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

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

35

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724

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1,370

Scholarly Papers (35)

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1.

Technological Innovation, Resource Allocation and Growth

Downloads 5,556 ( 1,997)
Citation 252

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 4,863 (2,518)
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: 20 Jan 2022
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 693 (51,844)
Citation 164

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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) - Laboratory for Financial Engineering
Downloads 1,886 (12,268)
Citation 8

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3.

The Price Impact and Survival of Irrational Traders

Downloads 1,812 ( 12,948)
Citation 105

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 1,729 (13,866)

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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: 13 Apr 2022
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 83 (406,879)
Citation 17

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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 1,469 ( 18,085)
Citation 41

Pricing American Options: A Duality Approach

Mit Sloan Working Paper No. 4340-01
Number of pages: 40 Posted: 05 Feb 2002
Martin B. Haugh and Leonid Kogan
Imperial College Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,469 (17,746)
Citation 41

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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 B. Haugh
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Imperial College Business School

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5.

Measuring 'Dark Matter' in Asset Pricing Models

Downloads 1,349 ( 20,541)
Citation 17

Measuring 'Dark Matter' in Asset Pricing Models

Journal of Finance, Forthcoming, NBER Working Paper Series, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, The Wharton School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei 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 1,281 (21,826)
Citation 17

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

Measuring “Dark Matter” in Asset Pricing Models

NBER Working Paper No. w26418
Number of pages: 61 Posted: 03 Dec 2019 Last Revised: 09 Mar 2022
Hui Chen, Winston Wei 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 68 (455,730)

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6.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 24 Apr 2020 Last Revised: 01 Jul 2022
Winston Wei Dou, Leonid Kogan and Wei Wu
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Texas A&M University
Downloads 1,281 (22,232)
Citation 2

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Agency conflicts, Demand shocks, Mutual fund flows, Intermediary asset pricing, Heterogeneous agents, Uncertainty

7.

Market Selection

Downloads 998 ( 31,872)
Citation 14

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 831 (40,653)
Citation 6

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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: 02 Jan 2022
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 85 (401,044)

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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 82 (409,860)
Citation 1

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

8.

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

Downloads 835 ( 40,973)
Citation 40

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, Mozaffar Khan, Leonid Kogan and George Serafeim
University of Minnesota - Twin Cities - Carlson School of ManagementCauseway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard Business School
Downloads 592 (63,506)
Citation 5

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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, Mozaffar Khan, Leonid Kogan and George Serafeim
University of Minnesota - Twin Cities - Carlson School of ManagementCauseway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard Business School
Downloads 243 (173,901)
Citation 11

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

9.

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

Downloads 829 ( 41,357)
Citation 8

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

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 724 (48,906)
Citation 10

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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 79 (418,927)

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

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 (668,896)
Citation 1
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

10.

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: 12 Nov 2020
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 824 (41,711)
Citation 9

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Anomalies, Factor Models, Data-mining, Firm Characteristic

11.

Equilibrium Cross-Section of Returns

Downloads 801 ( 43,340)
Citation 212

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
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 759 (45,908)
Citation 9

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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

Number of pages: 61 Posted: 14 Sep 2002
Joao F. Gomes, Leonid Kogan and Lu Zhang
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 42 (568,719)
Citation 34
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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
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

12.

Durability of Output and Expected Stock Returns

Downloads 728 ( 49,209)
Citation 56

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 663 (54,921)

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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 2021
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 65 (466,624)
Citation 11

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13.

Winners and Losers: Creative Destruction and the Stock Market

Downloads 703 ( 51,529)
Citation 11

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 676 (53,554)
Citation 12

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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 Last Revised: 07 Jan 2022
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 27 (661,341)

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14.

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

Downloads 655 ( 56,499)
Citation 168

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 603 (62,034)
Citation 2

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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: 20 Apr 2022
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 52 (519,894)
Citation 30

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

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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15.

Cross-Firm Return Predictability and Accounting Quality

Number of pages: 47 Posted: 28 Sep 2015 Last Revised: 03 Feb 2016
Wen Chen, Mozaffar Khan, Mozaffar Khan, Leonid Kogan and George Serafeim
City University of Hong Kong (CityU), University of Minnesota - Twin Cities - Carlson School of ManagementCauseway Capital Management, LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard Business School
Downloads 650 (57,026)

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Return predictability, Accounting quality, Information frictions

16.

Evaluating Portfolio Policies: A Duality Approach

Downloads 482 ( 82,891)
Citation 8

Evaluating Portfolio Policies: A Duality Approach

MIT Sloan Working Paper No. 4329-03
Number of pages: 26 Posted: 22 Jul 2003
Martin B. 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 422 (96,099)
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: 17 Apr 2022
Martin B. 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 60 (486,114)
Citation 1

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17.

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

Downloads 448 ( 90,645)
Citation 28

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 419 (97,141)
Citation 30

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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 Last Revised: 12 Feb 2022
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 29 (646,971)

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18.

Technology-Skill Complementarity and Labor Displacement: Evidence from Linking Two Centuries of Patents with Occupations

Downloads 394 (104,916)

Technology-Skill Complementarity and Labor Displacement: Evidence from Linking Two Centuries of Patents with Occupations

Number of pages: 93 Posted: 06 May 2020 Last Revised: 07 Dec 2021
Leonid Kogan, Dimitris Papanikolaou, Lawrence Schmidt and Bryan Seegmiller
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, MIT Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 385 (106,899)

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Technology-Skill Complementarity and Labor Displacement: Evidence from Linking Two Centuries of Patents with Occupations

NBER Working Paper No. w29552
Number of pages: 68 Posted: 13 Dec 2021 Last Revised: 01 Apr 2022
Leonid Kogan, Dimitris Papanikolaou, Lawrence Schmidt and Bryan Seegmiller
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, MIT Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9 (819,442)
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19.

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 389 (106,490)
Citation 2

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20.

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 362 (115,454)

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Asset pricing, derivative valuation, portfolio choice, incomplete markets

21.

Futures Prices in a Production Economy with Investment Constraints

Downloads 323 (130,669)
Citation 32

Futures Prices in a Production Economy with Investment Constraints

Number of pages: 37 Posted: 17 Feb 2004
Leonid Kogan, Dmitry Livdan, Amir Yaron and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 254 (166,611)
Citation 1

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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: 13 Jun 2022
Leonid Kogan, Dmitry Livdan, Amir Yaron and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 69 (452,148)
Citation 5

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22.

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 California, Los Angeles (UCLA) - Finance Area
Downloads 320 (131,865)
Citation 18

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

23.

The Demographics of Innovation and Asset Returns

Downloads 289 (146,814)
Citation 2

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 California, Los Angeles (UCLA) - Finance Area
Downloads 139 (285,141)
Citation 1

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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 California, Los Angeles (UCLA) - Finance Area
Downloads 112 (334,805)
Citation 1

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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: 28 Mar 2021
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 California, Los Angeles (UCLA) - Finance Area
Downloads 38 (590,510)
Citation 1

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24.

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 261 (162,711)
Citation 2

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25.

Technological Innovation and Labor Income Risk

Downloads 216 (195,164)

Technological Innovation and Labor Income Risk

Number of pages: 98 Posted: 25 Jun 2020 Last Revised: 08 Jul 2021
Leonid Kogan, Dimitris Papanikolaou, Lawrence Schmidt and Jae Song
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, MIT Sloan School of Management and U.S. Social Security Administration
Downloads 190 (219,175)

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Technological Innovation and Labor Income Risk

Number of pages: 98 Posted: 13 Jul 2020 Last Revised: 07 Jun 2021
Leonid Kogan, Dimitris Papanikolaou, Lawrence Schmidt, Jae Song and Boston College Center for Retirement Research
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, MIT Sloan School of Management, U.S. Social Security Administration and Boston College
Downloads 17 (742,726)

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Technological Innovation and Labor Income Risk

NBER Working Paper No. w26964
Number of pages: 99 Posted: 13 Apr 2020 Last Revised: 06 Mar 2022
Leonid Kogan, Dimitris Papanikolaou, Lawrence Schmidt and Jae Song
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Northwestern University - Kellogg School of Management - Department of Finance, MIT Sloan School of Management and U.S. Social Security Administration
Downloads 9 (819,442)

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26.

Operating Hedge and Gross Profitability Premium

Number of pages: 47 Posted: 25 Oct 2021 Last Revised: 22 Jun 2022
Leonid Kogan, Jun Li and Harold H. Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 163 (253,894)

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Variable costs, operating hedge, gross profitability premium, value premium, asset pricing, CAPM, growth opportunities, anomalies

27.

Asset Growth Effect and Q Theory of Investment

Number of pages: 40 Posted: 04 Dec 2020
Leonid Kogan, Jun Li and Xiaotuo Qiao
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Texas at Dallas and Harbin Institute of Technology - School of Management
Downloads 159 (255,235)
Citation 1

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Asset growth effect, asset imbalance, q theory of investment

28.

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: 03 Apr 2022
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) - Laboratory for Financial Engineering
Downloads 124 (309,642)

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29.

Online Appendix for 'Common Fund Flows: Flow Hedging and Factor Pricing'

Number of pages: 90 Posted: 19 Nov 2020 Last Revised: 01 Jul 2022
Winston Wei Dou, Leonid Kogan and Wei Wu
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Texas A&M University
Downloads 100 (359,179)
Citation 4

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Mutual fund flows, Factor models, Heterogeneous agents, Financial intermediaries, Price impact, Uncertainty.

30.

Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method

Downloads 66 (456,876)

Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method

Number of pages: 49 Posted: 07 Oct 2019 Last Revised: 19 May 2022
Leonid Kogan and Indrajit Mitra
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 46 (548,171)

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Heterogenous Agent Economies, Equilibrium Solution, Heuristic Methods

Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method

FRB Atlanta Working Paper No. 2021-16
Number of pages: 40 Posted: 13 Jul 2021
Leonid Kogan and Indrajit Mitra
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 14 (770,250)

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numerical solutions, accuracy, approximations, simulations

Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method

NBER Working Paper No. w30111
Number of pages: 50 Posted: 06 Jun 2022 Last Revised: 11 Jun 2022
Leonid Kogan and Indrajit Mitra
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 6 (850,923)
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31.

Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

Number of pages: 45 Posted: 21 Oct 2019 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei 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 55 (498,549)
Citation 5

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

32.

Growth Opportunities, Technology Shocks, and Asset Prices

NBER Working Paper No. w17795
Number of pages: 57 Posted: 27 Jan 2012 Last Revised: 14 Feb 2022
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 47 (533,187)
Citation 19

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33.

Technological Innovation, Intangible Capital, and Asset Prices

Annual Review of Financial Economics, Vol. 11, pp. 221-242, 2019
Posted: 12 Jan 2020
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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34.

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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35.

Asset Prices and Real Investment

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

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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 California, Los Angeles (UCLA) - Finance Area

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