Robert Korajczyk
Personal Details
First Name: | Robert |
Middle Name: | |
Last Name: | Korajczyk |
Suffix: | |
RePEc Short-ID: | pko2 |
| |
http://www.kellogg.northwestern.edu/Faculty/Directory/Korajczyk_Robert.aspx | |
Finance Department Kellogg School of Management Northwestern University 2211 Sheridan Road Evanston, IL 60208-1898 USA | |
847-491-8336 | |
Terminal Degree: | 1983 Booth School of Business; University of Chicago (from RePEc Genealogy) |
Affiliation
Department of Finance
Kellogg Graduate School of Management
Northwestern University
Evanston, Illinois (United States)http://www.kellogg.northwestern.edu/departments/finance.aspx
RePEc:edi:dfnwuus (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gregory Connor & Zhuo Chen & Robert A. Korajczyk, 2014.
"A Performance Comparison of Large-n Factor Estimators,"
Economics Department Working Paper Series
n255-14.pdf, Department of Economics, National University of Ireland - Maynooth.
- Zhuo Chen & Gregory Connor & Robert A Korajczyk, 2018. "A Performance Comparison of Large-n Factor Estimators," Review of Asset Pricing Studies, Oxford University Press, vol. 8(1), pages 153-182.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010.
"Intraday Patterns in the Cross-section of Stock Returns,"
Papers
1005.3535, arXiv.org.
- 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, August.
- Robert A. Korajczyk & Ronnie Sadka, 2003. "Are Momentum Profits Robust to Trading Costs?," Finance 0308004, University Library of Munich, Germany.
- Korajczyk, Robert A., 1995.
"A measure of stock market integration for developed and emerging markets,"
Policy Research Working Paper Series
1482, The World Bank.
- Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-289, May.
- 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.
- 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.
- 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.
- Robert A. Korajczyk & Deborah Lucas & Robert McDonald, 1988. "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.
- Gregory Connor and Robert Korajczyk., 1987. "An Intertemporal Equilibrium Beta Pricing Model," Research Program in Finance Working Papers 176, University of California at Berkeley.
- 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.
- 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.
Articles
- Soohun Kim & Robert A Korajczyk & Andreas Neuhierl & Wei JiangEditor, 2021. "Arbitrage Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2813-2856.
- Robert A Korajczyk & Dermot Murphy, 2019. "High-Frequency Market Making to Large Institutional Trades," Review of Financial Studies, Society for Financial Studies, vol. 32(3), pages 1034-1067.
- Zhuo Chen & Gregory Connor & Robert A Korajczyk, 2018.
"A Performance Comparison of Large-n Factor Estimators,"
Review of Asset Pricing Studies, Oxford University Press, vol. 8(1), pages 153-182.
- Gregory Connor & Zhuo Chen & Robert A. Korajczyk, 2014. "A Performance Comparison of Large-n Factor Estimators," Economics Department Working Paper Series n255-14.pdf, Department of Economics, National University of Ireland - Maynooth.
- Kamara, Avraham & Korajczyk, Robert A. & Lou, Xiaoxia & Sadka, Ronnie, 2016. "Horizon Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(6), pages 1769-1793, December.
- Connor, Gregory & Korajczyk, Robert A. & Uhlaner, Robert T., 2015. "A Synthesis of Two Factor Estimation Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(4), pages 825-842, August.
- Robert Korajczyk, 2014. "Market Liquidity: Asset Pricing, Risk, and Crises," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 211-212, February.
- 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, August.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
- 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.
- 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.
- 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.
- William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
- John Heaton & Robert Korajczyk, 2002. "Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 353-362, March.
- Korajczyk, Robert A, 1996.
"A Measure of Stock Market Integration for Developed and Emerging Markets,"
World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-289, May.
- Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
- 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 309-349, July.
- 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 1263-1291, September.
- 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(3), pages 397-417, September.
- 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.
- 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, Society for Financial Studies, vol. 4(4), pages 685-708.
- 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.
- 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 217-235, April.
- 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.
- Korajczyk, Robert A, 1985. "The Pricing of Forward Contracts for Foreign Exchange," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 346-368, April.
Chapters
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Introduction," Introductory Chapters, in: Portfolio Risk Analysis, Princeton University Press.
- 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.
- 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.
Books
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (1) 2014-12-13
- NEP-MST: Market Microstructure (1) 2010-05-29
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