Gregory Connor

London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Dr

Houghton Street

London WC2A 2AE

United Kingdom

  • London School of Economics & Political Science (LSE) - Department of Accounting and Finance

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SCHOLARLY PAPERS

17

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248

CROSSREF CITATIONS

222

Scholarly Papers (17)

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1.

Factor Models of Asset Returns

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Rama Cont, ed., Chicester: Wiley, 2010.
Number of pages: 10 Posted: 26 Oct 2007 Last Revised: 17 Nov 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 3,498 (5,595)

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Factor Models, Principal Components, Factor Analysis, Macroeconomic Factors

2.

Factor Models in Portfolio and Asset Pricing Theory

HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010.
Number of pages: 22 Posted: 30 May 2008 Last Revised: 20 Nov 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,891 (14,891)

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Asset Pricing, Portfolio Theory, Factor Models

3.

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns

Handbooks in Operations Research and Management Science, Vol. 9
Number of pages: 88 Posted: 02 Aug 2009
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,581 (19,624)
Citation 2

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Arbitrage Pricing Theory, Multifactor Models

4.

Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis

Journal of Financial Economics (JFE), Vol. 15, No. 3, 1986
Number of pages: 38 Posted: 26 Aug 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,336 (25,379)
Citation 46

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Asymptotic Principal Components, Arbitrage Pricing Theory, APT, Performance Measurement, Jensen Measure, Appraisal Ratio

5.

Risk and Return in an Equilibrium Apt: Application of a New Test Methodology

Journal of Financial Economics (JFE), Vol. 21, No. 2, 1988
Number of pages: 64 Posted: 27 Aug 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 1,315 (25,891)
Citation 140

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Asymptotic Principal Components, Arbitrage Pricing Theory, APT, Asset Pricing Model

6.

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Downloads 898 (44,623)
Citation 4

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Swiss Finance Institute Research Paper No. 07-26
Number of pages: 63 Posted: 21 Sep 2007
Gregory Connor, Matthias Hagmann-von Arx and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, University of Lausanne - Institute of Banking & Finance (IBF) and University of Cambridge
Downloads 743 (56,932)
Citation 7

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Additive Models, Arbitrage pricing theory, Factor model, Fama-French, Kernel estimation, Nonparametric regression, Panel data

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

LSE STICERD Research Paper No. EM524
Number of pages: 62 Posted: 21 Jul 2008
Gregory Connor, Matthias Hagmann-von Arx and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, University of Lausanne - Institute of Banking & Finance (IBF) and University of Cambridge
Downloads 155 (314,899)
Citation 1

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7.

The Common and Specific Components of Dynamic Volatility

Downloads 729 (59,262)
Citation 12

The Common and Specific Components of Dynamic Volatility

Northwestern University, Finance Working Paper No. 311
Number of pages: 32 Posted: 03 Nov 2002
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and University of Cambridge
Downloads 729 (58,413)
Citation 12

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APT, ARCH, Factor Models, Principal Components, Volatility

The Common and Specific Components of Dynamic Volatility

Journal of Econometrics, Vol. 132, May 2006
Posted: 03 May 2006
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and University of Cambridge

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APT, ARCH, Factor Models, Principal Components, Volatility

8.

Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components

Number of pages: 32 Posted: 23 Oct 2003 Last Revised: 28 Apr 2009
Gregory Connor, Robert A. Korajczyk and Robert T. Uhlaner
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and McKinsey & Co. Inc. - San Francisco Office
Downloads 625 (72,381)

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Factor model, Principal Components

9.

A Synthesis of Two Factor Estimation Methods

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 4, 2015
Number of pages: 42 Posted: 21 Aug 2009 Last Revised: 14 Nov 2015
Gregory Connor, Robert A. Korajczyk and Robert T. Uhlaner
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University - Kellogg School of Management and McKinsey & Co. Inc. - San Francisco Office
Downloads 491 (97,680)
Citation 4

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Cross-sectional regression, Factor model, Principal components, Errors in variables

10.

Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns

Number of pages: 22 Posted: 15 Mar 2000
Gregory Connor and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Cambridge
Downloads 461 (105,103)
Citation 4

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11.

A Test for the Number of Factors in an Approximate Factor Model

Journal of Finance, Vol. 48, pp. 1263-1291, September 1993
Number of pages: 47 Posted: 24 Jan 2007 Last Revised: 21 Aug 2009
Robert A. Korajczyk and Gregory Connor
Northwestern University - Kellogg School of Management and London School of Economics & Political Science (LSE) - Department of Accounting and Finance
Downloads 458 (105,882)
Citation 92

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Factor Models, Principal Components

12.

Risk Management in Asset Management

The Growth of Risk Management: A History, 2003
Number of pages: 17 Posted: 30 Jul 2009
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 352 (143,046)

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risk management, asset management

13.

Estimating Pervasive Economic Factors with Missing Observations

Number of pages: 35 Posted: 18 Sep 2008
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 292 (174,469)
Citation 25

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Factor Models, Arbitrage Pricing Theory

14.

The Attributes, Behavior, and Performance of U.S. Mutual Funds

Review of Quantitative Finance and Accounting, Vol. 1, No. 1, pp. 5-26, 1990
Number of pages: 38 Posted: 25 Oct 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 122 (379,234)
Citation 17

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Mutual Funds, Portfolio Performance, Arbitrage Pricing Theory, APT, CAPM, Market Timing

15.

Semiparametric Estimation of a Characteristic-Based Factor Model of Common Stock Returns

LSE STICERD Research Paper No. EM506
Number of pages: 40 Posted: 21 Jul 2008
Gregory Connor and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Cambridge
Downloads 107 (416,965)
Citation 6

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16.

An Intertemporal Equilibrium Beta Pricing Model

Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989
Number of pages: 33 Posted: 24 Oct 2011
Gregory Connor and Robert A. Korajczyk
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 83 (491,978)
Citation 6

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Arbitrage Pricing Theory, APT, Asset Pricing Model

17.

A Performance Comparison of Large-n Factor Estimators

Review of Asset Pricing Studies, Volume 8, Number 1 (2018): 153-182.
Number of pages: 110 Posted: 18 Jan 2014 Last Revised: 24 May 2018
Zhuo Chen, Gregory Connor and Robert A. Korajczyk
Tsinghua University - PBC School of Finance, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 65 (564,064)
Citation 3

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Factor Model, Asymptotic Principal Components, Large-Scale Factor Model