Robert Kosowski

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/people/r.kosowski

CEPR (Centre for Economic Policy Research)

Research Fellow

London

United Kingdom

http://www.cepr.org/

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 998

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45,480

SSRN CITATIONS
Rank 3,495

SSRN RANKINGS

Top 3,495

in Total Papers Citations

411

CROSSREF CITATIONS

94

Scholarly Papers (22)

1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49 Posted: 02 Sep 2012 Last Revised: 09 Sep 2019
Nick Baltas, Nick Baltas and Robert Kosowski
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads 14,079 (577)
Citation 15

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Time-series Momentum, Trend Following, Trading Rules, Pairwise Correlations, Turnover, Transaction Costs

2.

Momentum Strategies in Futures Markets and Trend-following Funds

Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 29 Jan 2021
Nick Baltas, Nick Baltas and Robert Kosowski
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads 11,615 (799)
Citation 51

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Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Number of pages: 53 Posted: 30 Aug 2006 Last Revised: 02 Sep 2011
Robert Kosowski
Imperial College Business School
Downloads 3,061 (7,520)
Citation 72

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mutual funds, portfolio choice, asset pricing, asymmetric information, business cycles, Markov-switching models

Do Mutual Funds Perform When it Matters Most to Investors? U.S. Mutual Fund Performance and Risk in Recessions and Expansions

Quarterly Journal of Finance, Vol. 1, No. 3, November 2011
Posted: 25 Aug 2011 Last Revised: 05 Sep 2011
Robert Kosowski
Imperial College Business School

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mutual funds, portfolio choice, asset pricing, asymmetric information, business cycles, Markov-switching models

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Number of pages: 70 Posted: 22 Jan 2012 Last Revised: 02 Apr 2019
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu
Downloads 3,035 (7,628)
Citation 36

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Hedge fund performance, persistence, sample selection bias, managerial skill

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Critical Finance Review, Forthcoming
Posted: 25 Mar 2019 Last Revised: 02 Apr 2019
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu

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Hedge fund performance, persistence, sample selection bias, managerial skill

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Number of pages: 47 Posted: 01 Nov 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 2,251 (12,273)
Citation 60

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hedge fund, persistence, Bayesian, alpha, backfill, incubation, bootstrap

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Journal of Financial Economics (JFE), Vol. 84, No. 1, 2007
Posted: 19 Dec 2011
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge fund performance, Persistence, Alpha, Factor models, Bayesian, Bootstrap

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 80 Posted: 15 Jul 2010 Last Revised: 16 Nov 2013
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and University of Geneva
Downloads 2,149 (13,228)
Citation 28

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Review of Financial Studies, 2014, Vol. 27 No.2, 581-616
Posted: 12 Oct 2013 Last Revised: 08 Apr 2014
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and University of Geneva

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

Hedge Funds, Managerial Skill, and Macroeconomic Variables

AFA 2008 New Orleans Meetings Paper
Number of pages: 47 Posted: 22 Mar 2007 Last Revised: 15 Nov 2013
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,766 (18,029)
Citation 14

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hedge funds, predictability, managerial skills, macroeconomic variables

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Journal of Financial Economics, Vol. 99, Issue 3, pp. 672-692, March 2011
Posted: 22 Feb 2010 Last Revised: 15 Nov 2013
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,463 (24,035)
Citation 93

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mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

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mutual funds, performance evaluation, bootstrap

9.
Downloads 910 (48,418)
Citation 1

Overnight-Intraday Reversal Everywhere

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 52 Posted: 11 Feb 2016 Last Revised: 13 Sep 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 469 (112,189)
Citation 1

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Overnight return, Intraday return, Short-term reversal, Liquidity provision

Overnight-Intraday Reversal Everywhere

Number of pages: 52 Posted: 17 Oct 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 441 (120,640)

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Overnight return, Intraday return, Short-term reversal, Liquidity provision

Hedge Fund Return Predictability Under the Magnifying Glass

Number of pages: 69 Posted: 01 Aug 2010 Last Revised: 23 Jun 2022
Doron Avramov, Laurent Barras and Robert Kosowski
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Universite du Luxembourg - Department of Finance and Imperial College Business School
Downloads 836 (53,603)
Citation 13

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Hedge Fund Performance, Return Predictability, Combination Forecasts

Hedge Fund Return Predictability Under the Magnifying Glass

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Mar 2012
Doron Avramov, Laurent Barras and Robert Kosowski
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Universite du Luxembourg - Department of Finance and Imperial College Business School

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Hedge Fund Performance, Return Predictability, Combination Forecasts

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 20 Mar 2011 Last Revised: 28 May 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 677 (70,861)
Citation 9

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Optimal portfolio choice, Euler equation, hedge fund performance

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Journal of Finance, Forthcoming
Posted: 15 Sep 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
Imperial College Business School, Imperial College Business School and Imperial College Business School

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Optimal portfolio choice, Euler equation, Hedge fund performance

12.

The Double-Edged Sword of The 2020 European Short-Selling Bans

Number of pages: 80 Posted: 15 Sep 2020 Last Revised: 22 Jan 2024
Imperial College Business School, Imperial College Business School, King's College London and Imperial College Business School
Downloads 618 (80,655)
Citation 1

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short selling, ban, liquidity, price discovery, COVID

The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Number of pages: 55 Posted: 24 Apr 2015 Last Revised: 10 Jun 2020
Juha Joenväärä and Robert Kosowski
Aalto University School of Business and Imperial College Business School
Downloads 600 (82,603)

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hedge fund performance, mutual fund performance, managerial skill, regulation, constraints

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

CEPR Discussion Paper No. DP10577
Number of pages: 79 Posted: 05 May 2015
Juha Joenväärä and Robert Kosowski
Aalto University School of Business and Imperial College Business School
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hedge fund performance, managerial skill, mutual fund performance, regulation

The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Review of Finance, Forthcoming
Posted: 18 Jun 2020
Juha Joenväärä and Robert Kosowski
Aalto University School of Business and Imperial College Business School

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hedge fund performance, mutual fund performance, managerial skill, regulation, constraints

The Effect of Investment Constraints on Hedge Fund Investor Returns

Number of pages: 83 Posted: 03 Dec 2013 Last Revised: 14 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, Imperial College Business School and University of Oulu
Downloads 548 (92,738)

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Hedge Fund Performance, Persistence, Frictions, Managerial Skill

The Effect of Investment Constraints on Hedge Fund Investor Returns

CEPR Discussion Paper No. DP12599
Number of pages: 86 Posted: 22 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, Imperial College Business School and University of Oulu
Downloads 0
Citation 6
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frictions, Hedge Fund Performance, Managerial Skill, Persistence

The Effect of Investment Constraints on Hedge Fund Investor Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 19 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, Imperial College Business School and University of Oulu

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Hedge Fund Performance, Persistence, Frictions, Managerial Skill

15.
Downloads 527 (98,450)
Citation 7

The Correlation Risk Premium: International Evidence

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 26 Nov 2018 Last Revised: 06 Jan 2022
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 527 (97,359)
Citation 9

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correlation risk premium, implied correlation, realized correlation, variance risk premium, international equity options

The Correlation Risk Premium: International Evidence

CEPR Discussion Paper No. DP16389
Number of pages: 46 Posted: 22 Sep 2021
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and Tsinghua University, School of Economics and Management
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correlation risk premium, implied correlation, international equity options, realized correlation, variance risk premium

16.
Downloads 435 (124,665)

Best Short

Number of pages: 92 Posted: 15 Aug 2019 Last Revised: 26 Sep 2022
Pasquale Della Corte, Robert Kosowski and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 433 (124,013)

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Disclosure, Regulation, Short-sale Performance, Anomalies, Hedge Funds

Best Short

CEPR Discussion Paper No. DP16319
Number of pages: 83 Posted: 14 Jul 2021
Pasquale Della Corte, Robert Kosowski and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 2 (1,152,176)
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17.

Is Stellar Hedge Fund Performance for Real?

Number of pages: 50 Posted: 12 Mar 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 376 (146,410)

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Hedge funds, bootstrap, alpha, persistence

18.

Transaction Costs and Capacity of Systematic Corporate Bond Strategies

Number of pages: 58 Posted: 22 Sep 2023 Last Revised: 29 Feb 2024
Alexey Ivashchenko and Robert Kosowski
VU University Amsterdam and Imperial College Business School
Downloads 314 (177,935)
Citation 1

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corporate bonds, transactions costs, microstructure, liquidity, investment strategy, capacity

19.

Rothschild Bank AG

Teaching Note, 2005, INSEAD Case Study No. 06/2005-5265
Number of pages: 2 Posted: 21 Dec 2011 Last Revised: 11 Jan 2012
Bernard Dumas and Robert Kosowski
INSEAD and Imperial College Business School
Downloads 218 (256,295)

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Private banking, Asset management; Behavioural finance and asset allocation, Mutual and hedge funds allocation, Family offices, Trust services, Offshore banking, Switzerland, Private banking, CHF10 billion assets under management

20.

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

CEPR Discussion Paper No. DP13618
Number of pages: 73 Posted: 01 Apr 2019 Last Revised: 16 Apr 2019
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu
Downloads 2 (1,106,576)
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Hedge Fund Performance, Managerial Skill, Persistence, Sample selection bias

21.

Managing Capital Market Risk for Retirement

Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press., Pension Research Council WP 2013-23
Posted: 20 Nov 2013 Last Revised: 03 Apr 2020
Enrico Biffis and Robert Kosowski
Imperial College Business School and Imperial College Business School

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Pension Liabilities, Liability-Driven Investment, Cross-Asset Correlation, Collateralization, Pension Buyouts, Over-the-Counter OTC Instruments

22.

Forecasting beta using machine learning and equity sentiment variables

Machine Learning for Asset Management: New Developments and Financial Applications. Editor(s):Emmanuel Jurczenko First published:30 June 2020 Print ISBN:9781786305442 Online ISBN:9781119751182 DOI:10.1002/9781119751182 © ISTE Ltd 2020
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Imperial College Business School

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equity market beta, predictability, machine learning, systematic risk