Javier Estrada

IESE Business School

Professor of Finance

IESE Business School

Av. Pearson 21

Barcelona, 08034

Spain

SCHOLARLY PAPERS

57

DOWNLOADS
Rank 534

SSRN RANKINGS

Top 534

in Total Papers Downloads

31,546

CITATIONS
Rank 2,577

SSRN RANKINGS

Top 2,577

in Total Papers Citations

217

Scholarly Papers (57)

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 3,645 (1,714)
Citation 8

Abstract:

outliers, performance, normality, market timing, alpha

2.

Valuation in Emerging Markets

Forthcoming in Emerging Markets Review
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 2,786 (3,189)
Citation 10

Abstract:

3.

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 2,586 (2,900)
Citation 46

Abstract:

4.

Mean-Semivariance Behavior (II): The D-CAPM

EFMA 2002 London Meetings; IESE Working Paper No. D/493
Number of pages: 20 Posted: 12 Apr 2002
Javier Estrada
IESE Business School
Downloads 959 (16,260)
Citation 5

Abstract:

downside risk, semideviation, asset pricing

5.
Downloads 934 ( 19,274)
Citation 7

Mean-Semivariance Optimization: A Heuristic Approach

Number of pages: 22 Posted: 07 Nov 2007
Javier Estrada
IESE Business School
Downloads 810 (23,400)
Citation 7

Abstract:

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 124 (192,785)
Citation 7

Abstract:

6.

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

EFMA 2003 Helsinki Meetings
Number of pages: 17 Posted: 06 May 2003
Javier Estrada
IESE Business School
Downloads 879 (20,055)

Abstract:

7.

Repsol-YPF: Valuation in Emerging Markets

Number of pages: 19 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 845 (21,257)
Citation 1

Abstract:

8.

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 836 (21,550)
Citation 45

Abstract:

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 641 (32,459)

Abstract:

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 178 (141,827)

Abstract:

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 3 (560,338)
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Abstract:

10.

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 745 (25,826)
Citation 2

Abstract:

11.

Rethinking Risk

Number of pages: 23 Posted: 01 Sep 2013
Javier Estrada
IESE Business School
Downloads 683 (24,829)

Abstract:

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

12.

The Pricing of Internet Stocks (II)

Number of pages: 11 Posted: 15 Feb 2001
Javier Estrada
IESE Business School
Downloads 672 (30,111)
Citation 2

Abstract:

13.

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 666 (30,854)

Abstract:

14.

Fundamental Indexation and International Diversification

Number of pages: 23 Posted: 05 Dec 2006
Javier Estrada
IESE Business School
Downloads 641 (29,513)
Citation 9

Abstract:

fundamental indexation, international diversification, portfolio management

15.

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 582 (35,506)

Abstract:

16.
Downloads 528 ( 42,523)

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 388 (61,700)

Abstract:

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 140 (174,833)

Abstract:

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:

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:

Beta, Risk, Index funds, ETFs, Black Swan

17.

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 and Ana Paula Serra
IESE Business School and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 527 (41,228)
Citation 9

Abstract:

18.

Geometric Mean Maximization: An Overlooked Portfolio Approach?

Number of pages: 31 Posted: 30 Jul 2009
Javier Estrada
IESE Business School
Downloads 526 (34,036)
Citation 2

Abstract:

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

19.

The Glidepath Illusion: An International Perspective

Number of pages: 26 Posted: 22 Feb 2013
Javier Estrada
IESE Business School
Downloads 508 (31,195)

Abstract:

Target-date funds, lifecycle investing, glidepath

20.

The Enhanced Risk Premium Factor Model & Expected Returns

Number of pages: 16 Posted: 08 Nov 2012
Javier Estrada
IESE Business School
Downloads 504 (39,744)

Abstract:

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

21.

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 487 (45,437)
Citation 12

Abstract:

22.

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

Number of pages: 29 Posted: 21 Jan 2006
Javier Estrada
IESE Business School
Downloads 485 (44,321)
Citation 8

Abstract:

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

23.

Stocks, Bonds, Risk, and the Holding Period: An International Perspective

Number of pages: 27 Posted: 12 Dec 2011
Javier Estrada
IESE Business School
Downloads 476 (38,232)
Citation 1

Abstract:

risk, holding period, time diversification, asset allocation

24.

Black Swans, Market Timing, and the Dow

Number of pages: 8 Posted: 26 Jan 2008
Javier Estrada
IESE Business School
Downloads 472 (43,697)
Citation 6

Abstract:

Black swans, outliers, performance, normality

25.

Black Swans in Emerging Markets

Number of pages: 10 Posted: 04 Sep 2008
Javier Estrada
IESE Business School
Downloads 449 (48,209)
Citation 4

Abstract:

Black swans, outliers, 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 213 (119,633)
Citation 7

Abstract:

Countries versus Industries in Emerging Markets: A Normative Portfolio Approach

EFMA 2004 Basel Meetings Paper
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 198 (128,455)
Citation 7

Abstract:

27.

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 384 (56,095)

Abstract:

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

28.

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 379 (60,832)
Citation 6

Abstract:

downside risk, semideviation, asset pricing

29.

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 350 (67,793)
Citation 4

Abstract:

30.

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 343 (55,415)
Citation 1

Abstract:

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

31.

Hilton Hotels, Corp.

Number of pages: 4 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 338 (72,444)

Abstract:

32.

The Fed Model: A Note

Number of pages: 11 Posted: 10 Nov 2005
Javier Estrada
IESE Business School
Downloads 313 (69,127)
Citation 4

Abstract:

Fed model, stock pricing, p/e ratios

33.

Investing in Emerging Markets: A Black Swan Perspective

Number of pages: 10 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 302 (66,086)
Citation 2

Abstract:

Black swans, outliers, normality, emerging markets, performance

34.

Multiples, Forecasting, and Asset Allocation

Number of pages: 12 Posted: 16 Apr 2015
Javier Estrada
IESE Business School
Downloads 239 (42,224)

Abstract:

Multiples; forecasting; asset allocation; CAPE; value investing

35.

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 200 (121,713)
Citation 6

Abstract:

Portfolio management, Country versus industries, Europe

36.

Rethinking Risk (II): The Size and Value Effects

Number of pages: 10 Posted: 24 Jul 2014
Javier Estrada
IESE Business School
Downloads 173 (114,212)

Abstract:

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

37.

Geometric Mean Maximization: Expected, Observed, and Simulated Performance

Number of pages: 19 Posted: 04 Aug 2011
Rafael De Santiago and Javier Estrada
University of Navarra - IESE Business School and IESE Business School
Downloads 113 (141,184)

Abstract:

38.

The Retirement Glidepath: An International Perspective

Number of pages: 33 Posted: 29 Jan 2015
Javier Estrada
IESE Business School
Downloads 112 (80,364)

Abstract:

Glidepath, retirement, asset allocation

39.

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 26 (418,825)
Citation 4
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Abstract:

40.

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 20 (444,252)
Citation 6
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Abstract:

41.

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 3 (534,483)
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Abstract:

42.

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 1 (551,514)
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Abstract:

43.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Javier Estrada
IESE Business School
Downloads 0 (311,371)

Abstract:

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

44.

Maximum Withdrawal Rates: An Empirical and Global Perspective

Number of pages: 21 Posted: 09 Feb 2017
Javier Estrada
IESE Business School
Downloads 0 (400,598)

Abstract:

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

45.

Refining the Failure Rate

Number of pages: 17 Posted: 13 Oct 2016
Javier Estrada
IESE Business School
Downloads 0 (63,033)

Abstract:

failure rate, retirement strategies

46.

Global Asset Allocation in Retirement: Buffett's Advice and a Simple Twist

Number of pages: 20 Posted: 26 Jul 2016
Javier Estrada
IESE Business School
Downloads 0 (69,332)

Abstract:

Warren Buffett; Asset Allocation; Glidepath; Retirement

47.

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 Mary Cosio, Javier Estrada and Mark Kritzman
UBS AG - UBS Wealth Management, IESE Business School and Windham Capital Management
Downloads 0 (244,340)

Abstract:

48.

Alternatives: How? How Much? Why?

Number of pages: 16 Posted: 03 May 2016
Javier Estrada
IESE Business School
Downloads 0 (301,097)

Abstract:

49.

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

Number of pages: 10 Posted: 26 Oct 2015
Javier Estrada
IESE Business School
Downloads 0 (14,029)

Abstract:

Asset allocation, withdrawal strategies, warren buffett,

Abstract:

emerging markets, project evaluation, discount rates

51.

Mean-Semivariance Behavior: A Note

Finance Letters, Vol. 1, No. 1, 2003
Posted: 06 Jun 2003
Javier Estrada
IESE Business School

Abstract:

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

52.

Insider Trading: Regulation, Deregulation, And Taxation

THE SWISS REVIEW OF BUSINESS LAW, May 1994, 209
Posted: 27 Oct 1999
Javier Estrada
IESE Business School

Abstract:

53.

A (Very) Brief Introduction to Shazam

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

54.

Stock Pricing: Coca-Cola

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

55.

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:

56.

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:

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:

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: