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Economics and Finance

D-Index
34
Citations
11371
World Ranking
2994
National Ranking
1649

Overview

Robert A. Korajczyk is affiliated with Northwestern University in the United States. Their research expertise lies primarily within the broad domains of Economics, Econometrics, and Finance, with a focus that spans several subfields including Finance, General Economics, Econometrics and Finance, Accounting, and Economics and Econometrics.

The scientist has contributed extensively to topics related to Financial Markets and Investment Strategies, Financial Risk and Volatility Modeling, Monetary Policy and Economic Impact, Auditing and Earnings Management Governance, Corporate Finance and Governance, as well as Housing Market and Economics. These varied topics reflect a diverse engagement with both theoretical and applied issues within financial economics.

Key recent publications by Robert A. Korajczyk include:

  • Arbitrage Portfolios (2020, Review of Financial Studies)
  • Semi-Strong Factors in Asset Returns (2022, Journal of Financial Econometrics)
  • An Intangibles-Adjusted Profitability Factor (2023, SSRN Electronic Journal)
  • An Intangibles-Adjusted Profitability Factor (2023, SSRN Electronic Journal)
  • Large Sample Estimators of the Stochastic Discount Factor (2024, Journal of Financial Econometrics)

The venues where this researcher frequently publishes include the Journal of Financial Econometrics, SSRN Electronic Journal, and Review of Financial Studies, further situating their work within prominent outlets for financial and economic research.

Frequent collaborators in their research include Soohun Kim, Ravi Jagannathan, Kai Wang, Andreas Neuhierl, and Gregory Connor. The repeated coauthorship with these individuals indicates ongoing collaboration contributing to the advancement of knowledge in their fields of expertise.

Best Publications

  • Capital structure choice: macroeconomic conditions and financial constraints

    Robert A Korajczyk;Amnon Levy

  • Performance measurement with the arbitrage pricing theory: A new framework for analysis

    Gregory Connor;Robert A. Korajczyk

  • Risk and return in an equilibrium APT: Application of a new test methodology

    Gregory Connor;Robert A. Korajczyk

  • Pricing the commonality across alternative measures of liquidity

    Robert A. Korajczyk;Ronnie Sadka

  • Are Momentum Profits Robust to Trading Costs

    Robert A. Korajczyk;Ronnie Sadka

  • The Effect of Information Releases on the Pricing and Timing of Equity Issues

    Robert A. Korajczyk;Deborah J. Lucas;Robert L. McDonald

  • A Test for the Number of Factors in an Approximate Factor Model

    Gregory Connor;Robert A. Korajczyk

  • Assessing the Market Timing Performance of Managed Portfolios

    Ravi Jagannathan;Robert A Korajczyk

  • Do Arbitrage Pricing Models Explain the Predictability of Stock Returns

    Wayne E. Ferson;Robert A. Korajczyk

  • A Measure of Stock Market Integration for Developed and Emerging Markets

    Robert A. Korajczyk

  • Equity Issues with Time-Varying Asymmetric Information

    Robert A. Korajczyk;Deborah J. Lucas;Robert L. McDonald

  • An Empirical Investigation of International Asset Pricing

    Robert A. Korajczyk;Claude J. Viallet

  • Predicting Equity Liquidity

    William J. Breen;Laurie Simon Hodrick;Robert A. Korajczyk

  • Understanding Stock Price Behavior around the Time of Equity Issues

    Robert A Korajczyk;Deborah J Lucas;Robert L McDonald

  • High-Frequency Market Making to Large Institutional Trades

    Robert A Korajczyk;Dermot Murphy

  • Intraday Patterns in the Cross-section of Stock Returns

    Steven L. Heston;Robert A. Korajczyk;Ronnie Sadka

  • Capital Structure Choice: Macroeconomic Conditions and Financial Constraints

    Robert A. Korajczyk;Amnon Levy

  • The Pricing of Forward Contracts for Foreign Exchange

    Robert A. Korajczyk

  • The attributes, behavior, and performance of U.S. mutual funds

    Gregory Connor;Robert A. Korajczyk

  • Pricing the Commonality Across Alternative Measures of Liquidity

    Robert A. Korajczyk;Ronnie Sadka

  • A Test for the Number of Factors in an Approximate Factor Model

    Robert A. Korajczyk;Gregory Connor

  • Portfolio Risk Analysis

    Gregory Connor;Lisa R. Goldberg;Robert A. Korajczyk

  • The Arbitrage Pricing Theory and Multifactor Models of Asset Returns

    Gregory Connor;Robert A. Korajczyk

  • Risk and Return in an Equilibrium Apt: Application of a New Test Methodology

    Gregory Connor;Robert A. Korajczyk

  • Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis

    Gregory Connor;Robert A. Korajczyk

Frequent Co-Authors

Ravi Jagannathan
Ravi Jagannathan Northwestern University
Oliver Linton
Oliver Linton University of Cambridge
Wayne E. Ferson
Wayne E. Ferson University of Southern California
Kent Daniel
Kent Daniel Columbia University
Stefan Voigt
Stefan Voigt Universität Hamburg
Bernard S. Black
Bernard S. Black Northwestern University
Michael Schneider
Michael Schneider RWTH Aachen University
Arvind Krishnamurthy
Arvind Krishnamurthy University of Washington
Anna Dreber
Anna Dreber Stockholm School of Economics
Elie Bouri
Elie Bouri Lebanese American University

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