Shrihari Santosh

University of Colorado at Boulder - Department of Finance

Campus Box 419

Boulder, CO 80309

United States

  • University of Colorado at Boulder - Department of Finance

SCHOLARLY PAPERS

10

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906

CROSSREF CITATIONS

26

Scholarly Papers (10)

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1.

Shrinking the Cross Section

Downloads 3,562 ( 5,303)
Citation 250

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 3,434 (5,844)
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 128 (377,157)
Citation 56

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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.

Factor Timing

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Citation 35

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 2,469 (9,843)
Citation 11

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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 2,473 (10,002)
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 980 (40,806)
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 750 (58,819)
Citation 2

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Price discovery, trade time, tick, earnings, surprise

6.

Investor Betas

Number of pages: 58 Posted: 28 Jan 2021 Last Revised: 11 Feb 2023
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 560 (85,333)

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

7.

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
Auburn University - Harbert College of Business, University of Colorado at Boulder - Department of Finance and University of Colorado at Boulder - Department of Finance
Downloads 301 (173,795)

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the dispersion effect; the skewness effect; divergence of opinions

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 University of Colorado at Boulder - Department of Finance
Downloads 283 (185,277)
Citation 1

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the skewness effect; the volatility effect; noise

9.

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 178 (287,258)

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Beliefs, overreaction, exaggeration, overconfidence

10.

Sentiment Trading and Smart Money

Number of pages: 55
Brian Waters, Xingtan Zhang, Wei Zhou and Shrihari Santosh
University of Colorado, Boulder, University of Colorado at Boulder - Department of Finance, Tulane University and University of Colorado at Boulder - Department of Finance
Downloads 6

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Smart Money, Investor Sentiment, Sentiment Riding, Social Media