Shrihari Santosh

University of Colorado at Boulder - Department of Finance

Campus Box 419

Boulder, CO 80309

United States

University of Maryland - R.H. Smith School of Business

Assistant Professor

Robert H. Smith School of Business

Van Munching Hall

College Park, MD 20742

United States

  • University of Colorado at Boulder - Department of Finance

  • University of Maryland - R.H. Smith School of Business

SCHOLARLY PAPERS

10

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1,154

CROSSREF CITATIONS

26

Scholarly Papers (10)

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1.

Shrinking the Cross Section

Downloads 4,070 ( 4,847)
Citation 313

Shrinking the Cross Section

Number of pages: 69 Posted: 05 Apr 2017 Last Revised: 01 Aug 2018
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 3,922 (5,331)
Citation 4

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Factor Models, SDF, Cross Section, Shrinkage, Machine Learning

Shrinking the Cross Section

Number of pages: 69 Posted: 18 Aug 2018
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 148 (380,248)
Citation 49

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Factor Models, SDF, Cross Section, Shrinkage, Machine Learning

Shrinking the Cross Section

CEPR Discussion Paper No. DP12463
Number of pages: 60 Posted: 01 Dec 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
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Citation 10
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2.

Interpreting Factor Models

Journal of Finance, Forthcoming
Number of pages: 47 Posted: 05 Apr 2017 Last Revised: 29 Dec 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance
Downloads 2,969 (8,555)
Citation 24

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Factor Models, Characteristics, Covariances, Rational, Behavioral

3.

Factor Timing

Downloads 2,637 ( 8,736)
Citation 52

Factor Timing

Number of pages: 79 Posted: 05 Apr 2017 Last Revised: 31 Dec 2019
Valentin Haddad, Serhiy Kozak and Shrihari Santosh
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance
Downloads 2,637 (10,122)
Citation 17

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Predictability, Returns, Cross Section, Time Series, Equities, Bonds, Foreign Exchange

4.

Why Do Discount Rates Vary?

Number of pages: 52 Posted: 09 Apr 2012 Last Revised: 31 Dec 2019
Serhiy Kozak and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance
Downloads 1,021 (43,627)
Citation 7

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risk premium, CAPM, ICAPM, discount rates, hedging demand

5.

The Path of Price Discovery: Trade Time vs Clock Time

Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 30 Nov 2020
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 791 (62,011)
Citation 2

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Price discovery, trade time, tick, earnings, surprise

6.

Investor Betas *

Number of pages: 53 Posted: 28 Jan 2021 Last Revised: 15 Jul 2024
Lorenzo Bretscher, Ryan Lewis and Shrihari Santosh
Swiss Finance Institute - HEC Lausanne, University of Colorado, Boulder and University of Colorado at Boulder - Department of Finance
Downloads 635 (82,199)

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CAPM, risk, return, idiosyncratic, portfolio, active, investor

7.

Disagreement, Skewness, and Asset Prices

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 28 Aug 2024
Christian L. Goulding, Shrihari Santosh and Xingtan Zhang
Auburn University - Harbert College of Business, University of Colorado at Boulder - Department of Finance and Cheung Kong Graduate School of Business
Downloads 480 (116,295)

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the dispersion effect; the skewness effect; divergence of opinions, Disagreement, skewness, heterogeneity

8.

Pricing Implications of Noise

Review of Financial Studies, forthcoming
Number of pages: 62 Posted: 08 Jul 2021 Last Revised: 23 May 2022
Christian L. Goulding, Shrihari Santosh and Xingtan Zhang
Auburn University - Harbert College of Business, University of Colorado at Boulder - Department of Finance and Cheung Kong Graduate School of Business
Downloads 300 (196,694)
Citation 3

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the skewness effect; the volatility effect; noise

9.

Exaggerated Likelihoods

Number of pages: 42 Posted: 10 Feb 2020 Last Revised: 09 Jan 2024
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 204 (287,076)

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Beliefs, overreaction, exaggeration, overconfidence

10.

Manipulating Non-Fundamental Information

Number of pages: 86 Posted: 01 Dec 2023 Last Revised: 09 Jul 2024
Brian Waters, Xingtan Zhang, Wei Zhou and Shrihari Santosh
University of Colorado, Boulder, Cheung Kong Graduate School of Business, Tulane University and University of Colorado at Boulder - Department of Finance
Downloads 177 (326,344)

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Non-Fundamental Flows, Investor Sentiment, Retail Trading, Social Media