Robert Korajczyk
Robert Korajczyk

FINANCE
Harry G. Guthmann Professor of Finance
Co-Director, Financial Institutions and Markets Research Center

Print Overview

A member of the Kellogg School faculty since 1982, Robert A. Korajczyk is the Harry G. Guthmann Professor of Finance. At Kellogg, Korajczyk has previously served as Senior Associate Dean: Curriculum and Teaching, Chair of the Department of Finance, Director of the Zell Center for Risk Research, and co-director of the Financial Institutions and Markets Research Center.

Professor Korajczyk’s research interests are in the areas of investments and empirical asset pricing. He is a recipient of the 2009 Crowell Prize for best paper in the field of quantitative asset management, awarded by PanAgora Asset Management; the Alumni Choice Faculty Award 2000; the Core Teaching Award 1998 and 2000; the Sidney J. Levy Teaching Award 1996; the New York Stock Exchange Award for Best Paper on Equity Trading, presented at the 1993 Western Finance Association annual meetings; and the Review of Financial Studies Best Paper Award, 1991.

Professor Korajczyk is a past editor of the Review of Financial Studies and a past associate editor of the Review of Financial Studies, Journal of Business & Economic Statistics, Journal of Empirical Finance, and the Journal of Financial and Quantitative Analysis.

He has held visiting faculty appointments at the University of Chicago, the University of Melbourne, the University of Vienna, and the Hong Kong University of Science and Technology. Professor Korajczyk serves on the product development committees of Select Innovation Investments, LLC and DSC Quantitative Group, LLC.

Professor Korajczyk received his BA, MBA, and PhD degrees from the University of Chicago.



Areas of Expertise
Asset Pricing (Equity Markets/Stock Market, Investments and Portfolio Choice)
Equity Markets (Stock Market) (Includes: Asset Pricing, Investments and Portfolio Choice)
Investments and Portfolio Choice (Includes: Asset Pricing, Equity Markets/Stock Market)
Liquidity
Money Management/Asset Management (Hedge Funds)
Personal Finance

Print Vita
Editorial Positions
Associate Editor, Review of Financial Studies, 1997-2000
Editor, Review of Financial Studies, 1993-1996
Associate Editor, Journal of Financial and Quantitative Analysis, 1992-2003
Associate Editor, Journal of Empirical Finance, 1991-2003
Associate Editor, Review of Financial Studies, 1989-1993
Associate Editor, Journal of Business and Economic Statistics, 1988-1993

Print Research
Research Interests
Investments, corporate finance.

Articles
Kamara, Avraham, Robert Korajczyk, Xiaoxia Lou and Ronnie Sadka. Forthcoming. Horizon Pricing. Journal of Financial and Quantitative Analysis.
Connor, Gregory, Robert Korajczyk and Robert Uhlaner. Forthcoming. A Synthesis of Factor Estimation Methods. Journal of Financial and Quantitative Analysis.
Heston, Steven, Robert Korajczyk, Ronnie Sadka and Lewis D. Thorson. 2011. Are you trading predictably?. Financial Analysts Journal. 67(2): 36-44.
Heston, Steven, Robert Korajczyk and Ronnie Sadka. 2010. Intraday Patterns in the Cross-Section of Stock Returns. Journal of Finance. 65(4): 1369-1407.
Korajczyk, Robert and Ronnie Sadka. 2008. Pricing the Commonality Across Alternative Measures of Liquidity. Journal of Financial Economics. 87(1): 45-72.
Connor, Gregory, Robert Korajczyk and Oliver Linton. 2006. The Common and Specific Components of Dynamic Volatility. Journal of Econometrics. 132(1): 231-255.
Korajczyk, Robert and Ronnie Sadka. 2004. Are Momentum Profits Robust to Trading Costs?. Journal of Finance. 59(3): 1039-1082.
Korajczyk, Robert and Amnon Levy. 2003. Capital Structure Choice: Macroeconomic Conditions and Financial Constraints. Journal of Financial Economics. 68(1): 75-109.
Breen, William, Laurie Hodrick and Robert Korajczyk. 2002. Predicting Equity Liquidity. Management Science. 48(4): 470-483.
Heaton, John and Robert Korajczyk. 2002. Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance. Review of Financial Studies. 15(2): 353-362.
Korajczyk, Robert. 1996. A Measure of Stock Market Integration for Developed and Emerging Markets. World Bank Economic Review. 10(2): 267-289.
Ferson, Wayne and Robert Korajczyk. 1995. Do Arbitrage Pricing Models Explain the Predictability of Asset Returns?. Journal of Business. 68(3): 309-349.
Reprinted in:
Forecasting Financial Markets, edited by Terence C. Mills, vol. 68, London: Edward Elgar Publishing Limited., 2002.
Connor, Gregory and Robert Korajczyk. 1993. A Test for the Number of Factors in an Approximate Factor Model. Journal of Finance. 48(4): 1263-1291.
Reprinted in:
The International Library Of Financial Econometrics Series, edited by Andrew W. Lo, vol. 48, Edward Elgar Publishing, 2007.
Korajczyk, Robert and Claude Viallet. 1992. Equity Risk Premia and the Pricing of Foreign Exchange Risk. Journal of International Economics. 33(3-4): 199-219.
Korajczyk, Robert, Deborah Lucas and Robert L. McDonald. 1992. Equity Issues with Time-Varying Asymmetric Information. Journal of Financial and Quantitative Analysis. 27(3): 397-417.
Korajczyk, Robert, Deborah Lucas and Robert L. McDonald. 1991. The Effect of Information Releases on the Pricing and Timing of Equity Issues. Review of Financial Studies. 4(4): 685-708.
Connor, Gregory and Robert Korajczyk. 1991. The Attributes, Behavior, and Performance of U.S. Mutual Funds. Review of Quantitative Finance and Accounting. 1(1): 5-26.
Korajczyk, Robert and Claude Viallet. 1989. An Empirical Investigation of International Asset Pricing. Review of Financial Studies. 2(4): 553-585.
Reprinted in:
International Capital Markets, edited by Ren M. Stulz and G. Andrew Karolyi, vol. 2, Cheltenham, UK: Edward Elgar Publishing Limited, 2003.
Connor, Gregory and Robert Korajczyk. 1989. An Intertemporal Equilibrium Beta Pricing Model. Review of Financial Studies. 2(3): 373-392.
Connor, Gregory and Robert Korajczyk. 1988. Risk and Return in an Equilibrium APT: Application of a New Test Methodology. Journal of Financial Economics. 21(2): 255-289.
Jagannathan, Ravi and Robert Korajczyk. 1986. Assessing the Market Timing Performance of Managed Portfolios. Journal of Business. 59(2): 217-235.
Reprinted in:
Asset Pricing and Portfolio Performance. Models, Strategy and Performance Metrics, edited by Robert A. Korajczyk, vol. 59, London: Risk Publications, 1999.
Connor, Gregory and Robert Korajczyk. 1986. Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis. Journal of Financial Economics. 15(3): 373-394.
Korajczyk, Robert. 1985. The Pricing of Forward Contracts for Foreign Exchange. Journal of Political Economy. 93(2): 346-368.
Working Papers
Korajczyk, Robert and Dermot Murphy. 2015. High Frequency Market Making to Large Institutional Trades.
Chen, Zhuo, Gregory Connor and Robert Korajczyk. 2014. A Performance Comparison of Large-n Factor Estimators.
Cai, Jun, Richard Y.K. Ho, Robert Korajczyk and Zheng Zhang. 2013. Price Discovery, Foreign Ownership, and Rule of Law.
Breen, William and Robert Korajczyk. 1995. On Selection Biases in Book-to-Market Based Tests of Asset Pricing Models.
Connor, Gregory and Robert Korajczyk. 1987. Estimating Pervasive Factors with Missing Observations.
Book Chapters
Korajczyk, Robert and Ravi Jagannathan. Forthcoming. "Market Timing." Springer.
Connor, Gregory and Robert Korajczyk. 2010. "Factor Models in Portfolio and Asset Pricing Theory." In Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, edited by John Guerard, Jr., New York: Springer.
Connor, Gregory and Robert Korajczyk. 2010. "Factor Models of Asset Returns." In Encyclopedia of Quantitative Finance, edited by Rama Cont, Chichester: Wiley.
Connor, Gregory and Robert Korajczyk. 2003. "Risk Management in Asset Management." In Modern Risk Management: A History, edited by Peter Field, 369-382. London, UK: Risk Books.
Connor, Gregory and Robert Korajczyk. 1995. "The Arbitrage Pricing Theory and Multifactor Models of Asset Returns." In Handbooks in Operations Research and Management Science: Finance, edited by R. Jarrow, V. Maksimovic, and W. Ziemba, vol. 9, 87-144. Amsterdam: North-Holland.
Korajczyk, Robert, Deborah Lucas and Robert L. McDonald. 1990. "Understanding Stock Price Behavior Around the Time of Equity Issues." In Asymmetric Information, Corporate Finance, and Investment, edited by R. Glenn Hubbard, Chicago, IL: University of Chicago Press.
Other
Korajczyk, Robert. "Review of: Market Liquidity: Asset Pricing, Risk, and Crises." Quantitative Finance, February.
Books
Connor, Gregory, Lisa Goldberg and Robert Korajczyk. 2010. Portfolio Risk Analysis. Princeton: Princeton University Press.
Korajczyk, Robert. 1999. Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London, UK: Risk Books.
Korajczyk, Robert and Diana Harrington. 1993. The CAPM Controversy: Policy and Strategy Implications for Investment Management. Charlottesville: Association for Investment Management and Research.
Cases
Korajczyk, RobertLinda Vincent, Matthew Galas, Saurabh Goyal, David Mathews and Danielle Qi. 2013. Universal Display Corporation: Go Long or Short?. Case 5-312-502 (KEL716).

 
Print Teaching
Teaching Interests
Investments, corporate finance, empirical research in finance.
Full-Time / Part-Time MBA
Asset Management Practicum II (FINC-934-0)

Students enrolled in this sequence of courses will manage a portion of the Kellogg School's endowment. The courses will combine investment theory with exposure to leading practitioners. Students will rotate across roles of industry analysts, hedge fund fund-of-funds managers, traders, quantitative analysts, and portfolio managers. Students must take three of the four AMP courses: FINC-933, FINC-934, FINC-935, or FINC-936.

Co-requisites: Over the three-quarter sequence students must take three** or four quarter credits in additional asset management-related courses from the list below.

Additional Courses

- ACCT-451 (Financial Reporting and Analysis)
- ACCT-452 (Financial Reporting and Analysis II)
- FINC-442 (Financial Decisions)
- FINC-444 (Advanced Topics in Finance)
- FINC-447 (Financial Strategy and Tax Planning)
- FINC-451 (Money Markets and the Fed)
- FINC-460 (Investments)**
- FINC-462 (Portfolio Management)
- FINC-463 (Security Analysis)
- FINC-464 (Fixed Income Securities)
- FINC-465 (Derivative Markets I)
- FINC-467 (Derivative Markets II)
- FINC-470 (Empirical Methods in Finance)**
- FINC-936 (Asset Management Practicum IV)
- FINC-941 (Macroeconomic Policy and Global Capital Markets)
- FINC-970 (Empirical Methods in Finance)

**Three courses if one of the courses is either FINC-460 or FINC-470.



Asset Management Practicum III (FINC-935-0)

Students enrolled in this sequence of courses will manage a portion of the Kellogg School's endowment. The courses will combine investment theory with exposure to leading practitioners. Students will rotate across roles of industry analysts, hedge fund fund-of-funds managers, traders, quantitative analysts, and portfolio managers. Students must take three of the four AMP courses: FINC-933, FINC-934, FINC-935, or FINC-936.

Co-requisites: Over the three-quarter sequence students must take three** or four quarter credits in additional asset management-related courses from the list below.

Additional Courses

- ACCT-451 (Financial Reporting and Analysis)
- ACCT-452 (Financial Reporting and Analysis II)
- FINC-442 (Financial Decisions)
- FINC-444 (Advanced Topics in Finance)
- FINC-447 (Financial Strategy and Tax Planning)
- FINC-451 (Money Markets and the Fed)
- FINC-460 (Investments)**
- FINC-462 (Portfolio Management)
- FINC-463 (Security Analysis)
- FINC-464 (Fixed Income Securities)
- FINC-465 (Derivative Markets I)
- FINC-467 (Derivative Markets II)
- FINC-470 (Empirical Methods in Finance)**
- FINC-936 (Asset Management Practicum IV)
- FINC-941 (Macroeconomic Policy and Global Capital Markets)
- FINC-970 (Empirical Methods in Finance)

**Three courses if one of the courses is either FINC-460 or FINC-470.



Executive MBA
Managerial Finance I (FINCX-430-0)
Managerial Finance I introduces the basic techniques of finance. Topics include discounting techniques and applications; evaluation of capital expenditures; and estimating cost of capital and bond and stock valuation.