Serhiy Kozak

University of Michigan, Stephen M. Ross School of Business

701 Tappan Street

Ann Arbor, MI MI 48109

United States

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 9,087

in Total Papers Citations

65

CROSSREF CITATIONS

39

Scholarly Papers (7)

1.
Downloads 1,537 ( 11,172)
Citation 19

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 Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business
Downloads 1,483 (11,587)
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 Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business
Downloads 40 (433,129)
Citation 12

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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 Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland
Downloads 14 (579,170)
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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 Michigan, Stephen M. Ross 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 3
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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 Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business
Downloads 1,274 (14,999)
Citation 3

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Factor Models, Characteristics, Covariances, Rational, Behavioral

3.
Downloads 1,053 ( 19,997)

The Economics of Factor Timing

Number of pages: 61 Posted: 05 Apr 2017 Last Revised: 14 Jan 2019
Valentin Haddad, Serhiy Kozak and Shrihari Santosh
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Michigan, Stephen M. Ross School of Business and University of Maryland - R.H. Smith School of Business
Downloads 1,023 (20,524)

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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 Michigan, Stephen M. Ross School of Business and University of Maryland
Downloads 30 (479,508)
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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 Michigan, Stephen M. Ross School of Business and University of Maryland - R.H. Smith School of Business
Downloads 709 (35,064)

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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 Michigan, Stephen M. Ross School of Business
Downloads 306 (98,549)
Citation 1

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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 Michigan, Stephen M. Ross School of Business and Arizona State University
Downloads 266 (114,510)
Citation 1

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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 Michigan, Stephen M. Ross School of Business
Downloads 219 (139,318)
Citation 1

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