Javier Estrada

IESE Business School

Professor of Finance

IESE Business School

Av. Pearson 21

Barcelona, 08034

Spain

SCHOLARLY PAPERS

72

DOWNLOADS
Rank 949

SSRN RANKINGS

Top 949

in Total Papers Downloads

37,520

SSRN CITATIONS
Rank 6,181

SSRN RANKINGS

Top 6,181

in Total Papers Citations

84

CROSSREF CITATIONS

129

Scholarly Papers (72)

1.

Black Swans and Market Timing: How Not to Generate Alpha

Number of pages: 20 Posted: 28 Nov 2007
Javier Estrada
IESE Business School
Downloads 4,289 (3,162)
Citation 6

Abstract:

Loading...

outliers, performance, normality, market timing, alpha

2.

The Cost of Equity in Emerging Markets: A Downside Risk Approach

EFMA 2000 Athens, EFA 2000 London, FMA 2000 Edinburgh
Number of pages: 20 Posted: 17 Aug 1999
Javier Estrada
IESE Business School
Downloads 3,586 (4,250)
Citation 24

Abstract:

Loading...

3.

Valuation in Emerging Markets

Number of pages: 15 Posted: 23 Nov 2002
University of Virginia - Darden School of Business, University of Virginia - Darden School of Business, IESE Business School, Windham Capital Management and University of Virginia - Darden School of Business
Downloads 2,927 (6,059)
Citation 7

Abstract:

Loading...

4.

The Sustainability of (Global) Withdrawal Strategies

IESE Business School Working Paper
Number of pages: 18 Posted: 26 Feb 2021
Javier Estrada
IESE Business School
Downloads 2,093 (10,343)

Abstract:

Loading...

Retirement planning; financial planning; withdrawal strategies; sustainable strategies; 4% withdrawal rule

5.
Downloads 1,905 ( 12,057)
Citation 11

Mean-Semivariance Optimization: A Heuristic Approach

Number of pages: 22 Posted: 07 Nov 2007
Javier Estrada
IESE Business School
Downloads 1,335 (20,505)
Citation 16

Abstract:

Loading...

Portfolio optimization, Downside risk, Semivariance

Mean-Semivariance Optimization: A Heuristic Approach

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 18, No. 1, 2008
Number of pages: 16 Posted: 09 Dec 2015
Javier Estrada
IESE Business School
Downloads 570 (66,648)
Citation 1

Abstract:

Loading...

6.

Toward Determining the Optimal Investment Strategy for Retirement

Number of pages: 11 Posted: 03 Jan 2019
Javier Estrada and Mark Kritzman
IESE Business School and Windham Capital Management
Downloads 1,463 (18,182)
Citation 6

Abstract:

Loading...

retirement strategies; failure rate; coverage ratio; asset allocation

7.

Mean-Semivariance Behavior (Ii): The D-Capm

Number of pages: 20 Posted: 12 Apr 2002
Javier Estrada
IESE Business School
Downloads 1,171 (25,317)
Citation 10

Abstract:

Loading...

downside risk, semideviation, asset pricing

8.

Adjusting P/E Ratios by Growth and Risk: The Perg Ratio

Number of pages: 17 Posted: 06 May 2003
Javier Estrada
IESE Business School
Downloads 1,026 (30,629)
Citation 2

Abstract:

Loading...

9.

The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii)

Number of pages: 15 Posted: 09 Feb 2001
Javier Estrada
IESE Business School
Downloads 1,001 (31,717)
Citation 29

Abstract:

Loading...

10.

Sequence Risk: Is It Really a Big Deal?

Number of pages: 28 Posted: 22 Oct 2020
Javier Estrada
IESE Business School
Downloads 943 (34,509)
Citation 2

Abstract:

Loading...

Sequence risk, financial planning, retirement planning, withdrawal strategies, 4% rule

11.

Rethinking Risk

Number of pages: 23 Posted: 01 Sep 2013
Javier Estrada
IESE Business School
Downloads 933 (35,061)
Citation 5

Abstract:

Loading...

Risk, volatility, tail risks, lower-tail terminal wealth

12.

Repsol-Ypf: Valuation in Emerging Markets

Number of pages: 19 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 924 (35,493)

Abstract:

Loading...

The Gain-Loss Spread: A New and Intuitive Measure of Risk

Number of pages: 19 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 677 (53,422)

Abstract:

Loading...

risk, gain-loss spread, downside risk

The Gain-Loss Spread: A New and Intuitive Measure of Risk

Number of pages: 19 Posted: 16 Jan 2009
Javier Estrada
IESE Business School
Downloads 202 (207,365)

Abstract:

Loading...

The Gain-Loss Spread: A New and Intuitive Measure of Risk

Journal of Applied Corporate Finance, Vol. 21, Issue 4, pp. 104-114, Fall 2009
Number of pages: 12 Posted: 16 Dec 2009
Javier Estrada
IESE Business School
Downloads 7 (839,447)

Abstract:

Loading...

14.

The Pricing of Internet Stocks

Number of pages: 17 Posted: 15 Feb 2001
Javier Estrada and Brian Blakely
IESE Business School and IESE-MBA/99
Downloads 822 (41,804)
Citation 1

Abstract:

Loading...

15.

Multiples, Forecasting, and Asset Allocation

Number of pages: 12 Posted: 16 Apr 2015
Javier Estrada
IESE Business School
Downloads 774 (45,253)

Abstract:

Loading...

Multiples; forecasting; asset allocation; CAPE; value investing

16.
Downloads 772 ( 45,497)
Citation 1

Black Swans, Beta, Risk, and Return

Number of pages: 18 Posted: 16 Oct 2010
Javier Estrada and Maria Vargas
IESE Business School and University of Zaragoza
Downloads 439 (91,724)
Citation 1

Abstract:

Loading...

Black swans, beta, investment strategies

Black Swans, Beta, Risk, and Return

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 22, No. 2, 2012
Number of pages: 13 Posted: 12 Nov 2015
Javier Estrada and Maria Vargas
IESE Business School and University of Zaragoza
Downloads 333 (125,720)

Abstract:

Loading...

Black Swans, Beta, Risk, and Return

Journal of Applied Finance, Fall/Winter 2012, Volume 22, No.2
Posted: 07 Sep 2012
Javier Estrada and Maria Vargas
IESE Business School and University of Zaragoza

Abstract:

Loading...

exchange-traded funds (ETFs), beta measure of risk, passive investment

Black Swans, Beta, Risk, and Return

Journal of Applied Finance, Fall/Winter 2012, Volume 22, No. 2
Posted: 16 Jul 2013
Javier Estrada and Maria Vargas
IESE Business School and University of Zaragoza

Abstract:

Loading...

Beta, Risk, Index funds, ETFs, Black Swan

17.

Fundamental Indexation and International Diversification

Number of pages: 23 Posted: 05 Dec 2006
Javier Estrada
IESE Business School
Downloads 756 (46,728)
Citation 11

Abstract:

Loading...

fundamental indexation, international diversification, portfolio management

18.

The Pricing of Internet Stocks (Ii)

Number of pages: 11 Posted: 15 Feb 2001
Javier Estrada
IESE Business School
Downloads 704 (51,377)

Abstract:

Loading...

19.

Telefonica: The Dividend Decision

Number of pages: 14 Posted: 25 May 2000
Javier Estrada and Jon Gardar Gudmundsson
IESE Business School and IESE, University of Navarra
Downloads 704 (51,377)

Abstract:

Loading...

20.

Empirical Distributions of Stock Returns: European Securities Markets, 1990-95

Working Paper 97-23 Departamento de Economia de la Empresa
Number of pages: 25 Posted: 13 May 1997
Felipe Aparicio and Javier Estrada
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and IESE Business School
Downloads 660 (55,906)
Citation 10

Abstract:

Loading...

21.

Black Swans, Market Timing, and the Dow

Number of pages: 8 Posted: 26 Jan 2008
Javier Estrada
IESE Business School
Downloads 626 (60,289)
Citation 3

Abstract:

Loading...

Black swans, outliers, performance, normality

22.

The Enhanced Risk Premium Factor Model & Expected Returns

Number of pages: 16 Posted: 08 Nov 2012
Javier Estrada
IESE Business School
Downloads 619 (60,675)

Abstract:

Loading...

equity risk premium, risk premium factor, CAPE, stocks, bonds

23.

The Fed Model: The Bad, the Worse, and the Ugly

Number of pages: 29 Posted: 21 Jan 2006
Javier Estrada
IESE Business School
Downloads 605 (62,455)
Citation 7

Abstract:

Loading...

Fed model, P/E ratios, cointegration, earnings yields

24.

Are Stocks Riskier than Bonds? Not If You Assess Risk Like Warren Buffett

Number of pages: 7 Posted: 21 Jul 2012
Javier Estrada
IESE Business School
Downloads 604 (62,567)
Citation 1

Abstract:

Loading...

Long-term risk, short-term risk, shortfall risk, Buffett

25.

Risk and Return in Emerging Markets: Family Matters

Journal of Multinational Financial Management, Vol. 15, pp. 257-272, 2005, EFMA 2004 Basel Meetings Paper
Number of pages: 17 Posted: 11 Oct 2003 Last Revised: 26 Nov 2007
Javier Estrada, Ana Paula Serra and Ana Paula Serra
IESE Business School and CEMPRE, Faculdade de Economia do PortoUniversidade do Porto - Faculdade de Economia (FEP)
Downloads 565 (68,119)
Citation 4

Abstract:

Loading...

26.

Investing in the 21st Century: With Occam's Razor and Bogle's Wit

Number of pages: 19 Posted: 02 Jul 2006
Javier Estrada
IESE Business School
Downloads 547 (70,960)
Citation 2

Abstract:

Loading...

long-term returns, returns forecasting, dividend yields, P/E ratios

27.

The Cost of Equity of Internet Stocks: A Downside Risk Approach

IESE Working Paper No. D/491
Number of pages: 20 Posted: 11 Feb 2004
Javier Estrada
IESE Business School
Downloads 520 (75,533)
Citation 6

Abstract:

Loading...

28.

Investing in Emerging Markets: A Black Swan Perspective

Number of pages: 10 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 508 (77,907)
Citation 1

Abstract:

Loading...

Black swans, outliers, normality, emerging markets, performance

Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

Number of pages: 14 Posted: 10 Apr 2004
Javier Estrada, Mark Kritzman and Sebastien Page
IESE Business School, Windham Capital Management and State Street Associates
Downloads 231 (182,579)
Citation 3

Abstract:

Loading...

Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

Number of pages: 14 Posted: 13 May 2004
Javier Estrada, Mark Kritzman and Sebastien Page
IESE Business School, Windham Capital Management and State Street Associates
Downloads 205 (204,536)
Citation 2

Abstract:

Loading...

30.

Mean-Semivariance Behavior: An Alternative Model of Behavior

IESE Working Paper No. D/492
Number of pages: 19 Posted: 19 Sep 2001
Javier Estrada
IESE Business School
Downloads 431 (94,454)
Citation 6

Abstract:

Loading...

downside risk, semideviation, asset pricing

31.

The Fed Model: A Note

Number of pages: 11 Posted: 10 Nov 2005
Javier Estrada
IESE Business School
Downloads 427 (95,510)
Citation 6

Abstract:

Loading...

Fed model, stock pricing, p/e ratios

32.

Retirement Planning: From Z to A

Number of pages: 21 Posted: 30 Jun 2020
Javier Estrada
IESE Business School
Downloads 402 (102,394)
Citation 1

Abstract:

Loading...

Retirement planning; financial planning; Monte Carlo

33.

Random Walks and the Temporal Dimension of Risk

Working Paper 97-24 Departamento de Economia de la Empresa
Number of pages: 24 Posted: 12 May 1997
Javier Estrada
IESE Business School
Downloads 375 (110,850)
Citation 2

Abstract:

Loading...

34.

Hilton Hotels, Corp.

Number of pages: 4 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 373 (111,492)

Abstract:

Loading...

35.
Downloads 344 (122,395)

Factor Tilts and Asset Allocation

Number of pages: 14 Posted: 20 Nov 2019
Javier Estrada
IESE Business School
Downloads 271 (155,876)

Abstract:

Loading...

factors, smart beta, risk minimization, return maximization

Factor Tilts and Asset Allocation

Journal of Investment Consulting, Vol. 20, No. 1, 2020, pp. 30-39
Number of pages: 12 Posted: 13 Jan 2021
Javier Estrada
IESE Business School
Downloads 73 (438,135)

Abstract:

Loading...

Factor Tilts, Asset Allocation, Factor Investing

36.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Javier Estrada
IESE Business School
Downloads 294 (144,071)
Citation 1

Abstract:

Loading...

Failure rate; retirement planning; shortfall years; risk-adjusted success

37.

Evaluating Retirement Strategies: A Utility-Based Approach

Number of pages: 21 Posted: 06 Mar 2018
Javier Estrada and Mark Kritzman
IESE Business School and Windham Capital Management
Downloads 269 (157,705)
Citation 4

Abstract:

Loading...

Retirement Strategies; Failure Rate; Coverage Ratio; Utility-Based Analysis

38.

No Hedge Funds, No Cry

Number of pages: 10 Posted: 02 Apr 2021
Javier Estrada
IESE Business School
Downloads 244 (173,609)
Citation 1

Abstract:

Loading...

Hedge funds, 60-40 strategy, asset allocation, private equity

39.

Countries Versus Industries in Europe: A Normative Portfolio Approach

Number of pages: 25 Posted: 23 Feb 2005
IESE Business School, Windham Capital Management, State Street Associates and State Street Associates
Downloads 237 (178,533)

Abstract:

Loading...

Portfolio management, Country versus industries, Europe

40.

New Frontiers in Portfolio Management

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 1, 2015
Number of pages: 4 Posted: 02 Jul 2016
Rose Cosio, Javier Estrada and Mark Kritzman
UBS AG - UBS Wealth Management, IESE Business School and Windham Capital Management
Downloads 193 (216,034)

Abstract:

Loading...

41.

Managing to Target: Dynamic Adjustments for Accumulation Strategies

Number of pages: 15 Posted: 06 Nov 2019
Javier Estrada
IESE Business School
Downloads 181 (228,494)
Citation 3

Abstract:

Loading...

retirement planning; accumulation strategies

42.

The Gain-Pain Index: Asset Allocation for Individual (And Other?) Investors

Number of pages: 17 Posted: 02 Sep 2021
Javier Estrada
IESE Business School
Downloads 180 (229,580)

Abstract:

Loading...

Asset allocation, risk, volatility, downside risk, global evidence, gain-pain index

43.

Target-Date Funds, Glidepaths, and Risk Aversion

IESE Business School Working Paper No. ART-2664-E
Number of pages: 14 Posted: 14 May 2020
Javier Estrada
IESE Business School
Downloads 128 (302,343)
Citation 1

Abstract:

Loading...

target-date funds, glidepath, asset allocation, risk aversion

44.

Discount Rates in Emerging Markets: Four Models and an Application

Journal of Applied Corporate Finance, Vol. 19, Issue 2, pp. 72-77, Spring 2007
Number of pages: 8 Posted: 26 Oct 2007
Javier Estrada
IESE Business School
Downloads 27 (642,650)

Abstract:

Loading...

45.

Downside Risk in Practice

Journal of Applied Corporate Finance, Vol. 18, No. 1, pp. 117-125, Winter 2006
Number of pages: 11 Posted: 16 Nov 2006
Javier Estrada
IESE Business School
Downloads 26 (649,609)
Citation 1

Abstract:

Loading...

46.

Multifactor Funds: An Early (Bearish) Assessment

Number of pages: 19 Posted: 29 Jun 2022
Javier Estrada
IESE Business School
Downloads 11 (797,908)

Abstract:

Loading...

Factor investing, multifactor funds, value, size, quality, momentum, low vol

47.

The Three‐Factor Model: A Practitioner's Guide

Journal of Applied Corporate Finance, Vol. 23, Issue 2, pp. 77-84, 2011
Number of pages: 10 Posted: 12 Jul 2011
Javier Estrada
IESE Business School
Downloads 4 (837,531)

Abstract:

Loading...

48.

Maximum Withdrawal Rates: A Novel and Useful Tool

Journal of Applied Corporate Finance, Vol. 29, Issue 4, pp. 134-137, 2017
Number of pages: 6 Posted: 21 Feb 2018
Javier Estrada
IESE Business School
Downloads 3 (848,554)
Citation 1

Abstract:

Loading...

49.

Blinded by Growth

Journal of Applied Corporate Finance, Vol. 24, Issue 3, pp. 19-25, 2012
Number of pages: 9 Posted: 13 Oct 2012
Javier Estrada
IESE Business School
Downloads 2 (860,861)
Citation 1

Abstract:

Loading...

50.

Managing to Target (II): Dynamic Adjustments for Retirement Strategies

Journal of Retirement, Vol. 7, No. 4, 2020, https://jor.pm-research.com/content/7/4/28
Posted: 12 Sep 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

Retirement planning; failure rate; coverage ratio

51.

Black Swans in Emerging Markets

Posted: 22 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

Black swans, outliers, emerging markets, performance

52.

Refining the Failure Rate

Posted: 21 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

failure rate, retirement strategies

Abstract:

Loading...

Warren Buffett; Asset Allocation; Glidepath; Retirement

Abstract:

Loading...

Retirement strategies; failure rate; risk-adjusted success; downside risk

Abstract:

Loading...

Maximum Withdrawal Rate; Initial Withdrawal Rate; Retirement; Failure Rate

Abstract:

Loading...

Target-date funds, lifecycle investing, glidepath

Abstract:

Loading...

Glidepath, retirement, asset allocation

58.
Downloads 0 (892,192)
Citation 2

Abstract:

Loading...

portfolio optimization, mean-variance, geometric mean, growth optimal portfolio

59.

Geometric Mean Maximization: Expected, Observed, and Simulated Performance

Posted: 21 May 2019
Rafael De Santiago and Javier Estrada
University of Navarra - IESE Business School and IESE Business School
Downloads 0 (892,192)

Abstract:

Loading...

Abstract:

Loading...

risk, holding period, time diversification, asset allocation

Abstract:

Loading...

Risk, holding period, lower-tail terminal wealth, time diversification

62.

Buffett's Asset Allocation Advice: Take it ... With a Twist

Posted: 20 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

Asset allocation, withdrawal strategies, warren buffett,

63.

Alternatives: How? How Much? Why?

Posted: 20 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

64.

The Bucket Approach for Retirement: A Suboptimal Behavioral Trick?

https://joi.pm-research.com/content/28/5/54
Posted: 08 Dec 2018
Javier Estrada
IESE Business School

Abstract:

Loading...

Retirement strategies; bucket approach; static asset allocations; rebalancing

Abstract:

Loading...

emerging markets, project evaluation, discount rates

66.

Mean-Semivariance Behavior: A Note

Posted: 06 Jun 2003
Javier Estrada
IESE Business School

Abstract:

Loading...

Expected utility, Downside risk, Semideviation, Mean-Variance Behavior

67.

Insider Trading: Regulation, Deregulation, and Taxation

Posted: 27 Oct 1999
Javier Estrada
IESE Business School

Abstract:

Loading...

68.

A (Very) Brief Introduction to Shazam

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

Loading...

69.

Stock Pricing: Coca-Cola

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

Loading...

70.

Empirical Evidence on the Impact of European Insider Trading Regulations

Posted: 13 Jul 1998
Javier Estrada and Juan Ignacio Peña
IESE Business School and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

Loading...

71.

The Distribution of Sentences in Tax-Related Cases: Explaining Success Rates

Posted: 18 Jul 1997
Javier Estrada and Santos Pastor
IESE Business School and Universidad Carlos III de Madrid - Department of Economics

Abstract:

Loading...

Insider Trading: Regulation, Securities Markets, and Welfare Under Risk Aversion

THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 35 No. 4, Winter 1995
Posted: 19 Jan 1996
Javier Estrada
IESE Business School

Abstract:

Loading...

Insider Trading: Regulation, Securities Markets, and Welfare Under Risk Aversion

Working Paper 95-09-05
Posted: 18 May 1995
Javier Estrada
IESE Business School

Abstract:

Loading...