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

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 40

SSRN RANKINGS

Top 40

in Total Papers Downloads

117,527

CITATIONS
Rank 483

SSRN RANKINGS

Top 483

in Total Papers Citations

981

Scholarly Papers (24)

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 29,165 (40)
Citation 71

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.
Downloads 27,169 ( 46)
Citation 112

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 26,508 (47)
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 661 (29,900)
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:

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

3.
Downloads 13,361 ( 181)
Citation 52

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 13,130 (180)
Citation 52

Abstract:

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
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 231 (106,338)
Citation 52

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
Downloads 6,284 (667)
Citation 35

Abstract:

5.
Downloads 6,170 ( 742)
Citation 89

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 6,024 (767)
Citation 89

Abstract:

Long-Term Global Market Correlations

NBER Working Paper No. w8612
Number of pages: 52 Posted: 17 Nov 2001
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 146 (164,040)
Citation 89

Abstract:

6.
Downloads 6,110 ( 756)
Citation 18

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 TrustsĀ®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance
Downloads 5,904 (803)
Citation 18

Abstract:

Global Real Estate Markets - Cycles and Fundamentals

NBER Working Paper No. w7566
Number of pages: 23 Posted: 11 Jul 2000
Bradford Case, William N. Goetzmann and K. Geert Rouwenhorst
National Association of Real Estate Investment TrustsĀ®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance
Downloads 206 (119,205)
Citation 18

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 4,088 (1,235)
Citation 5

Abstract:

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 3,734 (1,749)
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:

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 3,611 (1,859)
Citation 8

Abstract:

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
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 69 (275,829)
Citation 8

Abstract:

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 3,066 (2,479)
Citation 2

Abstract:

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
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 11 (501,715)
Citation 2
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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 2,543 (3,546)
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 2,339 (3,960)
Citation 119

Abstract:

13.
Downloads 2,253 ( 4,356)
Citation 1

New Evidence on the First Financial Bubble

Yale ICF Working Paper No. 09-04
Number of pages: 81 Posted: 01 Apr 2009 Last Revised: 31 Jul 2012
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 2,193 (4,473)
Citation 1

Abstract:

New Evidence on the First Financial Bubble

NBER Working Paper No. w15332
Number of pages: 43 Posted: 15 Sep 2009
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 60 (297,268)
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 1,508 (8,301)
Citation 2

Abstract:

Commodity, commodities, futures, diversification

15.
Downloads 1,326 ( 10,728)
Citation 287

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 1,326 (10,502)
Citation 287

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:

international equity markets, momentum, underreaction, trading strategies

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 683 (28,532)

Abstract:

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 534 (39,804)

Abstract:

commodity futures

17.
Downloads 813 ( 22,684)

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 813 (22,301)

Abstract:

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 Science, Tsinghua University

Abstract:

18.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

NBER Working Paper No. w7032
Number of pages: 35 Posted: 20 Sep 2000
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 579 (34,246)
Citation 63

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 571 (32,408)
Citation 27

Abstract:

European equity markets, CAPM, 3-factor model

20.

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: 61 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 269 (36,697)

Abstract:

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

21.

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:

Economic fluctuations, monetary policy

22.

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:

Business cycles, economic fluctuations

23.

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

Abstract:

international equity markets, portfolio diversification

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:

capital market integration, international equity markets, factor models