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A measure of stock market integration for developed and emerging markets

Korajczyk, Robert A. - 1995

Persistent link: https://www.econbiz.de/10010525805

Equity risk premia and the pricing of foreign exchange risk

Korajczyk, Robert A.; Viallet, Claude J. - In: Journal of International Economics 33 (1992) 3-4, pp. 199-219

Persistent link: https://www.econbiz.de/10005527510

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

Connor, Gregory; Korajczyk, Robert A. - In: Journal of Financial Economics 15 (1986) 3, pp. 373-394

Persistent link: https://www.econbiz.de/10005477988

Capital structure choice: macroeconomic conditions and financial constraints

Korajczyk, Robert A.; Levy, Amnon - In: Journal of Financial Economics 68 (2003) 1, pp. 75-109

Persistent link: https://www.econbiz.de/10005478200

Pricing the commonality across alternative measures of liquidity

Korajczyk, Robert A.; Sadka, Ronnie - In: Journal of Financial Economics 87 (2008) 1, pp. 45-72

Persistent link: https://www.econbiz.de/10005478224

The common and specific components of dynamic volatility

Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of Econometrics 132 (2006) 1, pp. 231-255

Persistent link: https://www.econbiz.de/10005192848

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

Connor, Gregory; Korajczyk, Robert A. - In: Journal of Financial Economics 21 (1988) 2, pp. 255-289

Persistent link: https://www.econbiz.de/10005210518

Predicting Equity Liquidity

Breen, William J.; Hodrick, Laurie Simon; Korajczyk, … - In: Management Science 48 (2002) 4, pp. 470-483

In this paper we develop a measure of liquidity, price impact, which quantifies the change in a firm's stock price associated with its observed net trading volume. For a large set of institutional trades we compare out-of-sample, characteristic-based estimates of price impact to actual price...

Persistent link: https://www.econbiz.de/10009203885

A synthesis of two factor estimation methods

Connor, Gregory; Korajczyk, Robert A.; Uhlaner, Robert T. - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 4, pp. 825-842

Persistent link: https://www.econbiz.de/10011431039

A performance comparison of large-n factor estimators

Chen, Zhuo; Connor, Gregory; Korajczyk, Robert A. - In: Review of asset pricing studies 8 (2018) 1, pp. 153-182

Persistent link: https://www.econbiz.de/10012001545