Shrihari Santosh

University of Colorado at Boulder - Department of Finance

Campus Box 419

Boulder, CO 80309

United States

SCHOLARLY PAPERS

6

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109

CROSSREF CITATIONS

29

Scholarly Papers (6)

1.
Downloads 1,776 ( 9,326)
Citation 34

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 1,720 (9,791)
Citation 3

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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 56 (393,229)
Citation 27

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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 6
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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 1,394 (13,955)
Citation 14

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Factor Models, Characteristics, Covariances, Rational, Behavioral

3.
Downloads 1,274 ( 15,020)
Citation 1

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 1,274 (15,665)
Citation 1

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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 738 (35,256)

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

5.

The Speed of Price Discovery: Trade Time vs Clock Time

Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 16 Jan 2020
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 375 (82,880)

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Price discovery, trade time, tick, earnings, surprise

6.

Exaggerated Likelihoods

Number of pages: 31 Posted: 10 Feb 2020
Shrihari Santosh
University of Colorado at Boulder - Department of Finance
Downloads 20 (547,737)

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Beliefs, overreaction, exaggeration, overconfidence