Robert A. Korajczyk

Northwestern University

Harry G. Guthmann Distinguished Professor of Finance

Kellogg School of Management

2211 Campus Drive, Room 4357

Evanston, IL 60208-0898

United States

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

SCHOLARLY PAPERS

45

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36,124

SSRN CITATIONS
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Top 815

in Total Papers Citations

775

CROSSREF CITATIONS

562

Scholarly Papers (45)

1.
Downloads 5,217 ( 1,808)
Citation 101

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 and Boston College - Carroll School of Management
Downloads 4,429 (2,392)
Citation 8

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, 2010, Vol. 65, No. 4, pp. 1369-1407
Number of pages: 59 Posted: 21 Nov 2009 Last Revised: 14 Nov 2019
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University and Boston College - Carroll School of Management
Downloads 788 (37,035)
Citation 87

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Return periodicity, Market Microstructure

2.
Downloads 3,839 ( 3,088)
Citation 86

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 and Boston College - Carroll School of Management
Downloads 3,839 (3,035)
Citation 86

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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 and Boston College - Carroll School of Management

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

3.

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 2,822 (5,258)

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Factor Models, Principal Components, Factor Analysis, Macroeconomic Factors

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
Northwestern University and Moody's KMV
Downloads 2,746 (5,400)
Citation 87

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Capital structure, Business cycles, Financial constraints

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Capital structure, Business cycles, Financial constraints

5.

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 1,801 (10,942)

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Asset Pricing, Portfolio Theory, Factor Models

6.
Downloads 1,592 ( 13,303)

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, Boston College - Carroll School of Management and University of Washington - Foster School of Business
Downloads 1,592 (13,054)

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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, 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

Pricing the Commonality Across Alternative Measures of Liquidity

Number of pages: 41 Posted: 11 May 2006
Robert A. Korajczyk and Ronnie Sadka
Northwestern University and Boston College - Carroll School of Management
Downloads 1,566 (13,398)
Citation 43

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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 and Boston College - Carroll School of Management

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Liquidity, Risk Premium

8.
Downloads 1,566 ( 13,648)

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
Northwestern University - Kellogg School of Management, Columbia Business School - Finance and Economics and Northwestern University
Downloads 1,566 (13,398)
Citation 13

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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
Northwestern University - Kellogg School of Management, Columbia Business School - Finance and Economics and Northwestern University

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Liquidity, Transactions Costs, Price Impact

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
Downloads 1,466 (15,167)
Citation 2

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Arbitrage Pricing Theory, Multifactor Models

10.

High Frequency Market Making to Large Institutional Trades

Review of Financial Studies, (2019) vol. 32, no. 3, 1034-1067
Number of pages: 52 Posted: 28 Feb 2015 Last Revised: 08 Feb 2019
Robert A. Korajczyk and Dermot Murphy
Northwestern University and University of Illinois at Chicago
Downloads 1,272 (18,846)
Citation 35

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

11.

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 1,112 (23,038)
Citation 46

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

12.
Downloads 996 ( 27,073)

Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 21 Jun 2018
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 996 (26,662)
Citation 19

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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, 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

13.

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 988 (27,394)
Citation 107

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

Downloads 919 (29,933)

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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

15.

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
Northwestern University - Kellogg School of Management, Columbia Business School - Finance and Economics and Northwestern University
Downloads 877 (32,417)
Citation 4

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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 793 (37,231)
Citation 8

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Portfolio Performance Evaluation, Market Timing, Performance Atribution

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 and University of Cambridge
Downloads 709 (42,757)
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 and University of Cambridge

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APT, ARCH, Factor Models, Principal Components, Volatility

18.

Arbitrage Portfolios

Review of Financial Studies, Forthcoming
Number of pages: 95 Posted: 31 Oct 2018 Last Revised: 07 Aug 2020
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University and Washington University in St. Louis - John M. Olin Business School
Downloads 672 (46,779)
Citation 7

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

19.

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 and McKinsey & Co. Inc. - San Francisco Office
Downloads 579 (56,574)
Citation 1

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Factor model, Principal Components

20.

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 and McKinsey & Co. Inc. - San Francisco Office
Downloads 428 (81,946)
Citation 2

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

21.

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 363 (99,137)
Citation 86

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Factor Models, Principal Components

22.

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 344 (105,226)
Citation 2

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Market Timing, Portfolio Performance, Return-Based Performance

23.

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 340 (106,670)

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Asset Pricing Models, Portfolio Strategy, Portfolio Performance Metrics

24.

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 315 (116,032)

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risk management, asset management

25.

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 291 (126,137)

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Microstructure, Liquidity, Asset Pricing, Risk, Crises

26.

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 237 (155,284)
Citation 26

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Factor Models, Arbitrage Pricing Theory

27.

Large Sample Estimators of the Stochastic Discount Factor

Number of pages: 109 Posted: 07 Mar 2018 Last Revised: 16 Mar 2021
Soohun Kim and Robert A. Korajczyk
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Northwestern University
Downloads 236 (155,879)

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Asset Pricing, Factor Structure, Stochastic Discount Factor, SDF

28.

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 212 (172,646)
Citation 4

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

29.

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
Downloads 197 (184,853)

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Capital Asset Pricing Model, CAPM, Portfolio Theory

30.

Foreign Investors, Private Information, and Price Discovery

Number of pages: 41 Posted: 04 Oct 2010 Last Revised: 04 Jun 2020
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 and Peking University - Department of Finance, Guanghua School of Management
Downloads 195 (186,528)

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

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
Northwestern University, Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 178 (202,333)
Citation 34

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Equity Issues, Adverse Selection, Asymmetric Information

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
Northwestern University, Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 96 (326,046)

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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 Last Revised: 01 Mar 2021
Robert A. Korajczyk, Deborah J. Lucas and Robert L. McDonald
Northwestern University, Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 71 (391,806)

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33.

Do High-Frequency Traders Improve your Implementation Shortfall?

Journal of Investment Management, 18 (First Quarter 2020): 18-33.
Number of pages: 29 Posted: 16 Apr 2019 Last Revised: 25 Feb 2020
Robert A. Korajczyk and Dermot Murphy
Northwestern University and University of Illinois at Chicago
Downloads 164 (216,914)

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high-frequency trading, institutional orders, implementation shortfall, transaction costs, transaction tax

34.

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
Downloads 162 (219,210)

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Market Frictions, Behavioral Finance, Liquidity

35.

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
Northwestern University, Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 132 (258,893)
Citation 1

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Equity Issues, Adverse Selection, Asymmetric Information

36.

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
Downloads 132 (258,893)
Citation 7

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37.

Semi-strong Factors in Asset Returns

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-6
Number of pages: 35 Posted: 15 Jul 2019 Last Revised: 29 Apr 2021
Gregory Connor and Robert A. Korajczyk
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and Northwestern University
Downloads 131 (260,369)
Citation 1

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Semi-strong factors, Factor model

38.

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 97 (321,559)
Citation 17

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

39.

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 91 (334,851)
Citation 35

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International CAPM, International APT, International Asset Pricing

40.

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 56 (436,672)
Citation 7

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Arbitrage Pricing Theory, APT, Asset Pricing Model

41.

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 53 (447,715)

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

42.

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
Downloads 36 (520,459)
Citation 3

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

43.

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

NBER Working Paper No. w2727
Number of pages: 51 Posted: 29 Mar 2010 Last Revised: 16 Dec 2010
Robert A. Korajczyk, Robert L. McDonald and Deborah J. Lucas
Northwestern University, Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 35 (525,571)
Citation 11

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Accounting, Cash Flow Analysis, Financial Analysis, Financial Statements, Investment Management, Market Analysis, Valuation

45.

Short-Horizon Beta or Long-Horizon Alpha?

Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016 Last Revised: 02 Nov 2018
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors