Robert Korajczyk
Robert Korajczyk

FINANCE
Harry G. Guthmann Professor of Finance

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
Education
PhD, 1983, Finance, University of Chicago
MBA, 1977, Finance, Econometrics, University of Chicago
AB, 1976, Mathematics, University of Chicago, Honors

Academic Positions
Harry G. Guthmann Professor of Finance, Kellogg School of Management, Northwestern University, 1995-present
Director, Zell Center for Risk Research, Kellogg School of Management, Northwestern University, 2006-2013
Senior Associate Dean: Curriculum and Teaching, Kellogg School of Management, Northwestern University, 2010-2011
Gutmann Fellow, University of Vienna, 2006-2006
Co-Director, Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University, 2005-2006
Senior Associate Dean: Curriculum and Teaching, Kellogg School of Management, Northwestern University, 2003-2006
Gutmann Fellow, University of Vienna, 2003-2003
Visiting Professor of Finance, School of Business and Management, Hong Kong University of Science and Technology, 1997-1997
Chairman, Department of Finance, Kellogg School of Management, Northwestern University, 1994-1996
Professor of Finance, Kellogg School of Management, Northwestern University, 1994-1995
Associate Professor of Finance, Kellogg School of Management, Northwestern University, 1989-1994
Visiting Associate Professor of Finance, Graduate School of Business, University of Chicago, 1989-1990
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 1982-1989
Lecturer in Finance, Graduate School of Business, University of Chicago, 1981-1982

Grants and Awards
Crowell Memorial Research Paper Prize: First Place, PanAgora Asset Management Quantitative Research Institute, 2009
Microstructure Research Grant, Morgan Stanley, 2005
Chairs’ Core Course Teaching Award, Kellogg School of Management, 1999-2000, 1997-1998
Kellogg Alumni Professor of the Year Award, Kellogg School of Management, 2000
Sidney J. Levy Teaching Award, Kellogg School of Management, 1995-1996
Award for Best Paper on Equity Trading presented at the Western Finance Association annual meetings, New York Stock Exchange , 1993
Best paper award , Review of Financial Studies , 1991 - Volume 4

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

Consulting
Investment Committee Member: Select Innovation Investments LLC ; 2004 - present.

Investment Committee Member: DSC Quantitative Group LLC
; 2012 - present
.
Member: Academic Advisory Board: Gutmann Center for Portfolio Management, Wirtschaftsuniversität Wien, 2009-present.

Principal: Chicago Partners; 1995 - 2008.

Member: Academic Advisory Board: Gutmann Center for Portfolio Management, University of Vienna, 2002-2009.

Member: Scientific Advisory Board, ITG, Inc., New York, New York; 2003 - 2004.

Consultant, Economics Department, The Rand Corporation, Santa Monica, California. 1979-1980.

Financial Analyst, Atlantic Richfield Company, Los Angeles, California. 1977-1978.

 
Print Research
Research Interests
Investments, corporate finance.

Articles
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.
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.
Breen, William, Laurie Hodrick and Robert Korajczyk. 2002. Predicting Equity Liquidity. Management Science. 48(4): 470-483.
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. 1, 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, Edward Elgar Publishing, 2007.
Korajczyk, Robert, Deborah Lucas and Robert McDonald. 1992. Equity Issues with Time-Varying Asymmetric Information. Journal of Financial and Quantitative Analysis. 27(3): 397-417.
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 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.
Connor, Gregory and Robert Korajczyk. 1989. An Intertemporal Equilibrium Beta Pricing Model. Review of Financial Studies. 2(3): 373-392.
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 René M. Stulz and G. Andrew Karolyi, Cheltenham, UK: Edward Elgar Publishing Limited, 2003.
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, 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
Connor, Gregory, Robert Korajczyk and Robert Uhlaner. Forthcoming. A Synthesis of Factor Estimation Methods. Journal of Financial and Quantitative Analysis.
Chen, Zhuo, Gregory Connor and Robert Korajczyk. 2013. Small-sample Properties of Factor Mimicking Portfolio Estimates.
Cai, Jun, Richard Y. K. Ho, Robert Korajczyk and Zheng Zhang. 2013. Price Discovery, Foreign Ownership, and Rule of Law.
Kamara, Avraham, Robert Korajczyk, Xiaoxia Lou and Ronnie Sadka. 2013. Horizon Pricing.
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
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. 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. 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 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.
Edited Volumes
Korajczyk, Robert, ed.. 1999. Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London, UK: Risk Books.
Korajczyk, Robert and Diana Harrington, eds.. 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 I (FINC-933-0)

This course counts toward the following majors: Finance

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, 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 following list:
*Three coures if one of the courses is either FINC 460 or FINC 470

FINC-442-0 Financial Decisions

FINC-444-0 Advanced Topics in Finance

FINC-447-0 Financial Strategy and Tax Planning

FINC-451-0 Money Markets and the Fed

FINC-460-0 Investments*

FINC-462-0 Portfolio Management

FINC-463-0 Security Analysis

FINC-464-0 Fixed Income Securities

FINC-465-0 Derivative Markets I

FINC-467-0 Derivative Markets II

FINC-470-0 Empirical Methods in Finance*

FINC-936-0 Asset Management Practicum IV

FINC-941-0 Macroeconomic Policy and Global Capital Markets

FINC-970-0 Empirical Methods in Finance

ACCT-451-0 Financial Reporting and Analysis

ACCT-452-0 Financial Reporting and Analysis II



Asset Management Practicum II (FINC-934-0)

This course counts toward the following majors: Finance

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, traders, quantitative analysts, and portfolio managers. Students must take three of the four AMP courses: FINC-933, FINC-934, FINC-935, 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 following list:
*Three courses if one of the three is either FINC-460 or FINC-470

FINC-442-0 Financial Decisions

FINC-444-0 Advanced Topics in Finance

FINC-447-0 Financial Strategy and Tax Planning

FINC-451-0 Money Markets and the Fed

FINC-460-0 Investments*

FINC-462-0 Portfolio Management

FINC-463-0 Security Analysis

FINC-464-0 Fixed Income Securities

FINC-465-0 Derivative Markets I

FINC-467-0 Derivative Markets II

FINC-470-0 Empirical Methods in Finance*

FINC-936-0 Asset Management Practicum IV

FINC-941-0 Macroeconomic Policy and Global Capital Markets

FINC-970-0 Empirical Methods in Finance

ACCT-451-0 Financial Reporting and Analysis

ACCT-452-0 Financial Reporting and Analysis II



Asset Management Practicum III (FINC-935-0)

This course counts toward the following majors: Finance

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, traders, quantitative analysts, and portfolio managers. Students must take three of the four AMP courses: FINC-933, FINC-934, FINC-935, 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 following list:
*Three courses if one of the three is either FINC-460 or FINC-470

FINC-442-0 Financial Decisions

FINC-444-0 Advanced Topics in Finance

FINC-447-0 Financial Strategy and Tax Planning

FINC-451-0 Money Markets and the Fed

FINC-460-0 Investments*

FINC-462-0 Portfolio Management

FINC-463-0 Security Analysis

FINC-464-0 Fixed Income Securities

FINC-465-0 Derivative Markets I

FINC-467-0 Derivative Markets II

FINC-470-0 Empirical Methods in Finance*

FINC-936-0 Asset Management Practicum IV

FINC-941-0 Macroeconomic Policy and Global Capital Markets

FINC-970-0 Empirical Methods in Finance

ACCT-451-0 Financial Reporting and Analysis

ACCT-452-0 Financial Reporting and Analysis II



Asset Management Practicum IV (FINC-936-0)

This course counts toward the following majors: Finance

Asset Management Practicum IV is a continuation of Asset Management Practicum I, II, and III. Students in Asset Management IV will be responsible for using the analyses of students in Asset Management Practicum I, plus their own analyses, to determine portfolio positions, trading strategies, and asset allocations for the student-managed portfolio. Note: This course may not be dropped after the first week of the quarter.

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.