Serhiy Kozak

University of Maryland - Robert H. Smith School of Business

7621 Mowatt Ln

College Park, MD 20742

United States

http://https://serhiykozak.com

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 7,721

in Total Papers Citations

95

CROSSREF CITATIONS

36

Scholarly Papers (7)

1.
Downloads 1,659 ( 10,169)
Citation 24

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 Maryland - R.H. Smith School of Business
Downloads 1,599 (10,629)
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 Maryland - R.H. Smith School of Business
Downloads 46 (418,364)
Citation 19

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

Shrinking the Cross Section

NBER Working Paper No. w24070
Number of pages: 58 Posted: 06 Dec 2017 Last Revised: 12 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 Maryland
Downloads 14 (591,929)
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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 Maryland - R.H. Smith School of Business
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Citation 4
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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 Maryland - R.H. Smith School of Business
Downloads 1,325 (14,518)
Citation 10

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Factor Models, Characteristics, Covariances, Rational, Behavioral

3.
Downloads 1,110 ( 18,996)

Factor Timing

Number of pages: 78 Posted: 05 Apr 2017 Last Revised: 17 Oct 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 Maryland - R.H. Smith School of Business
Downloads 1,079 (19,459)

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

Predicting Relative Returns

NBER Working Paper No. w23886
Number of pages: 56 Posted: 02 Oct 2017
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 Maryland
Downloads 31 (484,951)

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4.

Why Do Discount Rates Vary?

Number of pages: 73 Posted: 09 Apr 2012 Last Revised: 23 Mar 2019
Serhiy Kozak and Shrihari Santosh
University of Maryland - Robert H. Smith School of Business and University of Maryland - R.H. Smith School of Business
Downloads 717 (35,418)

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

5.

Dynamics of Bond and Stock Returns

Ross School of Business Paper No. 1277
Number of pages: 62 Posted: 18 Apr 2015 Last Revised: 31 Jan 2019
Serhiy Kozak
University of Maryland - Robert H. Smith School of Business
Downloads 313 (98,506)
Citation 2

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bonds, stocks, risk premium, general equilibrium

6.

Access to Credit and Stock Market Participation

Ross School of Business Paper No. 1276, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 52 Posted: 17 Apr 2015 Last Revised: 03 Jun 2016
Serhiy Kozak and Denis Sosyura
University of Maryland - Robert H. Smith School of Business and Arizona State University
Downloads 272 (114,457)
Citation 2

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stock market participation, interstate banking, household finance, credit constraints

7.

Kernel Trick for the Cross-Section

Number of pages: 44 Posted: 08 Jan 2019 Last Revised: 08 Apr 2019
Serhiy Kozak
University of Maryland - Robert H. Smith School of Business
Downloads 255 (122,517)
Citation 1

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risk premia, kernel methods, non-linearities, characteristics, SDF, cross section, machine learning