Konark Saxena

University of New South Wales

School of Banking and Finance

Australian School of Business

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 38,590

SSRN RANKINGS

Top 38,590

in Total Papers Downloads

1,303

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios

Number of pages: 79 Posted: 29 Apr 2016 Last Revised: 28 Sep 2020
Pedro Barroso and Konark Saxena
CATÓLICA-LISBON School of Business & Economics and University of New South Wales
Downloads 434 (74,519)

Abstract:

Loading...

Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management

2.

Is the Active Fund Management Industry Concentrated Enough?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 47 Posted: 26 Feb 2016 Last Revised: 15 Aug 2019
David Feldman, Konark Saxena and Jingrui Xu
Banking and Finance, UNSW Business School, UNSW Sydney, University of New South Wales and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 299 (113,875)
Citation 3

Abstract:

Loading...

Active fund management, Market concentration, Effort, Industry size, Alpha

3.

Politically Motivated Corporate Decisions As Tournament Participation/Inclusion Games

Number of pages: 51 Posted: 29 Feb 2016 Last Revised: 08 Apr 2020
David Feldman, Chang Mo Kang, Jiaming Li and Konark Saxena
Banking and Finance, UNSW Business School, UNSW Sydney, Hanyang University - School of Business, UNSW Business School and University of New South Wales
Downloads 200 (169,806)

Abstract:

Loading...

Participation/Inclusion Games, Politically Motivated Corporate Decisions, Corporate Investments, Taxes, Agency, China

Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement

UNSW Australian School of Business Research Paper No. 2013 BFIN 06
Number of pages: 20 Posted: 29 Aug 2013 Last Revised: 20 Aug 2018
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 107 (283,287)

Abstract:

Loading...

event studies, intraday returns, systematic risk

Level Shifts in Beta, Spurious Abnormal Returns and the Tarp Announcement

FEDS Working Paper No. 2018-081
Number of pages: 21 Posted: 03 Dec 2018 Last Revised: 21 Feb 2019
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 29 (537,865)

Abstract:

Loading...

Event studies, Intraday returns, Systematic risk

5.

Mutual Fund Separation and the Fama, French, Carhart Factors

Number of pages: 58 Posted: 02 Apr 2013 Last Revised: 03 Apr 2013
Konark Saxena
University of New South Wales
Downloads 112 (272,894)

Abstract:

Loading...

Mean-Variance Efficient Frontier, Mutual Fund Separation, Fama and French Factors, Incomplete Markets

6.

Unconditional Asset Pricing When Betas Covary with the Riskless Rate

Number of pages: 54 Posted: 01 Oct 2015 Last Revised: 24 Aug 2017
Konark Saxena
University of New South Wales
Downloads 69 (368,544)

Abstract:

Loading...

Conditional asset pricing; CAPM; Riskless rate; Conditioning information; Size premium; Value premium; Gross profitability premium; Low beta anomaly

7.

One Global Village? Competition in the International Active Fund Management Industry

Number of pages: 71 Posted: 07 Feb 2019 Last Revised: 08 Sep 2020
David Feldman, Konark Saxena and Jingrui Xu
Banking and Finance, UNSW Business School, UNSW Sydney, University of New South Wales and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 39 (475,213)

Abstract:

Loading...

Active management, Mutual funds, Global fund markets, Global village, Effort, Performance, Market concentration, Competition, Herfindahl-Hirschman index, Industry size, Alpha

8.

Internet Appendix for Lest We Forget: Using Out-Of-Sample Forecast Errors in Portfolio Optimization

Number of pages: 37 Posted: 09 Jan 2019
Pedro Barroso and Konark Saxena
CATÓLICA-LISBON School of Business & Economics and University of New South Wales
Downloads 14 (618,839)
Citation 3

Abstract:

Loading...

portfolio optimization, out-of-sample robustness, covariance matrix, risk management

9.

Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 11 Sep 2017 Last Revised: 31 Jan 2019
Petko S. Kalev, Konark Saxena and Leon Zolotoy
La Trobe Business School, University of New South Wales and University of Melbourne - Melbourne Business School

Abstract:

Loading...

Asset pricing; coskewness risk; cash flow news; discount rate news; covariation risk

10.

When Factors Don't Span Their Basis Portfolios

Journal of Financial and Quantitative Analysis, 2018
Posted: 05 Jun 2016 Last Revised: 02 Feb 2019
Mark Grinblatt and Konark Saxena
University of California, Los Angeles (UCLA) - Finance Area and University of New South Wales

Abstract:

Loading...

Factor Models, Mean Variance Efficient Portfolios, Jackknife Estimators, HML, SMB