Javier Estrada

IESE Business School

Professor of Finance

IESE Business School

Av. Pearson 21

Barcelona, 08034

Spain

SCHOLARLY PAPERS

66

DOWNLOADS
Rank 810

SSRN RANKINGS

Top 810

in Total Papers Downloads

30,715

SSRN CITATIONS
Rank 6,322

SSRN RANKINGS

Top 6,322

in Total Papers Citations

58

CROSSREF CITATIONS

121

Scholarly Papers (66)

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 4,137 (2,336)
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 3,352 (3,332)
Citation 17

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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 2,878 (4,326)
Citation 5

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4.
Downloads 1,288 ( 16,065)
Citation 10

Mean-Semivariance Optimization: A Heuristic Approach

Number of pages: 22 Posted: 07 Nov 2007
Javier Estrada
IESE Business School
Downloads 1,033 (21,985)
Citation 15

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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 255 (128,299)

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5.

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 1,135 (19,443)
Citation 2

Abstract:

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retirement strategies; failure rate; coverage ratio; asset allocation

6.

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 1,131 (19,541)
Citation 8

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downside risk, semideviation, asset pricing

7.

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 969 (24,596)

Abstract:

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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 931 (26,013)
Citation 26

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9.

Repsol-Ypf: Valuation in Emerging Markets

Number of pages: 19 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 902 (27,238)

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10.

Rethinking Risk

Number of pages: 23 Posted: 01 Sep 2013
Javier Estrada
IESE Business School
Downloads 881 (28,178)
Citation 5

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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 661 (41,175)

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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 192 (169,091)

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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 (702,160)
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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 800 (32,291)
Citation 1

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13.

Fundamental Indexation and International Diversification

Number of pages: 23 Posted: 05 Dec 2006
Javier Estrada
IESE Business School
Downloads 732 (36,437)
Citation 11

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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 708 (38,065)

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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 692 (39,296)

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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 692 (39,296)

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17.
Downloads 656 ( 42,224)
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 415 (74,525)
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 241 (135,898)

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

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 625 (45,060)
Citation 8

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19.

The Enhanced Risk Premium Factor Model & Expected Returns

Number of pages: 16 Posted: 08 Nov 2012
Javier Estrada
IESE Business School
Downloads 595 (48,052)

Abstract:

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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 561 (51,773)
Citation 2

Abstract:

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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 554 (52,585)
Citation 3

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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 549 (53,162)
Citation 2

Abstract:

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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 527 (56,049)
Citation 1

Abstract:

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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 (58,271)
Citation 6

Abstract:

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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 480 (62,985)
Citation 1

Abstract:

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

26.

Investing in Emerging Markets: A Black Swan Perspective

Number of pages: 10 Posted: 29 Nov 2008
Javier Estrada
IESE Business School
Downloads 440 (70,059)
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 222 (147,364)
Citation 3

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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 (164,320)
Citation 1

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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 414 (75,434)
Citation 6

Abstract:

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downside risk, semideviation, asset pricing

29.

The Fed Model: A Note

Number of pages: 11 Posted: 10 Nov 2005
Javier Estrada
IESE Business School
Downloads 397 (79,140)
Citation 5

Abstract:

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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 (86,433)
Citation 2

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31.

Hilton Hotels, Corp.

Number of pages: 4 Posted: 01 Aug 2002
Javier Estrada
IESE Business School
Downloads 354 (90,375)

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32.

From Failure to Success: Replacing the Failure Rate

Number of pages: 15 Posted: 19 Apr 2017
Javier Estrada
IESE Business School
Downloads 263 (124,754)

Abstract:

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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 (147,112)

Abstract:

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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 181 (178,378)
Citation 1

Abstract:

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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 162 (196,396)

Abstract:

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36.

Managing to Target: Dynamic Adjustments for Accumulation Strategies

Number of pages: 15 Posted: 06 Nov 2019
Javier Estrada
IESE Business School
Downloads 142 (219,029)
Citation 1

Abstract:

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retirement planning; accumulation strategies

37.

Factor Tilts and Asset Allocation

Number of pages: 14 Posted: 20 Nov 2019
Javier Estrada
IESE Business School
Downloads 106 (272,572)

Abstract:

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factors, smart beta, risk minimization, return maximization

38.

Target-Date Funds, Glidepaths, and Risk Aversion

Number of pages: 14 Posted: 14 May 2020
Javier Estrada
IESE Business School
Downloads 49 (418,074)

Abstract:

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

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 (520,641)
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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 (544,546)
Citation 1
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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 (671,626)
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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 (681,085)
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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 (693,134)
Citation 1
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44.

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

45.

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

46.

Refining the Failure Rate

Posted: 21 May 2019
Javier Estrada
IESE Business School

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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

52.
Downloads 0 (711,284)
Citation 2

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

53.

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 (711,284)

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risk, holding period, time diversification, asset allocation

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

56.

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,

57.

Alternatives: How? How Much? Why?

Posted: 20 May 2019
Javier Estrada
IESE Business School

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58.

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

60.

Mean-Semivariance Behavior: A Note

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

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

61.

Insider Trading: Regulation, Deregulation, and Taxation

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

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62.

A (Very) Brief Introduction to Shazam

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

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63.

Stock Pricing: Coca-Cola

Posted: 26 Feb 1999
Javier Estrada
IESE Business School

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64.

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

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65.

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

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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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