Shrihari Santosh

University of Colorado at Boulder - Department of Finance

Campus Box 419

Boulder, CO 80309

United States

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 5,004

in Total Papers Citations

242

CROSSREF CITATIONS

25

Scholarly Papers (9)

1.
Downloads 2,733 ( 6,360)
Citation 68

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 2,650 (6,819)
Citation 2

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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 83 (401,773)
Citation 35

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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.
Downloads 2,115 ( 9,136)
Citation 10

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 2,115 (9,808)
Citation 5

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

3.

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 1,904 (11,891)
Citation 24

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Factor Models, Characteristics, Covariances, Rational, Behavioral

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 891 (36,799)
Citation 1

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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 627 (58,830)
Citation 2

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Price discovery, trade time, tick, earnings, surprise

6.

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
Research Affiliates, LLC, University of Colorado at Boulder - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 234 (179,235)

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the skewness effect; the volatility effect; noise

7.

Investor Betas

Number of pages: 29 Posted: 28 Jan 2021
Ryan Lewis and Shrihari Santosh
University of Colorado, Boulder and University of Colorado at Boulder - Department of Finance
Downloads 167 (244,062)

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

8.

Exaggerated Likelihoods

Number of pages: 45 Posted: 10 Feb 2020 Last Revised: 24 Mar 2021
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 122 (309,289)

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Beliefs, overreaction, exaggeration, overconfidence

9.

Disagreement, Skewness, and Asset Prices

Number of pages: 41 Posted: 23 Nov 2021 Last Revised: 02 May 2022
Christian L. Goulding, Shrihari Santosh and Xingtan Zhang
Research Affiliates, LLC, University of Colorado at Boulder - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 105 (343,389)

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the dispersion effect; the skewness effect; divergence of opinions