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Robert Korajczyk

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Personal Details

First Name: Robert
Middle Name:
Last Name: Korajczyk
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RePEc Short-ID: pko2

Email:
Homepage: http://www.kellogg.northwestern.edu/Faculty/Directory/Korajczyk_Robert.aspx
Postal Address: Finance Department Kellogg School of Management Northwestern University 2001 Sheridan Road Evanston, IL 60208-2001 USA
Phone: 847-491-8336

Affiliation

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Quantitative Finance Papers 1005.3535, arXiv.org.
  2. Robert A. Korajczyk & Ronnie Sadka, 2003. "Are Momentum Profits Robust to Trading Costs?," Finance 0308004, EconWPA.
  3. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
  4. 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.
  5. 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.
  6. 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.
  7. Gregory Connor and Robert Korajczyk., 1987. "An Intertemporal Equilibrium Beta Pricing Model," Research Program in Finance Working Papers 176, University of California at Berkeley.
  8. 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.
  9. 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.

Articles

  1. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
  7. John Heaton & Robert Korajczyk, 2002. "Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(2), pages 353-362, March.
  8. 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.
  9. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April.
  16. 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.
  17. 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.

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.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-MST: Market Microstructure (1) 2010-05-29 Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Weighted by Simple Impact Factor
  3. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Recursive Impact Factor
  5. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Number of Authors
  7. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  9. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  11. h-index
  12. Number of Journal Pages, Weighted by Simple Impact Factor
  13. Number of Journal Pages, Weighted by Recursive Impact Factor
  14. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  16. Wu-Index

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