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
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SCHOLARLY PAPERS

29

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677

Scholarly Papers (29)

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1.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Downloads 34,761 ( 50)
Citation 22

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 34,761 (50)
Citation 22

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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 28,142 ( 71)
Citation 99

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 27,369 (71)
Citation 15

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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 773 (33,339)
Citation 43

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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 14,504 ( 235)
Citation 137

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 14,220 (238)
Citation 28

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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 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 284 (114,613)
Citation 42

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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 6,844 (956)
Citation 31

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5.

Global Real Estate Markets: Cycles and Fundamentals

Downloads 6,470 ( 1,054)
Citation 15

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 6,241 (1,115)
Citation 15

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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: 16 Oct 2010
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 229 (143,054)
Citation 3

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6.

Long-Term Global Market Correlations

Downloads 6,377 ( 1,079)
Citation 125

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 6,203 (1,123)
Citation 1

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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 174 (184,945)
Citation 10

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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 5,726 (1,320)

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8.

Facts and Fantasies About Commodity Futures Ten Years Later

Downloads 3,900 ( 2,571)
Citation 121

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 3,867 (2,572)
Citation 22

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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
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 33 (496,543)
Citation 63

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9.

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

Downloads 3,877 ( 2,606)
Citation 15

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 3,793 (2,649)
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: 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 84 (319,938)

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10.

Day Trading International Mutual Funds: Evidence and Policy Solutions

Downloads 3,762 ( 2,741)
Citation 7

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 3,762 (2,689)
Citation 7

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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

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11.

New Evidence on the First Financial Bubble

Downloads 2,641 ( 4,985)
Citation 6

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 2,560 (5,158)

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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: 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 81 (327,256)

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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 2,576 (5,202)
Citation 11

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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 2,495 (5,468)
Citation 34

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14.

International Momentum Strategies

Downloads 1,739 ( 10,052)

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 1,739 (9,859)
Citation 65

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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

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international equity markets, momentum, underreaction, trading strategies

15.

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 1,600 (11,478)

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Commodity, commodities, futures, diversification

16.

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
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,314 (15,630)
Citation 16

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

17.

Commodity Futures: A Japanese Perspective

Downloads 1,255 ( 16,749)

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 710 (37,424)

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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 545 (53,103)
Citation 3

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commodity futures

18.

Commodity Investing

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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 911 (26,476)
Citation 10

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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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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 739 (36,032)

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

20.

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 665 (41,505)
Citation 1

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European equity markets, CAPM, 3-factor model

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: 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 645 (43,304)

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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, Paraconic Technologies US Inc. and Yale School of Management - International Center for Finance
Downloads 338 (95,355)

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

23.

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 42 (445,434)

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Commidity Futures, Index investing, Hedgers, Speculators

24.

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
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 41 (449,482)

Abstract:

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

25.

The First Commodity Futures Index of 1933

Posted: 20 Sep 2019 Last Revised: 14 Dec 2019
Geetesh Bhardwaj and K. Geert Rouwenhorst
SummerHaven Investment Management and Yale School of Management - International Center for Finance

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Commodity Futures, Risk Premium, Indexation, Index Investing

26.

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

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Economic fluctuations, monetary policy

27.

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

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Business cycles, economic fluctuations

28.

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:

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capital market integration, international equity markets, factor models

29.

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:

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international equity markets, portfolio diversification