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

8

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7,131

SSRN CITATIONS
Rank 5,182

SSRN RANKINGS

Top 5,182

in Total Papers Citations

205

CROSSREF CITATIONS

36

Scholarly Papers (8)

1.
Downloads 2,014 ( 8,333)
Citation 44

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 1,931 (8,738)
Citation 5

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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 66 (381,673)
Citation 36

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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 17 (619,394)

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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 Colorado at Boulder - Department of Finance
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Citation 7
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2.
Downloads 1,610 ( 11,898)
Citation 5

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 1,545 (12,469)
Citation 2

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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 48 (445,540)

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Factor Timing

NBER Working Paper No. w26708
Number of pages: 80 Posted: 03 Feb 2020
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 17 (619,394)
Citation 3
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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 1,473 (13,758)
Citation 22

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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 794 (34,133)
Citation 1

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

5.

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 386 (85,360)
Citation 4

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

6.

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 354 (94,373)
Citation 1

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bonds, stocks, risk premium, general equilibrium

7.

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 290 (117,934)
Citation 2

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

8.

Equity Term Structures without Dividend Strips Data

Number of pages: 44 Posted: 12 Mar 2020
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland - Robert H. Smith School of Business
Downloads 210 (161,966)
Citation 4

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equity strips, risk premia, dividend claims, term structure