Robert Korajczyk

  • 1768 Citations
1985 …2018
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Personal profile

Research Interests

His research interests are in the areas of investments and empirical asset pricing.

Education/Academic qualification

Finance, PhD, University of Chicago

… → 1983

Finance, MBA, The University of Chicago

… → 1977

Mathematics, AB, University of Chicago, Chicago, IL

… → 1976

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Factors Business & Economics
Pricing Business & Economics
Arbitrage pricing theory Business & Economics
Assets Business & Economics
Liquidity Business & Economics
Asset returns Business & Economics
Equity Business & Economics
Price impact Business & Economics

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Research Output 1985 2018

1 Citation (Scopus)

A Performance Comparison of Large-n Factor Estimators

Chen, Z., Connor, G. & Korajczyk, R. A., Jun 1 2018, In : Review of Asset Pricing Studies. 8, 1, p. 153-182 30 p.

Research output: Contribution to journalArticle

Factors
Estimator
Heteroscedasticity
Sample size
Assets

High Frequency Market Making to Large Institutional Trades

Korajczyk, R. A. & Murphy, D., Jul 21 2018, (Accepted/In press) Social Science Research Network (SSRN), 28 p.

Research output: Working paper

Market making
Traders
Transaction costs
Price impact
Mean reversion

Short-horizon beta or long-horizon alpha?

Kamara, A., Korajczyk, R., Lou, X. & Sadka, R., Sep 1 2018, In : Journal of Portfolio Management. 45, 1, p. 96-105 10 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)

Horizon pricing

Kamara, A., Korajczyk, R., Lou, X. & Sadka, R., Dec 1 2016, In : Journal of Financial and Quantitative Analysis. 51, 6, p. 1769-1793 25 p.

Research output: Contribution to journalArticle

Pricing
Investment horizon
Liquidity risk
Assets
Risk premia
1 Citation (Scopus)

A synthesis of two factor estimation methods

Connor, G., Korajczyk, R. & Uhlaner, R. T., Sep 28 2015, In : Journal of Financial and Quantitative Analysis. 50, 4, p. 825-842 18 p.

Research output: Contribution to journalArticle

Factors
Principal components
Cross-sectional regression
Errors in variables
Assets