Javier Estrada

IESE Business School

Professor of Finance

IESE Business School

Av. Pearson 21

Barcelona, 08034

Spain

SCHOLARLY PAPERS

65

DOWNLOADS
Rank 773

SSRN RANKINGS

Top 773

in Total Papers Downloads

30,082

SSRN CITATIONS
Rank 6,032

SSRN RANKINGS

Top 6,032

in Total Papers Citations

53

CROSSREF CITATIONS

120

Scholarly Papers (65)

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 4,085 (2,220)
Citation 5

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 3,303 (3,202)
Citation 16

Abstract:

Loading...

3.

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 2,869 (4,073)
Citation 5

Abstract:

Loading...

4.
Downloads 1,224 ( 16,440)
Citation 8

Mean-Semivariance Optimization: A Heuristic Approach

Number of pages: 22 Posted: 07 Nov 2007
Javier Estrada
IESE Business School
Downloads 1,005 (21,677)
Citation 13

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 219 (142,425)

Abstract:

Loading...

5.

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 1,109 (19,066)
Citation 7

Abstract:

Loading...

downside risk, semideviation, asset pricing

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 959 (23,617)

Abstract:

Loading...

7.

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 936 (24,484)
Citation 1

Abstract:

Loading...

retirement strategies; failure rate; coverage ratio; asset allocation

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 909 (25,546)
Citation 25

Abstract:

Loading...

9.

Repsol-Ypf: Valuation in Emerging Markets

Number of pages: 19 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 898 (26,006)

Abstract:

Loading...

10.

Rethinking Risk

Number of pages: 23 Posted: 01 Sep 2013
Javier Estrada
IESE Business School
Downloads 869 (27,194)
Citation 5

Abstract:

Loading...

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

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 659 (39,154)

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 189 (163,765)

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 3 (673,967)
  • Add to Cart

Abstract:

Loading...

12.

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 793 (30,956)
Citation 1

Abstract:

Loading...

13.

Fundamental Indexation and International Diversification

Number of pages: 23 Posted: 05 Dec 2006
Javier Estrada
IESE Business School
Downloads 726 (34,915)
Citation 11

Abstract:

Loading...

fundamental indexation, international diversification, portfolio management

14.

Multiples, Forecasting, and Asset Allocation

Number of pages: 12 Posted: 16 Apr 2015
Javier Estrada
IESE Business School
Downloads 693 (37,191)

Abstract:

Loading...

Multiples; forecasting; asset allocation; CAPE; value investing

15.

The Pricing of Internet Stocks (Ii)

Number of pages: 11 Posted: 15 Feb 2001
Javier Estrada
IESE Business School
Downloads 690 (37,424)

Abstract:

Loading...

16.

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 686 (37,705)

Abstract:

Loading...

17.
Downloads 636 ( 41,724)

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 410 (71,943)

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 226 (138,043)

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

18.

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 623 (42,901)
Citation 8

Abstract:

Loading...

19.

The Enhanced Risk Premium Factor Model & Expected Returns

Number of pages: 16 Posted: 08 Nov 2012
Javier Estrada
IESE Business School
Downloads 588 (46,297)

Abstract:

Loading...

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

20.

Black Swans, Market Timing, and the Dow

Number of pages: 8 Posted: 26 Jan 2008
Javier Estrada
IESE Business School
Downloads 555 (49,819)
Citation 2

Abstract:

Loading...

Black swans, outliers, performance, normality

21.

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 553 (50,040)
Citation 2

Abstract:

Loading...

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 542 (51,305)
Citation 5

Abstract:

Loading...

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

23.

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 518 (54,388)
Citation 1

Abstract:

Loading...

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

24.

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 511 (55,340)
Citation 5

Abstract:

Loading...

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 468 (61,815)
Citation 1

Abstract:

Loading...

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

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 220 (141,772)
Citation 2

Abstract:

Loading...

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 (156,856)

Abstract:

Loading...

27.

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 412 (72,183)
Citation 5

Abstract:

Loading...

downside risk, semideviation, asset pricing

28.

Investing in Emerging Markets: A Black Swan Perspective

Number of pages: 10 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 410 (72,627)
Citation 1

Abstract:

Loading...

Black swans, outliers, normality, emerging markets, performance

29.

The Fed Model: A Note

Number of pages: 11 Posted: 10 Nov 2005
Javier Estrada
IESE Business School
Downloads 390 (76,888)
Citation 4

Abstract:

Loading...

Fed model, stock pricing, p/e ratios

30.

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 368 (82,238)
Citation 2

Abstract:

Loading...

31.

Hilton Hotels, Corp.

Number of pages: 4 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 352 (86,575)

Abstract:

Loading...

32.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Javier Estrada
IESE Business School
Downloads 250 (125,334)

Abstract:

Loading...

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

33.

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 223 (140,313)

Abstract:

Loading...

Portfolio management, Country versus industries, Europe

34.

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 163 (186,612)
Citation 1

Abstract:

Loading...

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

35.

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 152 (198,004)

Abstract:

Loading...

36.

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

Number of pages: 16 Posted: 12 Sep 2019
Javier Estrada
IESE Business School
Downloads 139 (213,041)

Abstract:

Loading...

Retirement planning; failure rate; coverage ratio

37.

Managing to Target: Dynamic Adjustments for Accumulation Strategies

Number of pages: 15 Posted: 06 Nov 2019
Javier Estrada
IESE Business School
Downloads 119 (240,155)
Citation 1

Abstract:

Loading...

retirement planning; accumulation strategies

38.

Factor Tilts and Asset Allocation

Number of pages: 14 Posted: 20 Nov 2019
Javier Estrada
IESE Business School
Downloads 38 (446,960)

Abstract:

Loading...

factors, smart beta, risk minimization, return maximization

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 (499,523)
  • Add to Cart

Abstract:

Loading...

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 22 (522,461)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 (644,206)
  • Add to Cart

Abstract:

Loading...

42.

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 2 (653,684)
  • Add to Cart

Abstract:

Loading...

43.

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 (665,607)
  • Add to Cart

Abstract:

Loading...

44.

Black Swans in Emerging Markets

Posted: 22 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

Black swans, outliers, emerging markets, performance

45.

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

51.
Downloads 0 (682,448)
Citation 2

Abstract:

Loading...

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

52.

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 (682,448)

Abstract:

Loading...

Abstract:

Loading...

risk, holding period, time diversification, asset allocation

Abstract:

Loading...

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

55.

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,

56.

Alternatives: How? How Much? Why?

Posted: 20 May 2019
Javier Estrada
IESE Business School

Abstract:

Loading...

57.

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

59.

Mean-Semivariance Behavior: A Note

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

Abstract:

Loading...

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

60.

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:

Loading...

61.

A (Very) Brief Introduction to Shazam

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

Loading...

62.

Stock Pricing: Coca-Cola

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

Abstract:

Loading...

63.

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...

64.

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...