. [Downloadable!]
    6. Ilya A. Strebulaev, 2004. "Do Tests of Capital Structure Theory Mean What They Say?," Econometric Society 2004 North American Summer Meetings 646, Econometric Society. [Downloadable!]
    7. Knill, April M., 2005. "Taking the bad with the good : volatility of foreign portfolio investment and financial constraints of small firms," Policy Research Working Paper Series 3797, The World Bank. [Downloadable!]
    8. Cole, Rebel, 2008. "What do we know about the capital structure of privately held firms? Evidence from the Surveys of Small Business Finance," MPRA Paper 8086, University Library of Munich, Germany. [Downloadable!]
    9. Otavio Ribeiro De Medeiros & Cecilio Elias Daher, 2004. "Testing Static Tradeoff against Pecking Order Models of Capital Structure in Brazilian Firms," Finance 0412019, EconWPA. [Downloadable!]
    10. Biais, Bruno & Mariotti, Thomas, 2008. "Credit, Wages and Bankruptcy Laws," IDEI Working Papers 289, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
      Other versions:
    11. Isil Erel & Brandon Julio & Woojin Kim & Michael Weisbach, 2009. "Market Conditions and the Structure of Securities," NBER Working Papers 14952, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
    13. Armando Gomes & Gordon Phillips, 2005. "Why Do Public Firms Issue Private and Public Securities?," NBER Working Papers 11294, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Covas, Francisco & Den Haan, Wouter, 2007. "The Role of Debt and Equity Finance over the Business Cycle," CEPR Discussion Papers 6145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    15. Gianni De Nicoló & Senay Agca & Enrica Detragiache, 2007. "Financial Reforms, Financial Openness, and Corporate Borrowing: International Evidence," IMF Working Papers 07/186, International Monetary Fund. [Downloadable!]
    16. C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang, 2008. "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios," Working Papers 042008, Hong Kong Institute for Monetary Research. [Downloadable!]
    17. Ricardo P. Câmara Leal & André L. Carvalhal da Silva, 2009. "Documentos IPEA/CEPAL Textos de Apoio - O Financiamento Externo no Ciclo Recente da Economia Brasileira," Discussion Papers 1384, Instituto de Pesquisa Econômica Aplicada - IPEA. [Downloadable!]
    18. Knill, April M., 2008. "Does foreign portfolio investment reach small listed firms ?," Policy Research Working Paper Series 3796, The World Bank. [Downloadable!]
    19. Ines Drumond & José Jorge, 2009. "Basel II Capital Requirements, Firms' Heterogeneity, and the Business Cycle," FEP Working Papers 307, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    20. Kenneth A. Carow & Edward J. Kane & Rajesh P. Narayanan, 2005. "Winners and Losers from Enacting the Financial Modernization Statute," NBER Working Papers 11256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Wolfgang Drobetz & Gabrielle Wanzenried, 2004. "What Determines the Speed of Adjustment to the Target Capital Structure?," Diskussionsschriften dp0415, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    22. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics. [Downloadable!]

  5. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, Oxford University Press, vol. 10(2), pages 267-89, May.
    Other versions:

    See citations under working paper version above.

  6. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July. [Downloadable!] (restricted)

    Cited by:

    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Doron Avramov, . "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    4. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
      Other versions:
    5. Marco Antonio Bonomo & Rene Garcia, 1997. "Tests of conditional asset pricing models in the Brazilian stock market," Textos para discussão 368, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    6. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    7. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
      Other versions:
    8. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    9. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
    10. Sean Campbell & Canlin Li, 2003. "Per Capita Consumption, Luxury Consumption and the Presidential Puzzle: A Partial Resolution," Working Papers 2003-18, Brown University, Department of Economics. [Downloadable!]
    11. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," Working Paper 2003-6, Federal Reserve Bank of Atlanta. [Downloadable!]
    13. Ferruz Agudo, Luis & Vargas Magallón, María & Nievas López, J., 2008. "¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 257-278, Septiembr. [Downloadable!] (restricted)
    14. Leonid Kogan & Raman Uppal, . "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    15. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]
    16. M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009. "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 285-313, September. [Downloadable!] (restricted)
    17. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO. [Downloadable!]
      Other versions:
    18. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    20. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    21. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2). [Downloadable!]
    22. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
      Other versions:
    23. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The performance of international portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    24. Luis Ferruz Agudo & María Vargas Magallón & José L. Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 803-817, July. [Downloadable!] (restricted)
    25. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS. [Downloadable!]
    26. M. Victoria Esteban, 1997. "Variabilidad predecible en los rendimientos de los activos: Evidencia e implicaciones," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 523-542, September. [Downloadable!]
    27. Philip A. Shively, 2004. "Time-varying risk components in the single-factor market model: an exact most powerful invariant test," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 945-952, September. [Downloadable!] (restricted)
    28. Vaihekoski, Mika, 1998. "Short-term returns and the predictability of Finnish stock returns," MPRA Paper 13984, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    29. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17. [Downloadable!]
    30. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Korean International Economic Association, vol. 19(4), pages 523-541, December. [Downloadable!] (restricted)
    31. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    32. J. L. Ford, Wee Ching Pok and S. Poshakwale, 2006. "The Predictability of KLSE CI Stock Index Futures Returns and The Conditional Multifactor APT Model," Discussion Papers 06-09, Department of Economics, University of Birmingham. [Downloadable!]
    33. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    34. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research. [Downloadable!]
    35. Ellouz, Siwar & Bellalah, Mondher, 2007. "Asset pricing and predictability of stock returns in the french market," MPRA Paper 4961, University Library of Munich, Germany, revised 24 Sep 2007. [Downloadable!]
    36. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    37. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    38. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    39. Martin Scheicher, 2000. "Time-varying risk in the German stock market," European Journal of Finance, Taylor and Francis Journals, vol. 6(1), pages 70-91, March. [Downloadable!] (restricted)
    40. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile 333, Central Bank of Chile. [Downloadable!]
    41. Chunsheng Zhou, 1996. "Forecasting long- and short-horizon stock returns in a unified framework," Finance and Economics Discussion Series 96-4, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    42. Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  7. Connor, Gregory & Korajczyk, Robert A, 1993. " A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-91, September. [Downloadable!] (restricted)

    Cited by:

    1. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics. [Downloadable!]
      Other versions:
    2. Perez, Marcos & Ahn, Seung Chan, 2007. "GMM Estimation of the Number of Latent Factors," MPRA Paper 4862, University Library of Munich, Germany. [Downloadable!]
    3. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    5. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Moon, H.R. & Perron, B., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    7. Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    8. Tony Lancaster, 2006. "A note on bootstraps and robustness," CeMMAP working papers CWP04/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    9. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," CREATES Research Papers 2009-39, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    10. Elena Angelini & Jerome Henry & Massimiliano Marcellino, 2003. "Interpolation and backdating with a large information set," Working Paper Series 252, European Central Bank. [Downloadable!]
      Other versions:
    11. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    12. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292. [Downloadable!]
    13. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO. [Downloadable!]
    14. Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003. "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers 9642, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    16. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia. [Downloadable!]
    17. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    18. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    20. Peter Bossaerts & Pierre Hillion, 1995. "Testing the Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections," Annales d'Economie et de Statistique, ADRES, issue 40, pages 07, Octobre-D. [Downloadable!]
    21. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, . "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    22. Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series /2004/474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    23. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]
    24. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping Up with the Joneses: An International Asset Pricing Model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    25. Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series /2006/506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    26. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Quantitative Finance Papers physics/0608284, arXiv.org. [Downloadable!]
    27. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics. [Downloadable!]
    28. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank. [Downloadable!]
      Other versions:
    29. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    30. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    31. Issler, João Victor & Lima, Luiz Renato Regis de Oliveira, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 642, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    32. Bettina Becker & Stephen G. Hall, 2009. "A new look at economic convergence in Europe: a common factor approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 85-97. [Downloadable!]
      Other versions:

  8. Korajczyk, Robert A. & Lucas, Deborah J. & McDonald, Robert L., 1992. "Equity Issues with Time-Varying Asymmetric Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 397-417, September. [Downloadable!]

    Cited by:

    1. Skrzypacz, Andrzej & Kremer, Ilan, 2005. "Ratings, Certifications and Grades: Dynamic Signaling and Market Breakdown," Research Papers 1814r2, Stanford University, Graduate School of Business. [Downloadable!]
      Other versions:
    2. Tijs de Bie & Leo de Haan, 2004. "Does market timing drive capital structures? A panel data study for Dutch firms," DNB Working Papers 016, Netherlands Central Bank, Research Department. [Downloadable!]
    3. Allard Bruinshoofd & Leo de Haan, 2007. "Market timing and corporate capital structure - A transatlantic comparison," DNB Working Papers 144, Netherlands Central Bank, Research Department. [Downloadable!]
    4. Mody, Ashoka & Taylor, Mark P, 2003. "International Capital Crunches: The Time-Varying Role of Informational Asymmetries," CEPR Discussion Papers 3757, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. John Becker-Blease & Afshad Irani, 2008. "Do corporate governance attributes affect adverse selection costs? Evidence from seasoned equity offerings," Review of Quantitative Finance and Accounting, Springer, vol. 30(3), pages 281-296, April. [Downloadable!] (restricted)
    6. Anton Miglo, 2006. "Debt-equity choice as a signal of earnings profile over time," Working Papers 0607, University of Guelph, Department of Economics. [Downloadable!]
      Other versions:

  9. Korajczyk, Robert A. & Viallet, Claude J., 1992. "Equity risk premia and the pricing of foreign exchange risk," Journal of International Economics, Elsevier, vol. 33(3-4), pages 199-219, November. [Downloadable!] (restricted)

    Cited by:

    1. Bill Francis & Iftekhar Hasan & Delroy Hunter, 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Working Paper 2002-16, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    2. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Wayne E. Ferson & Campbell R. Harvey, 1993. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Working Papers 4595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. THOMAS C. CHIANG & JOSÉ A. TRINIDAD, 1997. "Risk And International Parity Conditions: A Synthesis From Consumption-Based Models," International Economic Journal, Korean International Economic Association, vol. 11(2), pages 73-101, June. [Downloadable!] (restricted)
    5. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Eli Bartov & Gordon M. Bodnar & Aditya Kaul, 1995. "Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System," NBER Working Papers 5323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  10. Korajczyk, Robert A & Lucas, Deborah J & McDonald, Robert L, 1991. "The Effect of Information Releases on the Pricing and Timing of Equity Issues," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(4), pages 685-708. [Downloadable!] (restricted)

    Cited by:

    1. Kooyul Jung & Yong-Cheol Kim & Rene M. Stulz, 1994. "Investment Opportunities, Managerial Decisions, and the Security Issue Decision," NBER Working Papers 4907, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Robert A. Korajczyk & Deborah J. Lucas & Robert L. McDonald, 1989. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Working Papers 3170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Arnoud W.A. Boot & Anjan V. Thakor, 2003. "Disagreement and Flexibility: A Theory of Optimal Security Issuance and Capital Structure," Tinbergen Institute Discussion Papers 03-001/2, Tinbergen Institute. [Downloadable!]
      Other versions:
    4. Tijs Bie & Leo Haan, 2007. "Market Timing and Capital Structure: Evidence for Dutch Firms," De Economist, Springer, vol. 155(2), pages 183-206, June. [Downloadable!] (restricted)
    5. Jean Helwege & Nellie Liang, 2003. "Initial public offerings in hot and cold markets," Finance and Economics Discussion Series 2003-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    6. Christopher Polk & Paola Sapienza, 2004. "The Real Effects of Investor Sentiment," NBER Working Papers 10563, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, EconWPA. [Downloadable!]
    8. A. Panno, 2003. "An empirical investigation on the determinants of capital structure: the UK and Italian experience," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 97-112, January. [Downloadable!] (restricted)
    9. Skrzypacz, Andrzej & Kremer, Ilan, 2005. "Ratings, Certifications and Grades: Dynamic Signaling and Market Breakdown," Research Papers 1814r2, Stanford University, Graduate School of Business. [Downloadable!]
      Other versions:
    10. Wang, Jun & Zhang, Ge, 2003. "Heterogeneous beliefs and employee stock options," Working Papers 2003-14, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    11. Armando Gomes & Gordon Phillips, 2005. "Why Do Public Firms Issue Private and Public Securities?," NBER Working Papers 11294, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Tijs de Bie & Leo de Haan, 2004. "Does market timing drive capital structures? A panel data study for Dutch firms," DNB Working Papers 016, Netherlands Central Bank, Research Department. [Downloadable!]
    13. John Becker-Blease & Afshad Irani, 2008. "Do corporate governance attributes affect adverse selection costs? Evidence from seasoned equity offerings," Review of Quantitative Finance and Accounting, Springer, vol. 30(3), pages 281-296, April. [Downloadable!] (restricted)
    14. Javier Suarez & Andres Almazan & Sheridan Titman, 2004. "Stakeholders, Transparency And Capital Structure," Working Papers wp2004_0401, CEMFI. [Downloadable!]
      Other versions:
    15. Zhang, Ge, 2004. "Market valuation and employee stock options," Working Papers 2003-13, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    16. Itay Goldstein & Assaf Razin, 2005. "An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment," NBER Working Papers 11757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Ljungqvist, Alexander P & Nanda, Vikram & Singh, Rajdeep, 2001. "Hot Markets, Investor Sentiment and IPO Pricing," CEPR Discussion Papers 3053, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    18. Raghuram G. Rajan & Luigi Zingales, 1994. "What Do We Know About Capital Structure? Some Evidence from International Data," NBER Working Papers 4875, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002. "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms," NBER Working Papers 8750, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  11. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September. [Downloadable!] (restricted)

    Cited by:

    1. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper 08-07, Federal Reserve Bank of Richmond. [Downloadable!]
      Other versions:
    2. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Annette Nguyen & Robert Faff & Philip Gharghori, 2009. "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 141-158, August. [Downloadable!] (restricted)
    4. Perez, Marcos & Ahn, Seung Chan, 2007. "GMM Estimation of the Number of Latent Factors," MPRA Paper 4862, University Library of Munich, Germany. [Downloadable!]
    5. Miklos Koren & Silvana Tenreyro, 2005. "Volatility and Development," CEP Discussion Papers dp0706, Centre for Economic Performance, LSE. [Downloadable!]
      Other versions:
    6. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    7. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September. [Downloadable!]
    8. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    9. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    10. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
    12. Michael Brennan, 1993. "Agency and Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1147, Anderson Graduate School of Management, UCLA. [Downloadable!]
    13. Francis X. Diebold & Lei Ji & Canlin Li, 2006. "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," PIER Working Paper Archive 06-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    14. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO. [Downloadable!]
    15. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    16. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia. [Downloadable!]
    17. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society. [Downloadable!]
    18. A.H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department. [Downloadable!]
    19. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    20. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," ECARES Working Papers 2008_036, Université Libre de Bruxelles, Ecares. [Downloadable!]
      Other versions:
    21. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    22. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    24. Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
      Other versions:
    25. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]
    26. John Ammer, 1993. "Macroeconomic risk and asset pricing: estimating the apt with observable factors," International Finance Discussion Papers 448, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    28. Bryan Campbell & Steve Murphy, 2006. "The Recent Performance of the Canadian Forecasting Industry," Canadian Public Policy, University of Toronto Press, vol. 32(1), pages 23-40, March. [Downloadable!] (restricted)
    29. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2). [Downloadable!]
    31. Pierre-Olivier Weill, 2004. "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 648, Econometric Society. [Downloadable!]
      Other versions:
    32. Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series /2006/506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    33. Bruce N. Lehmann, 1992. "Notes on Dynamic Factor Pricing Models," NBER Working Papers 3677, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    34. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. John Ammer & Jianping Mei, 1993. "Measuring international economic linkages with stock market data," International Finance Discussion Papers 449, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    36. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004. [Downloadable!]
    37. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    38. Andrew W. Lo & A. Craig MacKinlay, 1991. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    39. Bruce N. Lehmann & David M. Modest, 2003. "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers 9461, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    41. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
    42. Miklos Koren & Silvana Tenreyro, 2003. "Diversification and development," Working Papers 03-3, Federal Reserve Bank of Boston. [Downloadable!]
    43. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 177-189, January. [Downloadable!] (restricted)
    44. John Ammer & Jon Wongswan, 2004. "Cash flows and discount rates, industry and country effects, and co-movement in stock returns," International Finance Discussion Papers 818, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    45. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  12. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April. [Downloadable!] (restricted)

    Cited by:

    1. J. C. Matallin-Saez, 2003. "Asymmetric relation in omitted benchmarks and market timing in mutual funds," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 775-778, October. [Downloadable!] (restricted)
    2. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," European Journal of Finance, Taylor and Francis Journals, vol. 10(5), pages 391-411, October. [Downloadable!] (restricted)
    4. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    6. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Alessio Sancetta & Stephen Satchell, 2005. "New test statistics for market timing with applications to emerging markets hedge funds," European Journal of Finance, Taylor and Francis Journals, vol. 11(5), pages 419-443, October. [Downloadable!] (restricted)
    8. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. J. C. Matallín & A. Fernández-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1829-1837, November. [Downloadable!] (restricted)
    10. Karen L. Benson & Robert W. Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 631-644, June. [Downloadable!] (restricted)
    11. Andrea Beltratti & Claudio Morana, 2006. "Net Inflows and Time-Varying Alphas: The Case of Hedge Funds," ICER Working Papers 30-2006, ICER - International Centre for Economic Research. [Downloadable!]
    12. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 97-130, May. [Downloadable!]
    13. Arik Ben Dor & Ravi Jagannathan, 2002. "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers 9111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. A. Sancetta & Satchell, S.E., 2002. "New Test Statistics for Market Timing with Application to Emerging markets," Cambridge Working Papers in Economics 0222, Faculty of Economics, University of Cambridge. [Downloadable!]
    15. Michael E. Drew & Madhu Veeraraghavan & Vanessa Wilson, 2002. "Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds," School of Economics and Finance Discussion Papers and Working Papers Series 105, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    16. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Gina Nicolosi & Liang Peng, 2004. "Do individual investors learn from their trading experience," Econometric Society 2004 North American Summer Meetings 532, Econometric Society. [Downloadable!]
    19. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]
    20. Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer, vol. 13(2), pages 137-152, April. [Downloadable!] (restricted)
    21. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  13. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March. [Downloadable!] (restricted)

    Cited by:

    1. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics. [Downloadable!]
      Other versions:
    2. Miklos Koren & Silvana Tenreyro, 2005. "Volatility and Development," CEP Discussion Papers dp0706, Centre for Economic Performance, LSE. [Downloadable!]
      Other versions:
    3. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    4. Doron Avramov, . "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    5. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    7. George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    8. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka. [Downloadable!]
    9. Kapetanios, G. & Pesaran, M.H., 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," Cambridge Working Papers in Economics 0520, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    10. Lubos Pastor & Robert F. Stambaugh, 1998. "Costs of Equity Capital and Model Mispricing," NBER Working Papers 6490, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
    12. A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Bradford Cornell & Simon Cheng, 1995. "Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns," University of California at Los Angeles, Anderson Graduate School of Management 1139, Anderson Graduate School of Management, UCLA. [Downloadable!]
    14. Dorofeev Evgeny, 2000. "Economic Factors Influence on the Russian Capital Market Behavior," EERC Working Paper Series 2k-03e, EERC Research Network, Russia and CIS. [Downloadable!]
    15. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    16. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    17. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer, vol. 21(3), pages 195-218, June. [Downloadable!] (restricted)
    18. Chris Heaton & Victor Solo, 2006. "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers 0605, Macquarie University, Department of Economics. [Downloadable!]
    19. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society. [Downloadable!]
    20. Leonid Kogan & Raman Uppal, . "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    21. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]
    22. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    23. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    24. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    25. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    26. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Levine, Ross & Zervos, Sara, 1996. "Capital control liberalization and stock market development," Policy Research Working Paper Series 1622, The World Bank. [Downloadable!]
      Other versions:
    28. Gemmill, Gordon T & Hwang, Soosung & Salmon, Mark, 2005. "Performance Measurement with Loss Aversion," CEPR Discussion Papers 5173, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    29. Patrick Coggi & Bogdan Manescu, 2004. "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004 2004-01, Department of Economics, University of St. Gallen. [Downloadable!]
    30. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1991. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    31. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Papers in Applied Economic Theory 2001-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    32. Chris Heaton & Victor Solo, 2002. "Identification and Estimation of Causal Factor Models of Stationary Time Series," Research Papers 0201, Macquarie University, Department of Economics. [Downloadable!]
    33. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," Working Paper 2002-23, Federal Reserve Bank of Atlanta. [Downloadable!]
    34. Bruce N. Lehmann & David M. Modest, 2003. "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers 9461, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    36. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81. [Downloadable!]
    37. Marco Del Negro & Robin Brooks, 2005. "A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns," IMF Working Papers 05/52, International Monetary Fund. [Downloadable!]
    38. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
    39. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
    40. Miklos Koren & Silvana Tenreyro, 2003. "Diversification and development," Working Papers 03-3, Federal Reserve Bank of Boston. [Downloadable!]
    41. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 177-189, January. [Downloadable!] (restricted)
    42. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank. [Downloadable!]
      Other versions:
    43. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]
    44. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

  14. Korajczyk, Robert A, 1985. "The Pricing of Forward Contracts for Foreign Exchange," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 346-68, April. [Downloadable!] (restricted)

    Cited by:

    1. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
      Other versions:
    2. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 461-475, September. [Downloadable!] (restricted)
    3. Ross Levine, 1986. "An international arbitrage pricing model with PPP deviations," International Finance Discussion Papers 294, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    4. Bhagwan Chowdhry & Sheridan Titman, 1993. "Why Real Interest Rates, Cost of Capital and Price/Earnings Ratios Vary Across Countries," University of California at Los Angeles, Anderson Graduate School of Management 1157, Anderson Graduate School of Management, UCLA. [Downloadable!]
      Other versions:
    5. THOMAS C. CHIANG & JOSÉ A. TRINIDAD, 1997. "Risk And International Parity Conditions: A Synthesis From Consumption-Based Models," International Economic Journal, Korean International Economic Association, vol. 11(2), pages 73-101, June. [Downloadable!] (restricted)
    6. Giorgio Santis & Bruno Gerard & Pierre Hillion, 1999. "The Relevance of Current Risk in the EMU," University of California at Los Angeles, Anderson Graduate School of Management 1094, Anderson Graduate School of Management, UCLA. [Downloadable!]
    7. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    8. Thomas Chiang & Sheng-Yung Yang, 2005. "International Asset Excess Returns and Multivariate Conditional Volatilities," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 295-312, May. [Downloadable!] (restricted)
    9. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA. [Downloadable!]
    11. Fabio Canova & Takatoshi Ito, 1991. "On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market," NBER Working Papers 2678, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA. [Downloadable!]
    13. Cristino R. Arroyo, 1994. "On The Robustness Of Forward Market Efficiency In Consumption-Based Models Of Exchange Rates," International Economic Journal, Korean International Economic Association, vol. 8(2), pages 95-114, June. [Downloadable!] (restricted)
    14. Ross Levine, 1987. "The pricing of forward exchange rates," International Finance Discussion Papers 312, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

Chapters

  1. Robert A. Korajczyk & Deborah Lucas & Robert L. McDonald, 1990. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 257-278 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

    See citations under working paper version above.Sorry, no citations of chapters recorded.

Did you know? You can create your own reading lists on IDEAS.

This page was last updated on 2009-12-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.