Javier Estrada

IESE Business School

Professor of Finance

IESE Business School

Av. Pearson 21

Barcelona, 08034

Spain

SCHOLARLY PAPERS

72

DOWNLOADS
Rank 1,111

SSRN RANKINGS

Top 1,111

in Total Papers Downloads

42,776

SSRN CITATIONS
Rank 7,684

SSRN RANKINGS

Top 7,684

in Total Papers Citations

124

CROSSREF CITATIONS

101

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 4,455 (4,215)
Citation 6

Abstract:

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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 3,875 (5,312)
Citation 27

Abstract:

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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 2,995 (8,064)
Citation 7

Abstract:

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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 2,853 (8,705)

Abstract:

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

5.
Downloads 2,580 (10,226)
Citation 18

Mean-Semivariance Optimization: A Heuristic Approach

Number of pages: 22 Posted: 07 Nov 2007
Javier Estrada
IESE Business School
Downloads 1,612 (21,108)
Citation 16

Abstract:

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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 968 (44,509)
Citation 7

Abstract:

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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 1,707 (19,665)
Citation 10

Abstract:

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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 1,229 (32,158)
Citation 10

Abstract:

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downside risk, semideviation, asset pricing

8.

Sequence Risk: Is It Really a Big Deal?

Number of pages: 28 Posted: 22 Oct 2020
Javier Estrada
IESE Business School
Downloads 1,156 (35,122)
Citation 2

Abstract:

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

9.

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 1,090 (38,184)
Citation 2

Abstract:

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10.

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 1,048 (40,399)
Citation 29

Abstract:

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11.

Rethinking Risk

Number of pages: 23 Posted: 01 Sep 2013
Javier Estrada
IESE Business School
Downloads 1,004 (42,994)
Citation 5

Abstract:

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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 951 (46,309)

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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 710 (67,701)

Abstract:

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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 224 (252,334)

Abstract:

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14.
Downloads 899 (50,057)
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 479 (111,050)
Citation 1

Abstract:

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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 420 (129,714)
Citation 1

Abstract:

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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

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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

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Beta, Risk, Index funds, ETFs, Black Swan

15.

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 858 (53,402)
Citation 1

Abstract:

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16.

Multiples, Forecasting, and Asset Allocation

Number of pages: 12 Posted: 16 Apr 2015
Javier Estrada
IESE Business School
Downloads 834 (55,492)

Abstract:

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Multiples; forecasting; asset allocation; CAPE; value investing

17.

Fundamental Indexation and International Diversification

Number of pages: 23 Posted: 05 Dec 2006
Javier Estrada
IESE Business School
Downloads 817 (57,040)
Citation 13

Abstract:

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fundamental indexation, international diversification, portfolio management

18.

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 730 (66,311)

Abstract:

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19.

The Pricing of Internet Stocks (Ii)

Number of pages: 11 Posted: 15 Feb 2001
Javier Estrada
IESE Business School
Downloads 719 (67,582)

Abstract:

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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
Charles III University of Madrid - Department of Statistics and Econometrics and IESE Business School
Downloads 707 (69,072)
Citation 10

Abstract:

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21.

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 682 (72,358)
Citation 1

Abstract:

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

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 679 (72,744)
Citation 6

Abstract:

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

23.

Black Swans, Market Timing, and the Dow

Number of pages: 8 Posted: 26 Jan 2008
Javier Estrada
IESE Business School
Downloads 667 (74,414)
Citation 3

Abstract:

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Black swans, outliers, performance, normality

24.

The Enhanced Risk Premium Factor Model & Expected Returns

Number of pages: 16 Posted: 08 Nov 2012
Javier Estrada
IESE Business School
Downloads 656 (75,995)

Abstract:

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

25.

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 637 (78,831)
Citation 2

Abstract:

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

26.

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 598 (85,336)
Citation 4

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27.

Retirement Planning: From Z to A

Number of pages: 21 Posted: 30 Jun 2020
Javier Estrada
IESE Business School
Downloads 541 (96,833)
Citation 1

Abstract:

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Retirement planning; financial planning; Monte Carlo

28.

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 540 (97,066)
Citation 6

Abstract:

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29.

Investing in Emerging Markets: A Black Swan Perspective

Number of pages: 10 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 538 (97,538)
Citation 1

Abstract:

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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 256 (221,299)
Citation 3

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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 218 (258,852)
Citation 1

Abstract:

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31.

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 474 (113,651)
Citation 6

Abstract:

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downside risk, semideviation, asset pricing

32.

The Fed Model: A Note

Number of pages: 11 Posted: 10 Nov 2005
Javier Estrada
IESE Business School
Downloads 460 (117,789)
Citation 7

Abstract:

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Fed model, stock pricing, p/e ratios

33.
Downloads 453 (119,963)
Citation 2

Factor Tilts and Asset Allocation

Number of pages: 14 Posted: 20 Nov 2019
Javier Estrada
IESE Business School
Downloads 331 (169,396)
Citation 2

Abstract:

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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 122 (425,748)

Abstract:

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Factor Tilts, Asset Allocation, Factor Investing

34.

Hilton Hotels, Corp.

Number of pages: 4 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 405 (136,585)

Abstract:

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35.

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 389 (142,996)
Citation 2

Abstract:

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36.

Multifactor Funds: An Early (Bearish) Assessment

Number of pages: 19 Posted: 29 Jun 2022
Javier Estrada
IESE Business School
Downloads 356 (157,778)
Citation 2

Abstract:

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

37.

No Hedge Funds, No Cry

Number of pages: 10 Posted: 02 Apr 2021
Javier Estrada
IESE Business School
Downloads 340 (165,820)
Citation 1

Abstract:

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

38.

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 339 (166,860)
Citation 4

Abstract:

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

39.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Javier Estrada
IESE Business School
Downloads 333 (169,522)
Citation 2

Abstract:

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

40.

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 290 (196,174)

Abstract:

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

41.

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 263 (216,584)

Abstract:

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Portfolio management, Country versus industries, Europe

42.

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 244 (233,190)
Citation 2

Abstract:

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

43.

Managing to Target: Dynamic Adjustments for Accumulation Strategies

Number of pages: 15 Posted: 06 Nov 2019
Javier Estrada
IESE Business School
Downloads 237 (240,021)
Citation 4

Abstract:

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retirement planning; accumulation strategies

44.

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 233 (243,957)

Abstract:

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45.

Retirement Planning: Is One Number Enough?

IESE Business School Working Paper No. 4389325
Number of pages: 19 Posted: 21 Mar 2023
Javier Estrada
IESE Business School
Downloads 225 (252,219)

Abstract:

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retirement planning; coverage ratio; failure rate

46.

Multifactor Funds vs. Homemade Factor Diversification Strategies

IESE Business School Working Paper No. 4487611
Number of pages: 14 Posted: 26 Jun 2023
Javier Estrada
IESE Business School
Downloads 144 (373,246)

Abstract:

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

47.

Retirement Planning: The Volatility-Adjusted Coverage Ratio

Number of pages: 21 Posted: 22 Nov 2023
Javier Estrada
IESE Business School
Downloads 64 (636,625)

Abstract:

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Retirement planning; coverage ratio; failure rate; volatility; volatility-adjusted coverage ratio

48.

Blinded by Growth

Journal of Applied Corporate Finance, Vol. 24, Issue 3, pp. 19-25, 2012
Number of pages: 9 Posted: 01 Mar 2023
Javier Estrada
IESE Business School
Downloads 57 (673,771)
Citation 1

Abstract:

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49.

Retirement Planning: From A to Z and From Z to A

Number of pages: 21 Posted: 25 Apr 2024
Javier Estrada
IESE Business School
Downloads 17 (986,816)
Citation 1

Abstract:

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Retirement planning; failure rate; coverage ratio

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:

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Retirement planning; failure rate; coverage ratio

51.

Black Swans in Emerging Markets

Posted: 22 May 2019
Javier Estrada
IESE Business School

Abstract:

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Black swans, outliers, emerging markets, performance

52.

Refining the Failure Rate

Posted: 21 May 2019
Javier Estrada
IESE Business School

Abstract:

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failure rate, retirement strategies

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Warren Buffett; Asset Allocation; Glidepath; Retirement

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

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

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Target-date funds, lifecycle investing, glidepath

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Glidepath, retirement, asset allocation

58.
Downloads 0 (1,141,078)
Citation 2

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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 (1,141,078)

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risk, holding period, time diversification, asset allocation

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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

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Asset allocation, withdrawal strategies, warren buffett,

63.

Alternatives: How? How Much? Why?

Posted: 20 May 2019
Javier Estrada
IESE Business School

Abstract:

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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

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Retirement strategies; bucket approach; static asset allocations; rebalancing

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emerging markets, project evaluation, discount rates

66.

Mean-Semivariance Behavior: A Note

Posted: 06 Jun 2003
Javier Estrada
IESE Business School

Abstract:

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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:

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68.

A (Very) Brief Introduction to Shazam

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

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69.

Stock Pricing: Coca-Cola

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

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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

Abstract:

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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 Charles III University of Madrid - Department of Economics

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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

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

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

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