Leonid Kogan

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Professor of Finance

100 Main Street

E62-636

Cambridge, MA 02142

United States

http://web.mit.edu/lkogan2/www/

National Bureau of Economic Research (NBER)

Faculty Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Massachusetts Institute of Technology (MIT) - Sloan School of Management

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    • Tel: 617-253-2289
    • Fax: 617-258-6855
SCHOLARLY PAPERS

26

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CITATIONS
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815

Scholarly Papers (26)

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1.

Technological Innovation, Resource Allocation and Growth

Downloads 4,585 ( 1,731)
Citation 112

Technological Innovation, Resource Allocation and Growth

Quarterly Journal of Economics, Forthcoming
Number of pages: 78 Posted: 22 Dec 2012 Last Revised: 02 Mar 2018
Leonid Kogan, Dimitris Papanikolaou, Amit Seru and Noah Stoffman
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and Indiana University - Kelley School of Business - Department of Finance
Downloads 4,000 (2,165)
Citation 14

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Innovation, patents, growth, reallocation

Technological Innovation, Resource Allocation, and Growth

NBER Working Paper No. w17769
Number of pages: 46 Posted: 21 Jan 2012 Last Revised: 28 Oct 2014
Leonid Kogan, Dimitris Papanikolaou, Amit Seru and Noah Stoffman
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and Indiana University - Kelley School of Business - Department of Finance
Downloads 585 (44,518)
Citation 15

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2.

When is Time Continuous?

MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Number of pages: 51 Posted: 02 Sep 1998
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,832 (8,313)
Citation 5

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3.

The Price Impact and Survival of Irrational Traders

Downloads 1,773 ( 8,688)
Citation 95

The Price Impact and Survival of Irrational Traders

MIT Sloan Working Paper No. 4293-03, AFA 2004 San Diego Meetings, 14th Conference on Financial Economics & Acctg. (FEA), 5th Ann. Texas Finance Festival
Number of pages: 42 Posted: 20 Jan 2004
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 1,703 (9,208)

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Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices

The Price Impact and Survival of Irrational Traders

NBER Working Paper No. w9434
Number of pages: 50 Posted: 10 Jan 2003 Last Revised: 20 Aug 2009
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 70 (331,448)
Citation 7

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The Price Impact and Survival of Irrational Traders

Journal of Finance, February 2006
Posted: 12 Sep 2005
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington

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Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices

4.

Pricing American Options: A Duality Approach

Downloads 1,407 ( 12,776)

Pricing American Options: A Duality Approach

Mit Sloan Working Paper No. 4340-01
Number of pages: 40 Posted: 05 Feb 2002
Martin Brendan Haugh and Leonid Kogan
Imperial College Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,407 (12,523)
Citation 10

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Asset pricing, dynamic programming, simulation, American option, optimal stopping, duality

Pricing American Options: A Duality Approach

Operations Research, Forthcoming
Posted: 11 Mar 2003
Leonid Kogan and Martin Brendan Haugh
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Imperial College Business School

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5.

Market Selection

Downloads 950 ( 23,162)
Citation 10

Market Selection

AFA 2009 San Francisco Meetings Paper
Number of pages: 54 Posted: 25 Mar 2008 Last Revised: 16 Nov 2016
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 797 (29,238)
Citation 2

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Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium

Market Selection

NBER Working Paper No. w15189
Number of pages: 41 Posted: 04 Aug 2009 Last Revised: 05 Jul 2010
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 80 (306,460)

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Market Selection

Journal of Economic Theory, Forthcoming
Number of pages: 54 Posted: 15 Nov 2016
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 73 (323,584)

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Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium

6.

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Downloads 806 ( 29,240)
Citation 5

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

EFA 0278
Number of pages: 63 Posted: 24 Aug 2000
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 707 (34,489)
Citation 5

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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

NBER Working Paper No. w8609
Number of pages: 36 Posted: 17 Nov 2001 Last Revised: 25 Oct 2010
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 73 (323,584)

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Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

CEPR Discussion Paper No. 3306
Number of pages: 39 Posted: 16 May 2002
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 26 (499,667)
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

7.

Measuring the 'Dark Matter' in Asset Pricing Models

Number of pages: 133 Posted: 19 Sep 2013 Last Revised: 09 Mar 2016
Hui Chen, Winston Dou and Leonid Kogan
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 766 (31,417)
Citation 19

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Cross-equation restriction; Information theory; Limited information likelihood; Model fragility and complexity; Robustness; Disaster risk; Long-run risk

8.

Equilibrium Cross-Section of Returns

Downloads 752 ( 32,204)
Citation 183

Equilibrium Cross-Section of Returns

U of Pennsylvania, Wharton School Working Paper, Journal of Political Economy, Vol. 111, No. 4, 2003
Number of pages: 71 Posted: 13 Apr 2001 Last Revised: 16 Sep 2009
Joao F. Gomes, Leonid Kogan and Lu Zhang, 张橹
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 710 (34,283)
Citation 7

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General equilibrium, the cross-section of returns, beta, size, book-to-market ratio, firm heterogeneity, business

Equilibrium Cross-Section of Returns

CEPR Discussion Paper No. 3482
Number of pages: 61 Posted: 14 Sep 2002
Joao F. Gomes, Leonid Kogan and Lu Zhang, 张橹
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 42 (423,056)
Citation 10
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Production based asset pricing, beta, size and book-to-market factors, CAPM, business cycle properties of stock returns

Equilibrium Cross-Section of Returns

MIT Sloan Working Paper No. 4265-02
Posted: 22 Oct 2002
Leonid Kogan, Joao F. Gomes and Lu Zhang, 张橹
Massachusetts Institute of Technology (MIT) - Sloan School of Management, The Wharton School and Ohio State University - Fisher College of Business

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Asset Pricing, Stock Returns, Book-to-market, Size, Equilibrium, Cross-section, Production, Investment, Business Cycle, Aggregation, Heterogeneity

9.

Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs

Downloads 742 ( 32,779)
Citation 34

Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 19 Mar 2009 Last Revised: 08 Jul 2011
Mozaffar Khan, Leonid Kogan and George Serafeim
Causeway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 532 (50,286)
Citation 6

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SEO, Market Timing, Price Impact, Trading Pressure, Mutual Fund

Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs

Journal of Finance, 67, no. 4: 1371–1395
Number of pages: 47 Posted: 08 Jul 2011 Last Revised: 19 Jul 2013
Mozaffar Khan, Leonid Kogan and George Serafeim
Causeway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 210 (143,979)

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SEO, Market Timing, Price Impact, Trading Pressure, Mutual Fund

10.

Durability of Output and Expected Stock Returns

Downloads 713 ( 34,598)
Citation 48

Durability of Output and Expected Stock Returns

Journal of Political Economy, Vol. 117, No. 5, 2009, AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 01 Nov 2009
Joao F. Gomes, Leonid Kogan and Motohiro Yogo
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 653 (38,346)

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Cash flow, Durable goods, Factor-mimicking portfolio, Input-output accounts, Stock returns

Durability of Output and Expected Stock Returns

NBER Working Paper No. w12986
Number of pages: 65 Posted: 23 Mar 2007 Last Revised: 27 Jun 2010
Joao F. Gomes, Leonid Kogan and Motohiro Yogo
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 60 (359,782)
Citation 3

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11.

Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

Downloads 638 ( 40,183)
Citation 148

Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

EFA 2001 Barcelona Meetings; The Wharton School, Rodney L. White Center Working Paper No. 014-00
Number of pages: 47 Posted: 08 Nov 2000
Leonid Kogan and Yeung Lewis Chan
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 590 (43,993)

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Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

NBER Working Paper No. w8607
Number of pages: 38 Posted: 17 Nov 2001 Last Revised: 25 Oct 2010
Yeung Lewis Chan and Leonid Kogan
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 48 (400,202)
Citation 12

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Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

Journal of Political Economy, No. 110, December 2002
Posted: 05 Dec 2002
Yeung Lewis Chan and Leonid Kogan
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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12.

Firm Characteristics and Empirical Factor Models: A Model-Mining Experiment

FRB International Finance Discussion Paper
Number of pages: 58 Posted: 29 Nov 2012 Last Revised: 22 Jun 2017
Leonid Kogan and Mary H. Tian
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve System
Downloads 603 (43,356)
Citation 8

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Anomalies, Factor Models, Data-mining, Firm Characteristic

13.

Cross-Firm Return Predictability and Accounting Quality

Number of pages: 47 Posted: 28 Sep 2015 Last Revised: 03 Feb 2016
Wen Chen, Mozaffar Khan, Leonid Kogan and George Serafeim
City University of Hong Kong (CityUHK), Causeway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 549 (48,934)

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Return predictability, Accounting quality, Information frictions

14.

Winners and Losers: Creative Destruction and the Stock Market

Downloads 549 ( 48,934)
Citation 8

Winners and Losers: Creative Destruction and the Stock Market

Number of pages: 71 Posted: 23 Dec 2012 Last Revised: 12 Oct 2017
Leonid Kogan, Dimitris Papanikolaou and Noah Stoffman
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 530 (50,548)
Citation 8

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general equilibrium, asset pricing, innovation, risk sharing, technology shocks

Winners and Losers: Creative Destruction and the Stock Market

NBER Working Paper No. w18671
Number of pages: 72 Posted: 05 Jan 2013
Leonid Kogan, Dimitris Papanikolaou and Noah Stoffman
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 19 (543,765)

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15.

Evaluating Portfolio Policies: A Duality Approach

Downloads 463 ( 60,670)
Citation 7

Evaluating Portfolio Policies: A Duality Approach

MIT Sloan Working Paper No. 4329-03
Number of pages: 26 Posted: 22 Jul 2003
Martin Brendan Haugh, Leonid Kogan and Jiang Wang
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 413 (69,015)
Citation 4

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Portfolio Choice, Duality, Dynamic Programming, Constraints, Monte Carlo, Simulation

Evaluating Portfolio Policies: A Duality Approach

NBER Working Paper No. w9861
Number of pages: 26 Posted: 20 Jul 2003 Last Revised: 24 Sep 2009
Martin Brendan Haugh, Leonid Kogan and Jiang Wang
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 50 (392,948)

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16.

Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

Downloads 366 ( 80,273)
Citation 14

Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

Number of pages: 66 Posted: 10 Apr 2012 Last Revised: 09 Nov 2018
Leonid Kogan and Dimitris Papanikolaou
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 345 (85,282)
Citation 3

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stock returns, investment, firm characteristics, predictability, value premium

A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

NBER Working Paper No. w17975
Number of pages: 69 Posted: 06 Apr 2012
Leonid Kogan and Dimitris Papanikolaou
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 21 (530,877)

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17.

Non-Redundant Derivatives in a Dynamic General Equilibrium Economy

London Business School Working Paper; EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 53 Posted: 20 Mar 2002
Harjoat Singh Bhamra, Leonid Kogan and Raman Uppal
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 345 (85,906)

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Asset pricing, derivative valuation, portfolio choice, incomplete markets

18.

Growth Opportunities, Technology Shocks and Asset Prices

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 14 Mar 2009 Last Revised: 20 Mar 2013
Leonid Kogan and Dimitris Papanikolaou
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 338 (87,906)
Citation 2

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19.

Futures Prices in a Production Economy with Investment Constraints

Downloads 309 ( 97,091)
Citation 28

Futures Prices in a Production Economy with Investment Constraints

Number of pages: 37 Posted: 17 Feb 2004
Leonid Kogan, Dmitry Livdan and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and University of Pennsylvania -- Wharton School of Business
Downloads 245 (123,573)

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Futures, investment contraints, production economy, SMM

Futures Prices in a Production Economy with Investment Constraints

NBER Working Paper No. w11509
Number of pages: 48 Posted: 13 Sep 2005 Last Revised: 20 Aug 2009
Leonid Kogan, Dmitry Livdan and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and University of Pennsylvania -- Wharton School of Business
Downloads 64 (348,005)
Citation 2

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20.

The Demographics of Innovation and Asset Returns

Downloads 277 (109,227)

The Demographics of Innovation and Asset Returns

MFI Working Paper No. 2009-08
Number of pages: 52 Posted: 08 Jan 2010 Last Revised: 20 Dec 2013
Nicolae Garleanu, Leonid Kogan and Stavros Panageas
University of California, Berkeley - Haas School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Booth School of Business
Downloads 134 (213,708)

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The Demographics of Innovation and Asset Returns

Number of pages: 52 Posted: 22 Oct 2009 Last Revised: 29 Mar 2011
Nicolae Garleanu, Leonid Kogan and Stavros Panageas
University of California, Berkeley - Haas School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Booth School of Business
Downloads 108 (251,491)

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Asset Pricing, Equity Premium, Value Premium, Intergenerational Risk, Innovation, Displacement Risk

The Demographics of Innovation and Asset Returns

NBER Working Paper No. w15457
Number of pages: 52 Posted: 03 Nov 2009 Last Revised: 27 Sep 2010
Nicolae Garleanu, Leonid Kogan and Stavros Panageas
University of California, Berkeley - Haas School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Booth School of Business
Downloads 35 (453,047)

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21.

Displacement Risk and Asset Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 30 Jul 2011
Nicolae Garleanu, Leonid Kogan and Stavros Panageas
University of California, Berkeley - Haas School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Booth School of Business
Downloads 228 (133,306)
Citation 4

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consumption-based asset pricing, displacement risk, value premium, equity premium, incomplete markets

22.

Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model

NBER Working Paper No. w6250
Number of pages: 64 Posted: 16 Jul 2000 Last Revised: 07 Oct 2010
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 89 (284,321)

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23.

Firm Characteristics and Empirical Factor Models: A Data-Mining Experiment

FRB International Finance Discussion Paper No. 1070
Number of pages: 52 Posted: 30 May 2017
Leonid Kogan and Mary H. Tian
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve System
Downloads 70 (327,688)

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24.

Growth Opportunities, Technology Shocks, and Asset Prices

NBER Working Paper No. w17795
Number of pages: 57 Posted: 27 Jan 2012
Leonid Kogan and Dimitris Papanikolaou
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 35 (442,705)
Citation 4

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25.

Economic Activity of Firms and Asset Prices

Annual Review of Financial Economics, Vol. 4, pp. 361-384, 2012
Posted: 04 Nov 2012
Leonid Kogan and Dimitris Papanikolaou
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northwestern University - Kellogg School of Management - Department of Finance

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26.

Asset Prices and Real Investment

Journal of Financial Economics, Forthcoming
Posted: 13 Jan 2004
Leonid Kogan
Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Investment, Irreversibility, General equilibrium, Leverage effect, book-to-market

Other Papers (1)

Total Downloads: 0
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1.

The Demographics of Innovation and Asset Returns

Posted: 17 Aug 2008
Nicolae Garleanu, Leonid Kogan and Stavros Panageas
University of California, Berkeley - Haas School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Booth School of Business

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