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/

  • Imperial College Business School

    • Email
    • Tel: +442075943294

  • CEPR (Centre for Economic Policy Research)

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 1,085

SSRN RANKINGS

Top 1,085

in Total Papers Downloads

48,169

TOTAL CITATIONS
Rank 3,639

SSRN RANKINGS

Top 3,639

in Total Papers Citations

423

Scholarly Papers (21)

Actions:
Email selected abstracts
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 14,962 (619)
Citation 15

Abstract:

Loading...

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 12,833 (799)
Citation 51

Abstract:

Loading...

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

3.

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

Downloads 3,190 ( 8,411)
Citation 43

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
Juha Joenväärä, Mikko Kauppila, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu
Downloads 3,190 (8,256)
Citation 43

Abstract:

Loading...

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
Juha Joenväärä, Mikko Kauppila, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu

Abstract:

Loading...

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

4.

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

Downloads 3,184 ( 8,435)
Citation 72

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 3,184 (8,279)
Citation 72

Abstract:

Loading...

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

Abstract:

Loading...

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

5.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 2,301 (14,115)
Citation 60

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 2,301 (13,854)
Citation 60

Abstract:

Loading...

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

Abstract:

Loading...

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

6.

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

Downloads 2,228 (14,839)
Citation 30

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 2,228 (14,543)
Citation 30

Abstract:

Loading...

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

Abstract:

Loading...

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

7.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Downloads 1,803 (20,824)
Citation 14

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 1,803 (20,448)
Citation 14

Abstract:

Loading...

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

Abstract:

Loading...

Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

8.

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

Downloads 1,572 (25,705)
Citation 93

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
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
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 1,572 (25,254)
Citation 93

Abstract:

Loading...

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
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Loading...

mutual funds, performance evaluation, bootstrap

9.

Hedge Fund Return Predictability Under the Magnifying Glass

Downloads 890 (58,455)
Citation 16

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 890 (57,549)
Citation 16

Abstract:

Loading...

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

Abstract:

Loading...

Hedge Fund Performance, Return Predictability, Combination Forecasts

10.

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

Number of pages: 80 Posted: 15 Sep 2020 Last Revised: 14 Jun 2024
Pasquale Della Corte, Robert Kosowski, Dimitris Papadimitriou and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School, King's College London and Imperial College Business School
Downloads 709 (79,051)
Citation 1

Abstract:

Loading...

short selling, ban, liquidity, price discovery, COVID

11.

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

Downloads 704 (79,770)
Citation 9

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 704 (78,612)
Citation 9

Abstract:

Loading...

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

Abstract:

Loading...

Optimal portfolio choice, Euler equation, Hedge fund performance

12.

Transaction Costs and Capacity of Systematic Corporate Bond Strategies

Financial Analysts Journal, Forthcoming
Number of pages: 63 Posted: 22 Sep 2023 Last Revised: 08 Jul 2024
Alexey Ivashchenko and Robert Kosowski
VU University Amsterdam and Imperial College Business School
Downloads 676 (83,999)
Citation 1

Abstract:

Loading...

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

13.

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

Downloads 656 (87,257)

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 652 (86,727)

Abstract:

Loading...

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
Downloads 4 (1,372,023)
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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

14.

The Correlation Risk Premium: International Evidence

Downloads 636 (90,837)
Citation 9

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 620 (92,518)
Citation 9

Abstract:

Loading...

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
Downloads 16 (1,246,238)
  • Add to Cart

Abstract:

Loading...

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

15.

Best Short

Downloads 591 (99,940)

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 586 (99,706)

Abstract:

Loading...

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 5 (1,365,511)
  • Add to Cart

Abstract:

Loading...

16.

The Effect of Investment Constraints on Hedge Fund Investor Returns

Downloads 587 (100,620)
Citation 9

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 585 (99,706)

Abstract:

Loading...

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 2 (1,385,043)
Citation 9
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

Hedge Fund Performance, Persistence, Frictions, Managerial Skill

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 386 (166,147)

Abstract:

Loading...

Hedge funds, bootstrap, alpha, persistence

18.

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 229 (287,602)

Abstract:

Loading...

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

19.

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
Juha Joenväärä, Mikko Kaupila, Robert Kosowski and Pekka Tolonen
Aalto University School of Business, University of Oulu, Imperial College Business School and University of Oulu
Downloads 32 (1,013,571)
  • Add to Cart

Abstract:

Loading...

Hedge Fund Performance, Managerial Skill, Persistence, Sample selection bias

20.

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
Posted: 29 Apr 2024
Alexei Jourovski, Vladyslav Dubikovskyy, Pere Adell, Ravi Ramakrishnan and Robert Kosowski
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

Abstract:

Loading...

equity market beta, predictability, machine learning, systematic risk

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

Abstract:

Loading...

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