Research Output per year
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
Traders
Business & Economics
Price impact
Business & Economics
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Research Output 1985 2019
4
Citations
(Scopus)
High-frequency market making to large institutional trades
Korajczyk, R. & Murphy, D., Jan 1 2019, In : Review of Financial Studies. 32, 3, p. 1034-1067 34 p.Research output: Contribution to journal › Article
Market making
Traders
Transaction costs
Price impact
Mean reversion
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 journal › Article
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 journal › Article
10
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 journal › Article
Pricing
Investment horizon
Liquidity risk
Assets
Risk premia