Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Harry G. Guthmann Distinguished Professor of Finance

Kellogg School of Management

2211 Campus Drive, Room 4357

Evanston, IL 60208

United States

http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

SCHOLARLY PAPERS

40

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31,097

CITATIONS
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Top 384

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1,153

Scholarly Papers (40)

1.
Downloads 4,237 ( 1,561)
Citation 25

Intraday Patterns in the Cross-Section of Stock Returns

Number of pages: 59 Posted: 17 Jun 2009 Last Revised: 27 May 2010
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 3,604 (2,036)
Citation 25

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, Vol. 65, No. 4, pp. 1369-1407, Forthcoming
Number of pages: 59 Posted: 21 Nov 2009 Last Revised: 27 May 2010
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 633 (33,927)
Citation 25

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Return periodicity, Market Microstructure

2.
Downloads 3,715 ( 1,964)
Citation 114

Are Momentum Profits Robust to Trading Costs?

Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 28 Mar 2002
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 3,715 (1,932)
Citation 114

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Momentum strategies, Transaction costs, Price impact, Optimal trading, Market efficiency

Are Momentum Profits Robust to Trading Costs?

Journal of Finance, Vol. 59, No. 3, pp. 1039-1082, June 2004
Posted: 29 Dec 2004
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Momentum strategies, transaction costs, price impact, optimal trading, market efficiency

Capital Structure Choice: Macroeconomic Conditions and Financial Constraints

AFA 2002 Atlanta Meetings; Kellogg School of Mgmt. Finance Working Paper No. 279
Number of pages: 50 Posted: 04 Mar 2002
Robert A. Korajczyk and Amnon Levy
Downloads 2,530 (3,809)
Citation 120

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Capital structure, Business cycles, Financial constraints

Capital Structure Choice: Macroeconomic Conditions and Financial Constraints

Journal of Financial Economics, Vol. 68, No. 1, April 2003
Posted: 14 Mar 2003
Robert A. Korajczyk and Amnon Levy

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Capital structure, Business cycles, Financial constraints

4.

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 2,250 (4,014)
Citation 19

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Factor Models, Principal Components, Factor Analysis, Macroeconomic Factors

5.
Downloads 1,495 ( 9,527)
Citation 1

Are You Trading Predictably?

Number of pages: 19 Posted: 05 Jun 2010 Last Revised: 05 Sep 2010
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business
Downloads 1,495 (9,342)
Citation 1

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Trading, Microstructure, Periodicity, Anomaly

Are You Trading Predictably?

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business

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Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies

6.
Downloads 1,494 ( 9,527)
Citation 39

Predicting Equity Liquidity

Northwestern University Dept. of Finance Working Paper No. 205
Number of pages: 55 Posted: 09 Jan 2001
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk
Downloads 1,494 (9,342)
Citation 39

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Liquidity, price impact, transactions costs

Predicting Equity Liquidity

Management Science, Vol. 48, No. 4, pp. 470-483, April 2002, copyright
Posted: 07 Feb 2003
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk

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Liquidity, Transactions Costs, Price Impact

Pricing the Commonality Across Alternative Measures of Liquidity

Number of pages: 41 Posted: 11 May 2006
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 1,461 (9,694)
Citation 85

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Liquidity, Risk Premium

Pricing the Commonality Across Alternative Measures of Liquidity

Journal of Financial Economics (JFE), Vol. 87, No. 1, 2008
Posted: 15 Jan 2008
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Liquidity, Risk Premium

8.

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 1,443 (8,325)
Citation 3

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Asset Pricing, Portfolio Theory, Factor Models

9.

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 996 (13,045)
Citation 17

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Arbitrage Pricing Theory, Multifactor Models

A Measure of Stock Market Integration for Developed and Emerging Markets

World Bank Policy Research Working Paper No. 1482
Number of pages: 48 Posted: 20 Apr 2016
Robert A. Korajczyk
Downloads 856 (22,245)
Citation 27

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A Measure of Stock Market Integration for Developed and Emerging Markets

World Bank Economic Review, Vol. 10, pp. 267-289, May 1996
Posted: 07 Jul 2006
Robert A. Korajczyk

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Market Integration, Emerging Markets

11.

The Determinants of Equity Illiquidity

Working Paper No. 205
Number of pages: 38 Posted: 15 Apr 1999
William Breen, Laurie Simon Hodrick and Robert A. Korajczyk
Downloads 835 (22,752)
Citation 2

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12.
Downloads 822 ( 23,989)

Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 28 Dec 2016
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 822 (23,623)

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asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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asset pricing model, investment horizon, factors, characteristics

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 698 (29,663)
Citation 8

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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

14.

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 543 (26,618)
Citation 87

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

15.

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 540 (40,562)
Citation 2

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Factor model, Principal Components

16.

Assessing the Market Timing Performance of Managed Portfolios

Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986
Number of pages: 31 Posted: 21 Oct 2011 Last Revised: 03 May 2012
Ravi Jagannathan and Robert A. Korajczyk
Downloads 481 (27,712)
Citation 88

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Portfolio Performance Evaluation, Market Timing, Performance Atribution

17.

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 428 (36,227)
Citation 89

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

18.

High Frequency Market Making to Large Institutional Trades

Number of pages: 56 Posted: 28 Feb 2015 Last Revised: 25 May 2016
Robert A. Korajczyk and Dermot Murphy
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 353 (26,118)

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High Frequency Trading, HFT, Institutional Trades, Implementation Shortfall, Market Making, Liquidity Provision

19.

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 321 (64,125)
Citation 1

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

20.

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 262 (89,268)

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risk management, asset management

21.

Introduction to Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics

ASSET PRICING AND PORTFOLIO PERFORMANCE: MODELS, STRATEGY, AND PERFORMANCE METRICS, London, UK: Risk Books, 1999
Number of pages: 46 Posted: 07 Jan 2010
Robert A. Korajczyk
Downloads 250 (85,293)

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Asset Pricing Models, Portfolio Strategy, Portfolio Performance Metrics

22.

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 214 (102,040)
Citation 69

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Factor Models, Principal Components

23.

Book Review of Market Liquidity: Asset Pricing, Risk, and Crises by Yakov Amihud, Haim Mendelson, and Lasse Heje Pedersen

Quantitative Finance, Vol. 14, No. 2, (2014), pp. 211-212.
Number of pages: 3 Posted: 02 May 2013 Last Revised: 31 Dec 2013
Robert A. Korajczyk
Downloads 209 (95,403)

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Microstructure, Liquidity, Asset Pricing, Risk, Crises

24.

Market Timing

Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor, edited by John Guerard, Jr., Springer International Publishers, 2017, pp.49-71
Number of pages: 27 Posted: 02 Nov 2014 Last Revised: 06 Feb 2017
Ravi Jagannathan and Robert A. Korajczyk
Downloads 169 (90,692)

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Market Timing, Portfolio Performance, Return-Based Performance

25.

The Pricing of Forward Contracts for Foreign Exchange

Journal of Political Economy, Vol. 93, No. 2, 1985
Number of pages: 44 Posted: 29 Sep 2011
Robert A. Korajczyk
Downloads 159 (134,816)
Citation 7

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Foreign exchange, uncovered interest parity, carry trade, forward market

26.

The CAPM Controversy: Policy and Strategy Implications for Investment Management: An Overview

'CAPM Controversy: Policy and Strategy Implications for Investment Management' Conference, Charlottesville, October 1993
Number of pages: 10 Posted: 17 Dec 2009
Diana Harrington and Robert A. Korajczyk
affiliation not provided to SSRN and Northwestern University - Kellogg School of Management
Downloads 156 (148,976)

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Capital Asset Pricing Model, CAPM, Portfolio Theory

Understanding Stock Price Behavior Around the Time of Equity Issues

ASYMMETRIC INFORMATION, CORPORATE FINANCE, AND INVESTMENT, R. Glenn Hubbard, ed., University of Chicago Press, 1990
Number of pages: 40 Posted: 21 Oct 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 85 (257,340)
Citation 40

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equity issues, adverse selection, asymmetric information

Understanding Stock Price Behavior Around the Time of Equity Issues

NBER Working Paper No. w3170
Number of pages: 40 Posted: 08 Jan 2008
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 66 (298,793)
Citation 40

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28.

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 149 (140,250)
Citation 14

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Factor Models, Arbitrage Pricing Theory

29.

Price Discovery, Foreign Ownership, and Rule of Law

Number of pages: 60 Posted: 04 Oct 2010 Last Revised: 16 Aug 2013
Jun Cai, Richard Ho, Robert A. Korajczyk and Zheng Zhang
City University of Hong Kong (CityUHK) - Department of Economics & Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance, Northwestern University - Kellogg School of Management and Peking University - Department of Finance, Guanghua School of Management
Downloads 132 (167,585)

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Emerging Markets, Price Discovery, Weighted Price Contribution, Foreign Ownership, Market integration, Market Microstructure

30.

Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance

Review of Financial Studies, Vol. 15, No. 2, pp. 353-361, 2002
Number of pages: 15 Posted: 14 Apr 2005 Last Revised: 16 Dec 2009
John Heaton and Robert A. Korajczyk
University of Chicago - Finance and Northwestern University - Kellogg School of Management
Downloads 132 (171,394)

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Market Frictions, Behavioral Finance, Liquidity

31.

Equity Issues with Time-Varying Asymmetric Information

Journal of Financial and Quantitative Analysis (JFQA), Vol. 27, No. 3, 1992
Number of pages: 32 Posted: 22 Oct 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 114 (162,022)
Citation 48

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Equity Issues, Adverse Selection, Asymmetric Information

32.

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Journal of Business, Vol. 68, No. 3, July 1995
Number of pages: 80 Posted: 10 Oct 1998 Last Revised: 11 Apr 2010
Wayne E. Ferson and Robert A. Korajczyk
University of Southern California and Northwestern University - Kellogg School of Management
Downloads 112 (202,703)
Citation 65

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33.

The Effect of Information Releases on the Pricing and Timing of Equity Issues

Review of Financial Studies, Vol. 4, No. 4, pp. 685-708, 1991
Number of pages: 34 Posted: 03 Nov 2011
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Downloads 80 (231,291)
Citation 87

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Equity Issues, Adverse Selection, Asymmetric Information

34.

A Performance Comparison of Large-n Factor Estimators

Review of Asset Pricing Studies, Forthcoming
Number of pages: 110 Posted: 18 Jan 2014 Last Revised: 11 Jun 2017
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 64 (160,247)

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

35.

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 55 (286,044)
Citation 20

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

36.

An Empirical Investigation of International Asset Pricing

Review of Financial Studies, Vol. 2, No. 4, pp. 553-585, 1989
Number of pages: 71 Posted: 25 Oct 2011
Robert A. Korajczyk and Claude Viallet
Downloads 42 (281,555)
Citation 51

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International CAPM, International APT, International Asset Pricing

37.

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 41 (344,271)
Citation 12

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Arbitrage Pricing Theory, APT, Asset Pricing Model

38.

Equity Risk Premia and the Pricing of Foreign Exchange Risk

Journal of International Economics, Vol. 33, Nos. 3-4, 1992
Number of pages: 34 Posted: 13 Oct 2011
Robert A. Korajczyk and Claude Viallet
Downloads 36 (341,180)
Citation 12

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Foreign exchange, uncovered interest parity, carry trade, forward market, Arbitrage Pricing Theory, APT, Asset Pricing Model

39.
Downloads 22 (417,544)
Citation 1

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40.

Short-Horizon Beta or Long-Horizon Alpha?

Number of pages: 20 Posted: 29 Dec 2016
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 0 (40,927)

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