Robert Korajczyk

  • 1802 Citations
1985 …2019
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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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  • 5 Similar Profiles
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 journalArticle

Market making
Traders
Transaction costs
Price impact
Mean reversion
2 Citations (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

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 journalArticle

Pricing
Investment horizon
Liquidity risk
Assets
Risk premia