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

SCHOLARLY PAPERS

26

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16,689

CITATIONS
Rank 858

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Top 858

in Total Papers Citations

614

Scholarly Papers (26)

Technological Innovation, Resource Allocation and Growth

Quarterly Journal of Economics, Forthcoming
Number of pages: 78 Posted: 22 Dec 2012 Last Revised: 05 Feb 2017
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 2,878 (2,925)
Citation 9

Abstract:

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
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 453 (50,652)
Citation 9

Abstract:

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 1,781 (6,626)
Citation 25

Abstract:

3.
Downloads 1,743 ( 7,009)
Citation 64

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
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 1,677 (7,451)
Citation 64

Abstract:

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
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 66 (290,155)
Citation 64

Abstract:

The Price Impact and Survival of Irrational Traders

Journal of Finance, February 2006
Posted: 12 Sep 2005
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

Abstract:

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

4.
Downloads 1,363 ( 10,589)
Citation 37

Pricing American Options: A Duality Approach

Mit Sloan Working Paper No. 4340-01
Number of pages: 40 Posted: 05 Feb 2002
Martin Haugh and Leonid Kogan
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,363 (10,378)
Citation 37

Abstract:

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 Haugh
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

5.
Downloads 870 ( 21,221)
Citation 4

Market Selection

AFA 2009 San Francisco Meetings Paper
Number of pages: 54 Posted: 25 Mar 2008 Last Revised: 16 Nov 2016
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 742 (26,208)
Citation 4

Abstract:

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

Market Selection

NBER Working Paper No. w15189
Number of pages: 41 Posted: 04 Aug 2009
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 78 (263,385)
Citation 4

Abstract:

Market Selection

Journal of Economic Theory, Forthcoming
Number of pages: 54 Posted: 15 Nov 2016
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 50 (333,874)
Citation 4

Abstract:

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

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 690 (29,048)
Citation 43

Abstract:

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
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 69 (283,107)
Citation 43

Abstract:

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 (427,353)
Citation 43
  • Add to Cart

Abstract:

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

7.
Downloads 732 ( 27,168)
Citation 179

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 690 (29,048)
Citation 179

Abstract:

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
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Ohio State University - Fisher College of Business
Downloads 42 (359,911)
Citation 179
  • Add to Cart

Abstract:

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

Abstract:

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

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
University of Minnesota - Twin Cities - Carlson School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 513 (43,179)
Citation 24

Abstract:

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
University of Minnesota - Twin Cities - Carlson School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 194 (129,688)
Citation 24

Abstract:

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

9.
Downloads 685 ( 29,794)
Citation 32

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 632 (32,774)
Citation 32

Abstract:

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
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 53 (324,634)
Citation 32

Abstract:

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 574 (37,249)
Citation 98

Abstract:

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
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 45 (349,744)
Citation 99

Abstract:

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

Abstract:

11.
Downloads 452 ( 51,210)
Citation 3

Evaluating Portfolio Policies: A Duality Approach

MIT Sloan Working Paper No. 4329-03
Number of pages: 26 Posted: 22 Jul 2003
Martin Haugh, Leonid Kogan and Jiang Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 409 (57,321)
Citation 3

Abstract:

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
Martin Haugh, Leonid Kogan and Jiang Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 43 (356,509)
Citation 3

Abstract:

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 426 (55,051)
Citation 2

Abstract:

Anomalies, Factor Models, Data-mining, Firm Characteristic

13.

Measuring the 'Dark Matter' in Asset Pricing Models

Number of pages: 133 Posted: 19 Sep 2013 Last Revised: 09 Mar 2016
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 392 (31,871)
Citation 1

Abstract:

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

14.

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 332 (72,005)

Abstract:

Asset pricing, derivative valuation, portfolio choice, incomplete markets

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

Number of pages: 57 Posted: 10 Apr 2012 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 309 (79,683)
Citation 7

Abstract:

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 17 (478,843)
Citation 7

Abstract:

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 242 (104,150)
Citation 19

Abstract:

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
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 62 (299,918)
Citation 19

Abstract:

17.

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 295 (78,214)
Citation 23

Abstract:

18.
Downloads 264 ( 95,544)
Citation 6

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
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 126 (188,651)
Citation 6

Abstract:

The Demographics of Innovation and Asset Returns

Number of pages: 52 Posted: 22 Oct 2009 Last Revised: 29 Mar 2011
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 105 (216,514)
Citation 6

Abstract:

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
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 33 (394,430)
Citation 6

Abstract:

Winners and Losers: Creative Destruction and the Stock Market

Number of pages: 55 Posted: 23 Dec 2012 Last Revised: 15 May 2015
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 228 (111,144)
Citation 2

Abstract:

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: 56 Posted: 05 Jan 2013
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 13 (501,947)
Citation 2

Abstract:

20.

Displacement Risk and Asset Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 30 Jul 2011
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 131 (142,123)
Citation 2

Abstract:

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

21.

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 81 (255,075)
Citation 1

Abstract:

22.

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 24 (401,788)
Citation 23

Abstract:

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 0 (461,708)
Citation 2

Abstract:

24.

Cross-Firm Return Predictability and Accounting Quality

Number of pages: 47 Posted: 28 Sep 2015 Last Revised: 03 Feb 2016
City University of Hong Kong (CityUHK), University of Minnesota - Twin Cities - Carlson School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Harvard Business School
Downloads 0 (55,684)

Abstract:

Return predictability, Accounting quality, Information frictions

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

Abstract:

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

Abstract:

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

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

The Demographics of Innovation and Asset Returns

Posted: 17 Aug 2008
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

Abstract: