By Associate Professor Konark Saxena

Journal articles

Phin A; Prono T; Reeves JJ; Saxena K, 2022, 'Shifts in beta and the TARP announcement', Finance Research Letters, 47, http://dx.doi.org/10.1016/j.frl.2022.102704

Saxena K; Barroso P, 2021, 'Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios', The Review of Financial Studies, http://dx.doi.org/10.1093/rfs/hhab041

Feldman D; Kang C-M; Li J; Saxena K, 2021, 'Politically Motivated Corporate Decisions as Tournament Participation/Inclusion Games', Journal of Corporate Finance, 67, pp. 101883, http://dx.doi.org/10.1016/j.jcorpfin.2021.101883

Feldman D; Saxena K; Xu J, 2020, 'Is the Active Fund Management Industry Concentrated Enough?', Journal of Financial Economics, 136, pp. 23 - 43, http://dx.doi.org/10.1016/j.jfineco.2019.08.009

Garvey G; Saxena K, 2019, 'Practical Applications of Should the Interest Rate Level Influence Asset Allocation?', Practical Applications, 6, pp. 1.2 - 5, http://dx.doi.org/10.3905/pa.6.4.315

Saxena K; Zolotoy L; Kalev P, 2019, 'Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing', Journal of Financial and Quantitative Analysis, 54, pp. 335 - 368, http://dx.doi.org/10.1017/S0022109018000637

Grinblatt M; Saxena K, 2018, 'When factors do not span their basis portfolios', Journal of Financial and Quantitative Analysis, Published online: 12 October 2018, pp. 2335 - 2354, http://dx.doi.org/10.1017/S0022109018000376

Saxena K; Grinblatt M, 2018, 'Improving Factor Models', Journal of Portfolio Management, 44, pp. 74 - 88, http://dx.doi.org/10.3905/jpm.2018.44.6.074

Garvey G; Saxena K, 2018, 'Should the interest rate level influence asset allocation?', Journal of Investing, 27, pp. 116 - 125, http://dx.doi.org/10.3905/joi.2018.1.069

Phin A; Prono T; Reeves JJ; Saxena K, 2018, 'Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement', Finance and Economics Discussion Series, 2018, http://dx.doi.org/10.17016/feds.2018.081

Barroso P, 2016, 'Lest we forget: Using Out-Of-Sample Errors in Portfolio Optimization', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2771664

Saxena K; Guan X, 2016, 'Capital market seasonality: the curious case of large foreign stocks', Finance Research Letters, http://dx.doi.org/10.1016/j.frl.2015.08.007

Chowdhry B; Roll R; Saxena K, 2013, 'Development and freedom as risk management', Finance Research Letters, 10, pp. 103 - 109

Working Papers

Feldman D; Saxena K; Xu J, Is the Active Fund Management Industry Concentrated Enough?, Elsevier BV, http://dx.doi.org10.2139/ssrn.2737875, http://dx.doi.org/10.2139/ssrn.2737875

Preprints

Saxena K; Singh M, 2023, Do Investors Reward Countries for Participating in Climate Agreements?, , http://dx.doi.org/10.21203/rs.3.rs-2775978/v1

Saxena K, A One Factor Model Given Style Investing, , http://dx.doi.org/10.2139/ssrn.2020843

Saxena K, Are Exogenous Weight Assumptions in Factor Models Harmless?, , http://dx.doi.org/10.2139/ssrn.2347929

Barroso P; Saxena K, Internet Appendix for Lest We Forget: Using Out-Of-Sample Forecast Errors in Portfolio Optimization, , http://dx.doi.org/10.2139/ssrn.3306834

Phin A; Reeves JJ; Saxena K, Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement, , http://dx.doi.org/10.2139/ssrn.2317710

Kim SY; Saxena K, Long Run Risks in FX Markets: Are They There?, , http://dx.doi.org/10.2139/ssrn.3950981

Saxena K, Mutual Fund Separation and the Fama, French, Carhart Factors, , http://dx.doi.org/10.2139/ssrn.2243168

Feldman D; Li J; Saxena K, Politically Motivated Corporate Decisions: Evidence from China, , http://dx.doi.org/10.2139/ssrn.2738946

Feldman D; Saxena K; Xu J, The International Active Fund Management Industry: Concentration Cross Effects, , http://dx.doi.org/10.2139/ssrn.3330131

Saxena K, Unconditional Asset Pricing When Betas Covary with the Riskless Rate, , http://dx.doi.org/10.2139/ssrn.2667504

Grinblatt M; Saxena K, When Factors Don't Span Their Basis Portfolios, , http://dx.doi.org/10.2139/ssrn.2788387

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