Chicago Alternative Investment Partners LLC

"The Common and Specific Components of Dynamic Volatility"
(Robert Korajczyk with Gregory Connor and Oliver Linton), Forthcoming, Journal of Econometrics.
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"Are Momentum Profits Robust to Trading Costs?"
(Robert Korajczyk with Ronnie Sadka). Journal of Finance 59 (June 2004): 1039-1082.
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"Risk Management in Asset Management"
(Robert Korajczyk with Gregory Connor). Chapter 24 in Modern Risk Management: A History, London: Risk Publications, 2003.

"Capital Structure Choice: Macroeconomic Conditions and Financial Constraints."
(Robert Korajczyk with Amnon Levy), Journal of Financial Economics 68 (April 2003): 75-109.
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"Predicting Equity Liquidity."
(Robert Korajczyk with William Breen and Laurie Simon Hodrick). Management Science 48 (April 2002): 470-483.
View Abstract

"A Measure of Stock Market Integration for Developed and Emerging Markets."
(Robert Korajczyk) World Bank Economic Review 10 (May 1996): 265-289.
View Abstract

"The Arbitrage Pricing Theory and Multifactor Models of Asset Returns"
(Robert Korajczyk with Gregory Connor). Chapter 4 in, Finance, Handbooks in Operations Research and Management Science, Volume 9 edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North Holland, 1995.

"Do Arbitrage Pricing Models Explain the Predictability of Asset Returns?"
(Robert Korajczyk with Wayne Ferson) Journal of Business 68 (July 1995): 309-349. Awarded the New York Stock Exchange Award for Best Paper on Equity Trading presented at the 1993 Western Finance Association annual meetings. Reprinted in Forecasting Financial Markets, Vol. 1, edited by Terence C. Mills. Cheltenham: Edward Elgar Publishing Limited, 2002.
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"A Test for the Number of Factors in an Approximate Factor Model"
(Robert Korajczyk with Gregory Connor), Journal of Finance 48 (September 1993): 1263-1291.
View PDF

"Equity Risk Premia and the Pricing of Foreign Exchange Risk"
(Robert Korajczyk with Claude Viallet), Journal of International Economics 33 (November 1992): 199-219.
View Abstract


		Publications: (1-10)
		"The Common and Specific Components of Dynamic Volatility" (Robert Korajczyk with Gregory Connor and Oliver Linton), Forthcoming, Journal of Econometrics. View Abstract "Are Momentum Profits Robust to Trading Costs?" (Robert Korajczyk with Ronnie Sadka). Journal of Finance 59 (June 2004): 1039-1082. View PDF "Risk Management in Asset Management" (Robert Korajczyk with Gregory Connor). Chapter 24 in Modern Risk Management: A History, London: Risk Publications, 2003. "Capital Structure Choice: Macroeconomic Conditions and Financial Constraints." (Robert Korajczyk with Amnon Levy), Journal of Financial Economics 68 (April 2003): 75-109. View Abstract "Predicting Equity Liquidity." (Robert Korajczyk with William Breen and Laurie Simon Hodrick). Management Science 48 (April 2002): 470-483. View Abstract "A Measure of Stock Market Integration for Developed and Emerging Markets." (Robert Korajczyk) World Bank Economic Review 10 (May 1996): 265-289. View Abstract "The Arbitrage Pricing Theory and Multifactor Models of Asset Returns" (Robert Korajczyk with Gregory Connor). Chapter 4 in, Finance, Handbooks in Operations Research and Management Science, Volume 9 edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North Holland, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Asset Returns?" (Robert Korajczyk with Wayne Ferson) Journal of Business 68 (July 1995): 309-349. Awarded the New York Stock Exchange Award for Best Paper on Equity Trading presented at the 1993 Western Finance Association annual meetings. Reprinted in Forecasting Financial Markets, Vol. 1, edited by Terence C. Mills. Cheltenham: Edward Elgar Publishing Limited, 2002. View Online "A Test for the Number of Factors in an Approximate Factor Model" (Robert Korajczyk with Gregory Connor), Journal of Finance 48 (September 1993): 1263-1291. View PDF "Equity Risk Premia and the Pricing of Foreign Exchange Risk" (Robert Korajczyk with Claude Viallet), Journal of International Economics 33 (November 1992): 199-219. View Abstract Next Page