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

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

29

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1,098

CROSSREF CITATIONS

656

Scholarly Papers (29)

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1.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Downloads 43,396 ( 66)

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 43,396 (66)
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 29,692 ( 132)
Citation 128

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 28,768 (137)
Citation 33

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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 924 (43,649)
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 15,600 ( 434)
Citation 190

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 15,200 (451)
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 400 (126,563)
Citation 86

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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 8,162 (1,373)

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5.

Global Real Estate Markets: Cycles and Fundamentals

Downloads 6,769 ( 1,884)
Citation 21

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 6,485 (1,998)
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 284 (183,651)
Citation 3

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6.

Long-Term Global Market Correlations

Downloads 6,553 ( 1,979)
Citation 153

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 6,309 (2,096)
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 244 (213,974)
Citation 41

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7.

Facts and Fantasies About Commodity Futures Ten Years Later

Downloads 4,638 ( 3,611)
Citation 149

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 4,525 (3,700)
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
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 113 (414,228)
Citation 84

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8.

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

Downloads 4,095 ( 4,418)
Citation 27

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 3,966 (4,570)
Citation 5

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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
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance
Downloads 129 (374,857)
Citation 14

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9.

Day Trading International Mutual Funds: Evidence and Policy Solutions

Downloads 3,858 ( 4,884)

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 3,858 (4,785)
Citation 15

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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 3,479 ( 5,838)
Citation 18

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 3,346 (6,134)
Citation 10

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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 133 (366,077)
Citation 2

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11.

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 2,626 (9,087)
Citation 14

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12.

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 2,619 (9,121)
Citation 67

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13.

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 2,297 (11,305)

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

14.

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 2,272 (11,489)
Citation 54

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

15.

International Momentum Strategies

Downloads 2,172 (12,355)

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 2,172 (12,107)
Citation 136

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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.

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 1,682 (18,456)

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Commodity, commodities, futures, diversification

17.

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 1,567 (20,552)
Citation 3

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

18.

Commodity Futures: A Japanese Perspective

Downloads 1,324 (26,432)

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 752 (57,761)

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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 572 (82,094)
Citation 4

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commodity futures

19.

Commodity Investing

Downloads 1,176 (31,482)
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 1,176 (31,002)
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 813 (52,796)

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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 766 (57,175)
Citation 5

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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, School of Data Science, City University of Hong Kong and Yale School of Management - International Center for Finance
Downloads 357 (144,935)

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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
SummerHaven Investment Management, SummerHaven Investment Management and Yale School of Management - International Center for Finance
Downloads 210 (247,847)
Citation 1

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

24.

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 177 (288,714)
Citation 6

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Commidity Futures, Index investing, Hedgers, Speculators

25.

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 91 (478,063)
Citation 1

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

26.

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

27.

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

28.

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

29.

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