Robert Korajczyk

About

Robert Korajczyk is the Harry G. Guthmann Professor of Finance at the Kellogg School of Management and has been a member of the faculty since 1982. He serves as the Senior Associate Dean for Faculty and Research and is co-director of the Center for Financial Institutions and Markets. His research interests are in investments and empirical asset pricing, with a focus on applying insights to finance. Korajczyk has held numerous academic positions, including chair of the Department of Finance and director of the Zell Center for Risk Research, and has held visiting appointments at several international institutions. He has received multiple awards for his research and teaching, including the 2024 Invesco Factor Investing Prize and the 2022 Harry Markowitz Special Distinction Award. Korajczyk has also served as an associate editor for several prominent finance journals and has contributed to the academic community through editorial roles and advisory positions.

Research topics

• Computer Science
• Econometrics
• Economics
• Statistics
• Mathematics
• Demography
• Biology
• Engineering
• Financial economics

Selected publications

• High-Frequency Market Making to Large Institutional Trades

  Review of Financial Studies · 2018-07-20 · 172 citations

  article1st author

  We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased and price impact decreased for institutional trades. The decrease in price impact is strongest for informed institutional traders. During institutional trade executions, HFTs submit more same-direction ord…

  PublisherDOI

• Horizon Pricing

  Journal of Financial and Quantitative Analysis · 2016-12-01 · 100 citations

  article

  The literature documents heterogeneity in the delay of stock price reaction to systematic shocks, implying that asset risk depends on investment horizon. We study the pricing of risk factors across investment horizons. Value (liquidity) risk is priced over intermediate (short) horizons. Conditioning horizon-factor exposures on firm characteristics indicates that characteristics, with the exception of momentum, are not priced beyond their contribution to systematic risk. Long-horizon institutiona…

  PublisherDOI

• Nonstandard Errors

  The Journal of Finance · 2024 · 85 citations

  ABSTRACT In statistics, samples are drawn from a population in a data‐generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence‐generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible…

  DOI

• Market Liquidity: Asset Pricing, Risk, and Crises

  Quantitative Finance · 2013-10-25 · 15 citations

  article1st authorCorresponding

  by Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen, University Press, Cambridge (2013) ISBN 978-0-521-19176-0. © 2013, Cambridge University Press The work of Yakov Amihud, Haim Mendelson and L...

  PublisherDOI

• Semi-Strong Factors in Asset Returns

  Journal of Financial Econometrics · 2022 · 13 citations

  Senior authorCorresponding

  Abstract We refine the approximate factor model of asset returns by distinguishing between strong factors, whose sum of squared factor betas grow at the same rate as the number of assets, and semi-strong factors, whose sum of squared factor betas grow to infinity, but at a slower rate. We develop a test statistic for strength of factors based on the cross-sectional mean-square of regression-estimated betas. We also describe an adjusted version of the test statistic to differentiate semi-strong f…

  PublisherDOI

Frequent coauthors

• Ronnie Sadka

  119 shared

• Steven L. Heston

  University of Maryland, College Park

  106 shared

• Gregory Connor

  31 shared

• Ravi Jagannathan

  17 shared

• Deborah Lucas

  Massachusetts Institute of Technology

  12 shared

• Robert L. McDonald

  Kellogg's (Canada)

  6 shared

• Xiaoxia Lou

  Second Hospital of Shandong University

  6 shared

• Avraham Kamara

  University of Washington

  6 shared

Education

• Ph.D., Graduate School of Business

  University of Chicago

  1983

• MBA, Graduate School of Business

  University of Chicago

  1977

• BA, College

  University of Chicago

  1976

Awards & honors

• 2024 Invesco Factor Investing Prize
• 2022 Journal of Investment Management Harry Markowitz Specia…
• 2009 Crowell Prize for best paper in the field of quantitati…
• Alumni Choice Faculty Award 2000
• Core Teaching Award 1998 and 2000

Similar researchers at Northwestern University

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• Mark Finnh-95
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