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

165 Whitney Avenue

P.O. Box 208200

New Haven, CT 06520-8200

United States

  • Yale School of Management - International Center for Finance

    • Email
    • Tel: 203-432-6046
    • Fax: 203-432-8931
SCHOLARLY PAPERS

31

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155,608

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Top 833

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849

Scholarly Papers (31)

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1.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Downloads 47,581 ( 63)
Citation 32

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 47,581 (64)
Citation 32

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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

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2.

Facts and Fantasies About Commodity Futures

Downloads 30,180 ( 169)
Citation 82

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 29,201 (171)
Citation 34

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Facts and Fantasies About Commodity Futures

NBER Working Paper No. w10595
Number of pages: 41 Posted: 25 May 2006 Last Revised: 15 Dec 2022
Gary B. Gorton and K. Geert Rouwenhorst
Yale School of Management and Yale School of Management - International Center for Finance
Downloads 979 (49,155)
Citation 48

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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

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Derivative Instruments, Commodity Derivatives, Alternative Investments, Commodities, Portfolio Management, Asset Allocation

3.

The Fundamentals of Commodity Futures Returns

Downloads 16,006 ( 541)
Citation 131

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 15,566 (555)
Citation 34

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Commodity, Futures, Theory of Storage, Inventories, Backwardation, Hedging Pressure, Futures Trading

The Fundamentals of Commodity Futures Returns

NBER Working Paper No. w13249
Number of pages: 63 Posted: 13 Jul 2007 Last Revised: 15 Sep 2022
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 440 (137,948)
Citation 97

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4.

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 8,848 (1,471)

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5.

Global Real Estate Markets: Cycles and Fundamentals

Downloads 6,925 ( 2,219)
Citation 22

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 6,612 (2,368)
Citation 19

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Global Real Estate Markets - Cycles and Fundamentals

NBER Working Paper No. w7566
Number of pages: 23 Posted: 11 Jul 2000 Last Revised: 30 Mar 2022
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 313 (201,855)
Citation 3

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6.

Long-Term Global Market Correlations

Downloads 6,642 ( 2,384)
Citation 48

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 6,355 (2,542)
Citation 2

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Long-Term Global Market Correlations

NBER Working Paper No. w8612
Number of pages: 52 Posted: 17 Nov 2001 Last Revised: 15 Jul 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 287 (221,465)
Citation 46

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7.

Facts and Fantasies About Commodity Futures Ten Years Later

Downloads 4,831 ( 4,172)
Citation 122

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
Walleye Capital, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 4,677 (4,352)
Citation 26

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Futures Trading, Contango, Backwardation, Basis, Speculators, Hedgers, Risk Premium, Financialization, Time-varying Correlations

Facts and Fantasies About Commodity Futures Ten Years Later

NBER Working Paper No. w21243
Number of pages: 31 Posted: 08 Jun 2015 Last Revised: 19 Jul 2023
Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst
Walleye Capital, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 154 (400,832)
Citation 96

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8.

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

Downloads 4,199 ( 5,247)
Citation 20

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
Walleye Capital, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 4,028 (5,489)
Citation 6

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Commodity Trading Advisors, CTA, Hedge Funds, Performance Measurement

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 2022
Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst
Walleye Capital, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 171 (365,766)
Citation 14

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9.

Day Trading International Mutual Funds: Evidence and Policy Solutions

Downloads 3,901 ( 5,902)
Citation 17

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 3,901 (5,780)
Citation 17

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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

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10.

New Evidence on the First Financial Bubble

Downloads 3,730 ( 6,385)
Citation 11

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 3,575 (6,718)
Citation 11

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New Evidence on the First Financial Bubble

NBER Working Paper No. w15332
Number of pages: 43 Posted: 15 Sep 2009 Last Revised: 25 May 2023
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 155 (398,579)

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11.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021
Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 2,879 (9,616)

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Crowding, Factor Investing, Carry, Momentum, Value, Commodity Futures, Commodities

12.

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
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 2,739 (10,443)
Citation 80

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Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

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 2,695 (10,728)
Citation 71

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14.

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 2,658 (10,929)
Citation 14

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15.

International Momentum Strategies

Downloads 2,447 (12,459)
Citation 163

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 2,447 (12,220)
Citation 163

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International Momentum Strategies

Posted: 08 Jul 2004
K. Geert Rouwenhorst
Yale School of Management - International Center for Finance

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international equity markets, momentum, underreaction, trading strategies

16.

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
Walleye Capital, SummerHaven Investment Management and Yale School of Management - International Center for Finance
Downloads 1,881 (19,050)
Citation 5

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Commodity Futures, Commodity Risk Premium, Survival, Contract Failure, Momentum, Backwardation, Commodity Factors, Long-term data

17.

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 1,712 (22,015)

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Commodity, commodities, futures, diversification

18.

Commodity Futures: A Japanese Perspective

Downloads 1,385 (30,294)
Citation 4

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 791 (65,774)

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commodities, futures, commodity, index, diversification

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 594 (95,332)
Citation 4

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commodity futures

19.

Commodity Investing

Downloads 1,320 (32,554)
Citation 11

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 1,320 (31,973)
Citation 11

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Commodity futures, Theory of Storage, Theory of Normal Backwardation, Risk premium, Trader positions

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

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20.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

NBER Working Paper No. w7032
Number of pages: 35 Posted: 20 Sep 2000 Last Revised: 19 Sep 2022
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 855 (60,126)

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21.

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 822 (63,493)
Citation 6

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European equity markets, CAPM, 3-factor model

22.

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, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 360 (174,955)

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Commodity Futures, Price Limits, Speculation, Commodity Options, Circuit Breakers, Speculative Trading

23.

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
Walleye Capital, SummerHaven Investment Management and Yale School of Management - International Center for Finance
Downloads 279 (229,677)
Citation 1

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Commodity Futures, Risk Premium, Indexation, Index Investing, Survivorship, Backtesting

24.

ESG and Derivatives

Financial Analysts Journal, 2024, 80(3): 5-16. DOI: 10.1080/0015198X.2024.2359902, Financial Analysts Journal, 2024, 80(3): 5-16. DOI: 10.1080/0015198X.2024.2359902
Number of pages: 26 Posted: 08 Feb 2024 Last Revised: 02 Aug 2024
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 245 (261,874)

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derivatives, futures, ESG, sustainable investing, hedging, governance

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
Walleye Capital, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 228 (280,742)
Citation 8

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Commidity Futures, Index investing, Hedgers, Speculators

26.

The Flipside of Financial Innovation: Why Contracts Fail*

Number of pages: 66 Posted: 16 Mar 2024
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 146 (418,483)

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Financial Innovation, Futures Markets, Hazard Models, Survival, Commodities, Competition, Risk Premium

27.

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
Faculty of Business Administration, University of Macau, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 114 (507,720)
Citation 1

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commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

28.

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

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Economic fluctuations, monetary policy

29.

Time to Build and Aggregate Fluctuations

Posted: 24 Dec 2004
K. Geert Rouwenhorst
Yale School of Management - International Center for Finance

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Business cycles, economic fluctuations

30.

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

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capital market integration, international equity markets, factor models

31.

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

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international equity markets, portfolio diversification