Serhiy Kozak

University of Maryland - Robert H. Smith School of Business

7621 Mowatt Ln

College Park, MD 20742

United States

http://serhiykozak.com

  • University of Maryland - Robert H. Smith School of Business

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 1,284

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1,104

CROSSREF CITATIONS

42

Scholarly Papers (9)

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1.

Shrinking the Cross Section

Downloads 3,589 ( 5,341)
Citation 223

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 3,336 (5,920)
Citation 2

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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: 09 Apr 2023
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 128 (365,516)
Citation 3

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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 125 (372,106)
Citation 52

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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

Downloads 2,626 ( 8,794)
Citation 30

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 2,409 (9,858)
Citation 8

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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 Last Revised: 08 Apr 2023
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 139 (342,756)

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Factor Timing

NBER Working Paper No. w26708
Number of pages: 80 Posted: 03 Feb 2020 Last Revised: 24 Jun 2023
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 78 (513,654)
Citation 22

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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 2,408 (10,045)
Citation 24

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Factor Models, Characteristics, Covariances, Rational, Behavioral

4.

Equity Term Structures without Dividend Strips Data

Downloads 1,364 (24,266)
Citation 15

Equity Term Structures without Dividend Strips Data

Number of pages: 67 Posted: 12 Mar 2020 Last Revised: 03 Apr 2023
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 1,364 (24,022)
Citation 11

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equity strips, risk premia, dividend claims, term structure

5.

Kernel Trick for the Cross-Section

Number of pages: 46 Posted: 08 Jan 2019 Last Revised: 24 Mar 2021
Serhiy Kozak
University of Maryland - Robert H. Smith School of Business
Downloads 1,271 (27,092)
Citation 7

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

6.

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 973 (39,701)
Citation 7

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

7.

Dynamics of Bond and Stock Returns

Number of pages: 69 Posted: 18 Apr 2015 Last Revised: 17 Dec 2021
Serhiy Kozak
University of Maryland - Robert H. Smith School of Business
Downloads 590 (77,341)
Citation 4

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bond-stock correlation, risk premia, general equilibrium

8.

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 457 (105,724)
Citation 2

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

9.

When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?

Number of pages: 68 Posted: 12 May 2023 Last Revised: 17 May 2023
Serhiy Kozak and Stefan Nagel
University of Maryland - Robert H. Smith School of Business and University of Chicago - Booth School of Business
Downloads 258 (197,759)

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