K. Geert Rouwenhorst
K. Geert Rouwenhorst | |
---|---|
Nationality | Netherlands |
Occupation | Academic |
Academic background | |
Alma mater | University of Rochester |
Academic work | |
Discipline | Financial economics |
Institutions | Yale University SummerHaven Investment Management |
Main interests | Business cycle theory Commodity investments History of financial innovation |
Website | Home page |
K. Geert Rouwenhorst is Professor of Finance & Deputy Director of the International Center for Finance at Yale University. Rouwenhorst specializes in international finance and asset pricing. His research interests include business cycle theory, the empirical tradeoff between risk and return in developed and emerging stock markets, and portfolio choice. His recent work examines hedge fund strategies, mutual fund settlement, commodity investments, and the history of financial innovation.[1] Rouwenhorst is a partner in Summerhaven Investment Management LLC, which specializes in commodity futures investment.[2]
Papers
Rouwenhorst is the coauthor of a 2008 Roger F. Murray Prize winning paper,[3] The Fundamentals of Commodity Futures Returns.[4]
He is the author/coauthor of the following most cited works, listed from most to least cited.
Year | Study |
---|---|
1998 | International momentum strategies[5] |
2006 | Facts and fantasies about commodity futures[6] |
1999 | Local return factors and turnover in emerging stock markets[7] |
1994 | Does industrial structure explain the benefits of international diversification?[8] |
2005 | Long-term global market correlations[9] |
2006 | Pairs trading: Performance of a relative-value arbitrage rule[10] |
1994 | International term structures and real economic growth[11] |
1999 | European equity markets and the EMU[12] |
1995 | Industry and country effects in international stock returns[13] |
1999 | The Role of Beta and Size in the Cross‐Section of European Stock Returns[14] |
1995 | The structure of international stock returns and the integration of capital markets[15] |
2001 | Day trading international mutual funds: Evidence and policy solutions[16] |
2000 | Global real estate markets-cycles and fundamentals[17] |
Books
- William N. Goetzmann, ed. and K. Geert Rouwenhorst, ed., The Origins of Value: The Financial Innovations that Created the Modern Financial Markets (Oxford, 2005) ISBN 978-0195175714
- William N. Goetzmann, ed., Catherine Labio, ed., K. Geert Rouwenhorst, ed., and Timothy G. Young, ed., The Great Mirror of Folly, Finance, Culture, and the Crash of 1720 (Yale University Press). ISBN 978-0300162462
References
- ↑ "K. Geert Rouwenhorst". Yale School of Management - Faculty Profiles. Retrieved 22 February 2016.
- ↑ "Our people". Summerhaven Investment Management. Retrieved February 22, 2016.
- ↑ "Roger F. Murray Prize". Qgroup. Retrieved December 22, 2015.
- ↑ Gorton, Gary B.; Hayashi, Fumio; Rouwenhorst, K. Geert (February 7, 2012). The Fundamentals of Commodity Futures Returns. Yale ICF Working Paper No. 07-08: SSRN.
{{cite book}}
: CS1 maint: location (link) - ↑ Rouwenhorst, K. Geert (February 1998). International momentum strategies. The Journal of Finance Volume 53 (1): Blackwell Publishers, Inc. pp. 267–284.
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: CS1 maint: location (link) - ↑ Gorton, Gary; Rouwenhorst, K. Geert (March 2006). Facts and fantasies about commodity futures. Financial Analysts Journal Volume 62 (2): CFA Institute. pp. 47–68.
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: CS1 maint: location (link) - ↑ Rouwenhorst, K. Geert (August 1999). Local return factors and turnover in emerging stock markets. The Journal of Finance Volume 54 (4): Blackwell Publishers, Inc. pp. 1439–1464.
{{cite book}}
: CS1 maint: location (link) - ↑ Heston, Steven L.; Rouwenhorst, K. Geert (August 1994). Does industrial structure explain the benefits of international diversification?. Journal of Financial Economics Volume 36 (1): North-Holland. pp. 3–27.
{{cite book}}
: CS1 maint: location (link) - ↑ Goetzmann, William N.; Li, Lingfeng; Rouwenhorst, K. Geert (November 2005). Long-term global market correlations. Journal of Business Volume 78 (1).
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: CS1 maint: location (link) - ↑ Gatev, Evan; Goetzmann, William N.; Rouwenhorst, K. Geert (September 2006). Pairs trading: Performance of a relative-value arbitrage rule. Review of Financial Studies Volume 19 (3): Oxford University Press. pp. 797–827.
{{cite book}}
: CS1 maint: location (link) - ↑ Gorton, Gary; Hayashi, Fumio; Rouwenhorst, K. Geert (August 2012). International term structures and real economic growth. Review of Finance: Oxford University Preaa.
- ↑ Rouwenhorst, K. Geert (October 1998). European equity markets and the EMU. SSRN.
- ↑ Heston, Steven L.; Rouwenhorst, K. Geert (1995). Industry and country effects in international stock returns. The Journal of Portfolio Management Volume 21 (3): Institutional Investor Journals. pp. 53–58.
{{cite book}}
: CS1 maint: location (link) - ↑ Heston, Steven L.; Rouwenhorst, K. Geert; Wessels, Roberto E. (1999). The Role of Beta and Size in the Cross‐Section of European Stock Returns. European Financial Management Volume 4: SSRN. pp. 9–28.
{{cite book}}
: CS1 maint: location (link) - ↑ Heston, Steven L.; Rouwenhorst, K. Geert; Wessels, Roberto E. (1995). The structure of international stock returns and the integration of capital markets. Journal of Empirical Finance Volume 2: SSRN. pp. 173–197.
{{cite book}}
: CS1 maint: location (link) - ↑ Goetzmann, William N.; Ivkovic, Zoran; Rouwenhorst, K. Geert (September 2001). Day trading international mutual funds: Evidence and policy solutions. Journal of Financial and Quantitative Analysis Volume 36 (3): Journal of Financial and Quantitative Analysis. pp. 287–310.
{{cite book}}
: CS1 maint: location (link) - ↑ Goetzmann, William N.; Rouwenhorst, K. Geert (February 2000). Global real estate markets-cycles and fundamentals. National bureau of economic research w7566.
{{cite book}}
: CS1 maint: location (link)
External links
- Web page
- Our people, Summerhaven Investment Management
- Author page, Academic search (beta)
- K. Geert Rouwenhorst : Citation Profile,CitEc
- Google Scholar page
- K. Geert Rouwenhorst at IDEAS,RePEc
- SSRN Working papers