Gregory Connor

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

Dr

Houghton Street

London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

17

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Top 1,590

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354

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Scholarly Papers (17)

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
Downloads 2,693 (4,269)

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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
Downloads 1,725 (9,039)

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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
Downloads 1,360 (13,276)

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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
Downloads 850 (26,807)

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

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
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 687 (35,401)

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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
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 138 (206,048)

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6.

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
Downloads 747 (32,108)

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

The Common and Specific Components of Dynamic Volatility

Northwestern University, Finance Working Paper No. 311
Number of pages: 32 Posted: 03 Nov 2002
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University and University of Cambridge
Downloads 706 (34,051)

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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
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University 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
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University and McKinsey & Co. Inc. - San Francisco Office
Downloads 569 (46,106)

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Factor model, Principal Components

9.

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 439 (63,836)

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10.

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
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University and McKinsey & Co. Inc. - San Francisco Office
Downloads 411 (69,113)

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

11.

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
Downloads 306 (96,867)

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risk management, asset management

12.

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 and London School of Economics & Political Science (LSE) - Department of Accounting and Finance
Downloads 305 (97,235)

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Factor Models, Principal Components

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
Downloads 210 (142,481)

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Factor Models, Arbitrage Pricing Theory

14.

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 88 (282,796)

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15.

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
Downloads 81 (297,518)

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

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
Downloads 52 (374,791)

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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, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University
Downloads 25 (484,102)

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