Author Page for K. Geert Rouwenhorst

Pairs Trading: Performance of a Relative Value Arbitrage Rule

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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 31,999 (42)

Citation 73

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

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Citation 112

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Facts and Fantasies About Commodity Futures

Yale ICF Working Paper No. 04-20

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 27,005 (55)

Citation 112

Abstract:

Facts and Fantasies About Commodity Futures

NBER Working Paper No. w10595

Number of pages: 41 Posted: 25 May 2006

Gary B. Gorton and K. Geert Rouwenhorst

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

Downloads 723 (30,816)

Citation 112

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

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Citation 56

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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 13,658 (208)

Citation 56

Abstract:

The Fundamentals of Commodity Futures Returns

NBER Working Paper No. w13249

Number of pages: 63 Posted: 13 Jul 2007 Last Revised: 15 Sep 2010

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 253 (110,848)

Citation 56

Abstract:

4.

Behavioral Factors in Mutual Fund Flows

Yale ICF Working Paper No. 00-14

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

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Citation 35

Abstract:

5.

Global Real Estate Markets: Cycles and Fundamentals

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Citation 18

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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

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

National Association of Real Estate Investment Trusts®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 6,108 (939)

Citation 18

Abstract:

Global Real Estate Markets - Cycles and Fundamentals

NBER Working Paper No. w7566

Number of pages: 23 Posted: 11 Jul 2000 Last Revised: 16 Oct 2010

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

National Association of Real Estate Investment Trusts®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 215 (130,702)

Citation 18

Abstract:

6.

Long-Term Global Market Correlations

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Citation 89

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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 6,118 (938)

Citation 89

Abstract:

Long-Term Global Market Correlations

NBER Working Paper No. w8612

Number of pages: 52 Posted: 17 Nov 2001 Last Revised: 25 Oct 2010

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 158 (173,499)

Citation 89

Abstract:

7.

The Origins of Mutual Funds

Yale ICF Working Paper No. 04-48

Number of pages: 33 Posted: 16 Dec 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 5,027 (1,313)

Citation 5

Abstract:

8.

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

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Citation 7

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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 3,731 (2,179)

Citation 7

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: 24 Oct 2008

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 76 (294,962)

Citation 7

Abstract:

9.

Day Trading International Mutual Funds: Evidence and Policy Solutions

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Citation 46

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Day Trading International Mutual Funds: Evidence and Policy Solutions

AFA 2001 New Orleans; Yale SOM Working Paper No. ICF - 00-03

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 3,748 (2,160)

Citation 46

Abstract:

Day Trading International Mutual Funds: Evidence and Policy Solutions

Journal of Financial and Quantitative Analysis, September 2001

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:

10.

Facts and Fantasies About Commodity Futures Ten Years Later

Downloads 3,619 ( 2,355)

Citation 2

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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 3,601 (2,331)

Citation 2

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 18 (514,866)

Citation 2

Abstract:

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 2,567 (4,256)

Citation 41

Abstract:

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 2,445 (4,614)

Citation 120

Abstract:

13.

New Evidence on the First Financial Bubble

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Citation 1

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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: 12 May 2018

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 2,373 (4,755)

Citation 1

Abstract:

New Evidence on the First Financial Bubble

NBER Working Paper No. w15332

Number of pages: 43 Posted: 15 Sep 2009 Last Revised: 17 Jan 2015

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 71 (306,863)

Citation 1

Abstract:

14.

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 1,571 (9,739)

Citation 2

Abstract:

15.

International Momentum Strategies

Downloads 1,476 ( 10,746)

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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 1,476 (10,537)

Citation 289

Abstract:

International Momentum Strategies

Journal of Finance, Vol. 53, No. 1, pp. 267-284, February 1998

Posted: 08 Jul 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Abstract:

16.

Commodity Futures: A Japanese Perspective

Downloads 1,233 ( 14,318)

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 698 (32,263)

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 535 (45,992)

Abstract:

17.

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

Yale International Center for Finance Working Paper No. 14-24

Number of pages: 60 Posted: 14 Jun 2014 Last Revised: 03 Feb 2017

Wenjin Kang, K. Geert Rouwenhorst and Ke Tang

Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Science, Tsinghua University

Downloads 877 (23,852)

Abstract:

18.

Commodity Investing

Downloads 855 ( 24,761)

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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 Science, Tsinghua University

Downloads 855 (24,356)

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 Science, Tsinghua University

Abstract:

19.

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 649 (36,263)

Citation 25

Abstract:

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: 12 Oct 2010

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 621 (38,468)

Citation 62

Abstract:

21.

On Commodity Price Limits

Number of pages: 30 Posted: 27 Nov 2017 Last Revised: 04 Aug 2018

Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst

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

Downloads 290 (97,158)

Abstract:

22.

International Term Structures and Real Economic Growth

Journal of Monetary Economics, Vol. 33, pp. 133-155, 1994

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:

23.

Time to Build and Aggregate Fluctuations

Journal of Monetary Economics, Vol. 27, pp. 241-254, 1991

Posted: 24 Dec 2004

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Abstract:

24.

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

Journal of Empirical Finance, Vol. 2, pp. 173-197, 1995

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:

25.

Does Industrial Structure Explain the Benefits of International Diversification?

Journal of Financial Economics, Vol. 36, pp. 3-27, 1994

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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