Author Page for K. Geert Rouwenhorst

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Downloads 38,743 ( 54)

2

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Yale ICF Working Paper No. 08-03

Number of pages: 47 Posted: 28 Dec 1998 Last Revised: 24 Jan 2008

Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst

Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 38,743 (54)

Citation 32

Abstract:

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

The Review of Financial Studies, Vol. 19, Issue 3, pp. 797-827, 2006

Posted: 29 Feb 2008

Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst

Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Abstract:

2.

Facts and Fantasies About Commodity Futures

Downloads 28,642 ( 93)

Citation 110

3

Facts and Fantasies About Commodity Futures

Number of pages: 41 Posted: 29 Jun 2004

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

Downloads 27,820 (96)

Citation 16

Abstract:

Facts and Fantasies About Commodity Futures

NBER Working Paper No. w10595

Number of pages: 41 Posted: 25 May 2006 Last Revised: 15 Dec 2021

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

Downloads 822 (38,287)

Citation 48

Abstract:

Facts and Fantasies About Commodity Futures

Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006

Posted: 23 May 2006

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

Abstract:

3.

The Fundamentals of Commodity Futures Returns

Downloads 15,024 ( 307)

Citation 160

2

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08

Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012

Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst

Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Downloads 14,697 (309)

Citation 34

Abstract:

The Fundamentals of Commodity Futures Returns

NBER Working Paper No. w13249

Number of pages: 63 Posted: 13 Jul 2007 Last Revised: 15 Sep 2021

Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst

Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Downloads 327 (120,054)

Citation 58

Abstract:

4.

Behavioral Factors in Mutual Fund Flows

Number of pages: 42 Posted: 02 Mar 2000

Massimo Massa, William N. Goetzmann and K. Geert Rouwenhorst

INSEAD - Finance, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 6,964 (1,249)

Citation 34

Abstract:

5.

The Origins of Mutual Funds

Number of pages: 33 Posted: 16 Dec 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 6,630 (1,359)

Abstract:

6.

Global Real Estate Markets: Cycles and Fundamentals

Downloads 6,601 ( 1,373)

Citation 17

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Global Real Estate Markets: Cycles and Fundamentals

Yale ICF Working Paper No. 99-03

Number of pages: 23 Posted: 05 Apr 1999

Brad Case, William N. Goetzmann and K. Geert Rouwenhorst

Fannie Mae, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 6,354 (1,443)

Citation 17

Abstract:

Global Real Estate Markets - Cycles and Fundamentals

NBER Working Paper No. w7566

Number of pages: 23 Posted: 11 Jul 2000 Last Revised: 05 Sep 2021

Brad Case, William N. Goetzmann and K. Geert Rouwenhorst

Fannie Mae, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 247 (160,911)

Citation 3

Abstract:

7.

Long-Term Global Market Correlations

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Citation 134

2

Long-Term Global Market Correlations

Yale ICF Working Paper No. 08-04

Number of pages: 46 Posted: 25 Oct 2001 Last Revised: 24 Jan 2008

William N. Goetzmann, Lingfeng Li and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance

Downloads 6,267 (1,478)

Citation 2

Abstract:

Long-Term Global Market Correlations

NBER Working Paper No. w8612

Number of pages: 52 Posted: 17 Nov 2001 Last Revised: 13 Jan 2022

William N. Goetzmann, Lingfeng Li and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance

Downloads 198 (198,780)

Citation 19

Abstract:

8.

Facts and Fantasies About Commodity Futures Ten Years Later

Downloads 4,173 ( 3,033)

Citation 127

2

Facts and Fantasies About Commodity Futures Ten Years Later

Number of pages: 31 Posted: 27 May 2015

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst

SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Downloads 4,124 (3,043)

Citation 26

Abstract:

Facts and Fantasies About Commodity Futures Ten Years Later

NBER Working Paper No. w21243

Number of pages: 31 Posted: 08 Jun 2015

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst

SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Downloads 49 (506,376)

Citation 66

Abstract:

9.

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Downloads 3,961 ( 3,328)

Citation 19

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Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Yale ICF Working Paper No. 08-21

Number of pages: 42 Posted: 08 Oct 2008 Last Revised: 17 Aug 2013

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst

SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Downloads 3,873 (3,378)

Citation 8

Abstract:

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

NBER Working Paper No. w14424

Number of pages: 37 Posted: 23 Oct 2008 Last Revised: 01 Dec 2021

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst

SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Downloads 88 (371,265)

Citation 2

Abstract:

10.

Day Trading International Mutual Funds: Evidence and Policy Solutions

Downloads 3,810 ( 3,547)

2

Day Trading International Mutual Funds: Evidence and Policy Solutions

Number of pages: 38 Posted: 05 Apr 2000

William N. Goetzmann, Zoran Ivkovich and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

Downloads 3,810 (3,474)

Citation 7

Abstract:

Day Trading International Mutual Funds: Evidence and Policy Solutions

Posted: 11 Jul 2001

William N. Goetzmann, Zoran Ivkovich and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

Abstract:

11.

New Evidence on the First Financial Bubble

Downloads 3,043 ( 5,195)

Citation 10

2

New Evidence on the First Financial Bubble

Journal of Financial Economics, Volume 108, Issue 3, June 2013, Pages 585-607

Number of pages: 81 Posted: 01 Apr 2009 Last Revised: 10 Sep 2019

Rik Frehen, William N. Goetzmann and K. Geert Rouwenhorst

Tilburg University - Department of Finance, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 2,944 (5,383)

Citation 4

Abstract:

New Evidence on the First Financial Bubble

NBER Working Paper No. w15332

Number of pages: 43 Posted: 15 Sep 2009 Last Revised: 24 Nov 2021

Rik Frehen, William N. Goetzmann and K. Geert Rouwenhorst

Tilburg University - Department of Finance, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 99 (344,206)

Abstract:

12.

European Equity Markets and Emu: Are the Differences between Countries Slowly Disappearing?

Number of pages: 13 Posted: 21 Oct 1998

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 2,591 (6,762)

Citation 13

Abstract:

13.

Local Return Factors and Turnover in Emerging Stock Markets

Number of pages: 37 Posted: 01 Sep 1998

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 2,564 (6,894)

Citation 50

Abstract:

14.

International Momentum Strategies

Downloads 1,966 ( 10,576)

2

International Momentum Strategies

Yale ICF Working Paper

Number of pages: 32 Posted: 23 Oct 1996 Last Revised: 22 Feb 2008

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 1,966 (10,363)

Citation 96

Abstract:

International Momentum Strategies

Posted: 08 Jul 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Abstract:

15.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming

Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019

Wenjin Kang, K. Geert Rouwenhorst and Ke Tang

School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

Downloads 1,674 (13,689)

Citation 26

Abstract:

16.

A Note on Erb and Harvey (2005)

Yale ICF Working Paper No. 06-02

Number of pages: 10 Posted: 12 Dec 2005

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

Downloads 1,635 (14,190)

Abstract:

17.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021

Wenjin Kang, K. Geert Rouwenhorst and Ke Tang

School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

Downloads 1,400 (18,045)

Abstract:

18.

Commodity Futures: A Japanese Perspective

Downloads 1,272 ( 20,777)

2

Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27

Number of pages: 25 Posted: 03 Nov 2005

Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst

Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Downloads 723 (45,543)

Abstract:

Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27

Number of pages: 24 Posted: 15 Aug 2006

Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst

Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Downloads 549 (65,189)

Citation 4

Abstract:

19.

The Commodity Futures Risk Premium: 1871–2018

Number of pages: 47 Posted: 20 Sep 2019 Last Revised: 01 Oct 2019

Geetesh Bhardwaj, Rajkumar Janardanan and K. Geert Rouwenhorst

SummerHaven Investment Management, SummerHaven Investment Management and Yale School of Management - International Center for Finance

Downloads 1,070 (26,820)

Citation 2

Abstract:

20.

Commodity Investing

Downloads 974 ( 30,667)

Citation 11

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Commodity Investing

Yale ICF Working Paper No. 06-12

Number of pages: 31 Posted: 08 Jun 2012 Last Revised: 10 Aug 2012

K. Geert Rouwenhorst and Ke Tang

Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

Downloads 974 (30,216)

Citation 11

Abstract:

Commodity Investing

Annual Review of Financial Economics, Vol. 4, pp. 447-467, 2012

Posted: 04 Nov 2012

K. Geert Rouwenhorst and Ke Tang

Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

Abstract:

21.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

NBER Working Paper No. w7032

Number of pages: 35 Posted: 20 Sep 2000 Last Revised: 21 Mar 2021

Evan G. Galev, William N. Goetzmann and K. Geert Rouwenhorst

Yale School of Management, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 742 (44,627)

Abstract:

22.

The Role of Beta and Size in the Cross-Section of European Stock Returns

European Financial Management Vol 4, pp. 9-28, 1999

Number of pages: 37 Posted: 05 Jul 2008

Steven L. Heston, Roberto E. Wessels and K. Geert Rouwenhorst

University of Maryland - Department of Finance, University of Groningen - Faculty of Economics and Business and Yale School of Management - International Center for Finance

Downloads 687 (49,484)

Citation 2

Abstract:

23.

On Commodity Price Limits

Journal of Futures Markets, Forthcoming

Number of pages: 30 Posted: 27 Nov 2017 Last Revised: 12 Jul 2019

Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst

SummerHaven Investment Management, School of Data Science, City University of Hong Kong and Yale School of Management - International Center for Finance

Downloads 350 (112,038)

Abstract:

24.

The First Commodity Futures Index of 1933

Number of pages: 23 Posted: 20 Sep 2019 Last Revised: 25 Jun 2021

Geetesh Bhardwaj, Rajkumar Janardanan and K. Geert Rouwenhorst

SummerHaven Investment Management, SummerHaven Investment Management and Yale School of Management - International Center for Finance

Downloads 115 (308,588)

Citation 1

Abstract:

25.

Investor Interest and the Returns to Commodity Investing

Forthcoming, Journal of Portfolio Management

Number of pages: 20 Posted: 14 Oct 2019

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst

SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Downloads 86 (373,204)

Citation 3

Abstract:

26.

Internet Appendix to 'A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets'

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 2019-09

Number of pages: 14 Posted: 21 May 2019

Wenjin Kang, K. Geert Rouwenhorst and Ke Tang

School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

Downloads 65 (436,423)

Citation 1

Abstract:

27.

International Term Structures and Real Economic Growth

Posted: 24 Dec 2004

Charles I. Plosser and K. Geert Rouwenhorst

Federal Reserve Bank of Philadelphia and Yale School of Management - International Center for Finance

Abstract:

28.

Time to Build and Aggregate Fluctuations

Posted: 24 Dec 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Abstract:

29.

The Structure of International Stock Returns and the Integration of Capital Markets

Posted: 14 Dec 2004

Steven L. Heston, Roberto E. Wessels and K. Geert Rouwenhorst

University of Maryland - Department of Finance, University of Groningen - Faculty of Economics and Business and Yale School of Management - International Center for Finance

Abstract:

30.

Does Industrial Structure Explain the Benefits of International Diversification?

Posted: 14 Dec 2004

Steven L. Heston and K. Geert Rouwenhorst

University of Maryland - Department of Finance and Yale School of Management - International Center for Finance

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Robert B. and Candice J. Haas Professor of Corporate Finance; Deputy Director, International Center for Finance

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