K. Geert Rouwenhorst

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K. Geert Rouwenhorst
G rowenhorst6.jpg
NationalityNetherlands
OccupationAcademic
Academic background
Alma materUniversity of Rochester
Academic work
DisciplineFinancial economics
InstitutionsYale University
SummerHaven Investment Management
Main interestsBusiness cycle theory
Commodity investments
History of financial innovation
WebsiteHome 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

  1. "K. Geert Rouwenhorst". Yale School of Management - Faculty Profiles. Retrieved 22 February 2016.
  2. "Our people". Summerhaven Investment Management. Retrieved February 22, 2016.
  3. "Roger F. Murray Prize". Qgroup. Retrieved December 22, 2015.
  4. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  5. Rouwenhorst, K. Geert (February 1998). International momentum strategies. The Journal of Finance Volume 53 (1): Blackwell Publishers, Inc. pp. 267–284.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  6. Gorton, Gary; Rouwenhorst, K. Geert (March 2006). Facts and fantasies about commodity futures. Financial Analysts Journal Volume 62 (2): CFA Institute. pp. 47–68.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  7. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  8. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  9. Goetzmann, William N.; Li, Lingfeng; Rouwenhorst, K. Geert (November 2005). Long-term global market correlations. Journal of Business Volume 78 (1).CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  10. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  11. Gorton, Gary; Hayashi, Fumio; Rouwenhorst, K. Geert (August 2012). International term structures and real economic growth. Review of Finance: Oxford University Preaa.CS1 maint: uses authors parameter (link)
  12. Rouwenhorst, K. Geert (October 1998). European equity markets and the EMU. SSRN.CS1 maint: uses authors parameter (link)
  13. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  14. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  15. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  16. 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.CS1 maint: uses authors parameter (link) CS1 maint: location (link)
  17. Goetzmann, William N.; Rouwenhorst, K. Geert (February 2000). Global real estate markets-cycles and fundamentals. National bureau of economic research w7566.CS1 maint: uses authors parameter (link) CS1 maint: location (link)

External links