Literature: authors starting with K

Kacperczyk et al. (2005) · On the Industry Concentration of Actively Managed Equity Mutual Funds

Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu. The Journal of Finance 60 (4), pp. 1983–2011. doi:10.1111/j.1540-6261.2005.00785.x

Active US equity funds concentrated in a few industries performed better on average from 1984 to 1999 after adjusting for risk and style.

Cited in: Stock picking: why individual stocks are so hard to get right

Kahneman and Tversky (1979) · Prospect Theory: An Analysis of Decision under Risk

Kahneman, Daniel; Tversky, Amos. Econometrica 47 (2). doi:10.2307/1914185

Prospect theory: losses weigh more heavily than gains of the same size, and probabilities are weighted in a distorted way.

Cited in: Dollar-cost averaging: what the average-cost effect really delivers · Lump sum or dollar-cost averaging: invest a large amount at once or in installments? · Market timing: can you pick the right moment? · Maximum drawdown: the largest loss from a peak · Equity risk premium: how much more equities return and why it is a puzzle · Prediction markets as bets on events: what they can and cannot do · The efficient market hypothesis: why it is so hard to beat the market · Glossary: Loss aversion · Glossary: Prospect theory

Kalay (1982) · The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect

Kalay, Avner. The Journal of Finance 37 (4), pp. 1059–1070. doi:10.1111/j.1540-6261.1982.tb03598.x

The ex-day price drop alone does not reveal marginal tax rates; its relationship with dividend yield remains consistent with a tax effect.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, factors, risks

Kalman (1960) · A New Approach to Linear Filtering and Prediction Problems

Kalman, R. E.. Journal of Basic Engineering 82 (1), pp. 35–45. doi:10.1115/1.3662552

Introduces the Kalman filter: a changing hidden state is estimated step by step from noisy observations.

Cited in: Long/short and statistical arbitrage: methodology · Glossary: Kalman filter

Kamps and Kleinberg (2018) · To the moon: defining and detecting cryptocurrency pump-and-dumps

Kamps, Josh; Kleinberg, Bennett. Crime Science 7 (1). doi:10.1186/s40163-018-0093-5

Defines criteria for cryptocurrency pump-and-dumps and detects suspicious episodes using anomaly detection methods on price and volume data.

Cited in: Pump and dump and penny stocks: how the scam works

Kaplan and Strömberg (2003) · Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts

Kaplan, Steven N.; Strömberg, Per. Review of Economic Studies 70 (2), pp. 281–315. doi:10.1111/1467-937X.00245

Analyses actual contracts between venture capitalists and founders: cash flow, voting, board, liquidation and other control rights are allocated separately and change from round to round.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Kaplan and Schoar (2005) · Private Equity Performance: Returns, Persistence, and Capital Flows

Kaplan, Steven N.; Schoar, Antoinette. The Journal of Finance 60 (4), pp. 1791–1823. doi:10.1111/j.1540-6261.2005.00780.x

After fees, private equity funds earned roughly the return of the S&P 500 on average, with large differences between funds and marked persistence across successor funds.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Takahashi-Alexander model: forecasting the cash flows of private markets funds · Private markets methodology: analyzing funds, forecasting cash flows, planning commitments · Glossary: Public market equivalent

Kaplan and Strömberg (2009) · Leveraged Buyouts and Private Equity

Kaplan, Steven N.; Strömberg, Per. Journal of Economic Perspectives 23 (1), pp. 121–146. doi:10.1257/jep.23.1.121

Overview of buyout funds and their acquisitions: financing with 60 to 90% debt, management ownership, value creation through financial, governance and operational engineering, exit routes and credit cycles.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Takahashi-Alexander model: forecasting the cash flows of private markets funds · Glossary: Dry powder · Glossary: Carried interest · Glossary: Leveraged buyout · Glossary: Management buyout

Karnosky and Singer (1994) · Global Asset Management and Performance Attribution

Karnosky, Denis S.; Singer, Brian D.. Research Foundation of the Institute of Chartered Financial Analysts, Charlottesville. doi:10.2470/rf.v1994.n3.4444

Unified framework for international portfolios: returns as a premium over the local money market rate plus currency return, with the Brinson decomposition applied once to markets and once to currencies.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Glossary: Karnosky-Singer model

Katona et al. (2025) · On the Capital Market Consequences of Big Data: Evidence from Outer Space

Katona, Zsolt; Painter, Marcus O.; Patatoukas, Panos N.; Zeng, Jean. Journal of Financial and Quantitative Analysis 60 (2), pp. 551–579. doi:10.1017/S0022109023001448

Satellite-based car counts in the parking lots of 44 US retailers gave paying investors an edge ahead of quarterly results and increased information asymmetry.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Ship tracking data and satellite images: what they reveal about commodities

Kaul et al. (2000) · Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment

Kaul, Aditya; Mehrotra, Vikas; Morck, Randall. The Journal of Finance 55 (2), pp. 893–912. doi:10.1111/0022-1082.00230

An announced, information-free change to the free-float definition of the TSE 300 (1996) gave 31 stocks with higher weights an abnormal return of 2.3% with no later reversal.

Cited in: The index effect: what happens to prices when stocks join or leave an index

Keim (1983) · Size-related anomalies and stock return seasonality

Keim, Donald B.. Journal of Financial Economics 12 (1), pp. 13–32. doi:10.1016/0304-405X(83)90025-9

A large part of the size effect in US stocks falls in January, especially in its first trading days.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: January effect

Keller and Keuning (2016) · Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 2759734, April 5, 2016. doi:10.2139/ssrn.2759734

Tactical variant of the 60/40 portfolio with dual momentum: market breadth (how many markets show positive momentum) determines the mix of equities and bonds; tested with global multi-asset proxies from December 1970.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller and Keuning (2017) · Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 3002624, posted July 19, 2017. doi:10.2139/ssrn.3002624

Vigilant asset allocation uses breadth momentum as crash protection: the more markets in the investment universe show poor momentum, the more goes into defensive assets.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller and Keuning (2018) · Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Keller, Wouter J.; Keuning, Jan Willem. SSRN Working Paper 3212862, July 12, 2018, revised 2021. doi:10.2139/ssrn.3212862

A separate canary universe (VWO and BND, or EEM and AGG as substitutes) signals crash protection; the cash share depends on the number of canaries with non-positive momentum and is on average often less than half the VAA share.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Keller (2022) · Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)

Keller, Wouter J.. SSRN Working Paper 4166845, posted July 25, 2022. doi:10.2139/ssrn.4166845

Bold asset allocation: relative momentum as price / SMA(12) − 1 over 13 month-end prices, a canary signal with 13612W momentum and a defensive universe for periods of rising yields.

Cited in: Tactical allocation methodology: how the eleven tactical models work

Kelly et al. (2024) · The Virtue of Complexity in Return Prediction

Kelly, Bryan; Malamud, Semyon; Zhou, Kangying. The Journal of Finance 79 (1), pp. 459–503. doi:10.1111/jofi.13298

Argues that models with more parameters than observations capture the predictability of the market return better than simple models.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning

Kelly (1956) · A New Interpretation of Information Rate

Kelly, J. L.. Bell System Technical Journal 35 (4), pp. 917–926. doi:10.1002/j.1538-7305.1956.tb03809.x

Derives the fraction of capital that maximizes long-term wealth growth in repeated bets (the Kelly criterion).

Cited in: The Kelly criterion: how much to bet for maximum growth · Glossary: Kelly criterion

Kemna and Vorst (1990) · A pricing method for options based on average asset values

Kemna, A.G.Z.; Vorst, A.C.F.. Journal of Banking & Finance 14 (1), pp. 113–129. doi:10.1016/0378-4266(90)90039-5

Asian options: a closed-form formula for the geometric average, used as a control variate in Monte Carlo pricing of the arithmetic average.

Cited in: Option pricing: where fair option prices come from · Option pricer: how Portfolio Lab values options · Glossary: Asian option · Glossary: Control variate

Kerr et al. (2014) · Entrepreneurship as Experimentation

Kerr, William R.; Nanda, Ramana; Rhodes-Kropf, Matthew. Journal of Economic Perspectives 28 (3), pp. 25–48. doi:10.1257/jep.28.3.25

Entrepreneurship as experimentation: probabilities of success are low, extremely skewed and unknown before investing; the costs of experimentation shape where innovation happens.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Power law

Khandani and Lo (2011) · What happened to the quants in August 2007? Evidence from factors and transactions data

Khandani, Amir E.; Lo, Andrew W.. Journal of Financial Markets 14 (1), pp. 1–46. doi:10.1016/j.finmar.2010.07.005

The quant crisis of August 2007: simulated long/short portfolios and a market-making strategy point to market-wide deleveraging and a withdrawal of liquidity.

Cited in: Momentum crashes: why momentum collapses rarely but violently, and what volatility scaling and crowding measures show · Pairs trading and statistical arbitrage: idea, methods, research · Glossary: Crowding · Glossary: Quant meltdown

Kilian (2009) · Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

Kilian, Lutz. American Economic Review 99 (3), pp. 1053–1069. doi:10.1257/aer.99.3.1053

Separates supply, demand and oil-specific shocks; global real economic activity is measured with an index of dry bulk freight rates.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Freight rate index

Kim et al. (2016) · Time Series Momentum and Volatility Scaling

Kim, Abby Y.; Tse, Yiuman; Wald, John K.. Journal of Financial Markets 30, pp. 103–124. doi:10.1016/j.finmar.2016.05.003

The results on time-series momentum depend largely on volatility scaling; without it, the strategy resembles buy and hold.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Kim (1994) · Dynamic linear models with Markov-switching

Kim, Chang-Jin. Journal of Econometrics 60 (1–2), pp. 1–22. doi:10.1016/0304-4076(94)90036-1

Filtering and smoothing for state space models with Markov switching, including the smoothed regime probabilities.

Cited in: Regime models: hidden Markov, Markov switching and more · Regime methodology: how the hidden Markov model works · Glossary: Filtered and smoothed probability

Kim and Finger (2000) · A stress test to incorporate correlation breakdown

Kim, Jongwoo; Finger, Christopher. The Journal of Risk 2 (3), pp. 5–19. doi:10.21314/jor.2000.026

Broken-arrow stress test: correlations for stress periods are estimated from a mixture of two normal distributions (quiet and hectic days) and used to calculate the expected loss on the remaining assets; in the example, correlations change markedly under stress in four of 18 markets.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Correlation breakdown

Klarman (1991) · Margin of Safety: Risk-Averse Value Investing Strategies for the Thoughtful Investor

Klarman, Seth A.. HarperBusiness.

Value investing as a risk-averse approach: capital preservation before return, buying only with a margin of safety, patience and holding cash when there are no opportunities.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Kliesen et al. (2012) · Disentangling Diverse Measures: A Survey of Financial Stress Indexes

Kliesen, Kevin L.; Owyang, Michael T.; Vermann, E. Katarina. Federal Reserve Bank of St. Louis Review 94 (5). doi:10.20955/r.94.369-398

A survey of the financial stress indices developed by central banks and private providers after the financial crisis.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Financial stress index

Koijen et al. (2018) · Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.. Journal of Financial Economics 127 (2), pp. 197–225. doi:10.1016/j.jfineco.2017.11.002

Carry as the expected return if prices stay unchanged: it predicts returns for equity indices, bonds, currencies, commodities, corporate bonds and options, and carry strategies lose together in global recessions.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Carry trade: earning interest with currencies and bonds · Bond math: calculating price, yield, duration, convexity and spreads · Carry backtest: methodology for FX and bond carry · Glossary: Bond carry · Glossary: Carry

Kolari and Pynnönen (2010) · Event Study Testing with Cross-sectional Correlation of Abnormal Returns

Kolari, James W.; Pynnönen, Seppo. Review of Financial Studies 23 (11), pp. 3996–4025. doi:10.1093/rfs/hhq072

When events fall on the same days, even slight cross-sectional correlation leads to far too many rejections; the authors adjust the BMP test accordingly.

Cited in: Event studies: how to measure and test price reactions to events · The index effect: what happens to prices when stocks join or leave an index

Kommer (2018) · Souverän investieren mit Indexfonds und ETFs: Wie Privatanleger das Spiel gegen die Finanzbranche gewinnen [Investing confidently with index funds and ETFs: how private investors win the game against the financial industry]

Kommer, Gerd. Campus Verlag, 5th edition.

The standard German-language book on passive investing with index funds, a world portfolio and factor premiums.

Cited in: World portfolio: the whole world in one or two ETFs · Glossary: World portfolio (Weltportfolio)

Korteweg and Sorensen (2010) · Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies

Korteweg, Arthur; Sorensen, Morten. Review of Financial Studies 23 (10), pp. 3738–3772. doi:10.1093/rfs/hhq050

A dynamic sample selection model for valuations of young companies: with the correction, intercepts (alpha) turn out considerably lower and risks higher than in earlier studies.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Korteweg et al. (2016) · Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective

Korteweg, Arthur; Kräussl, Roman; Verwijmeren, Patrick. The Review of Financial Studies 29 (4), pp. 1007–1038. doi:10.1093/rfs/hhv062

20,538 paintings sold repeatedly at auction 1972–2010: paintings that have gained a lot in value are more likely to come up for sale; correcting for this selection lowers the index return from 10% to 6.5% a year and the Sharpe ratio from 0.24 to 0.04.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

Kostolany (1991) · Kostolanys Börsenpsychologie [Kostolany's stock market psychology]

Kostolany, André. Econ.

Kostolany on stock market psychology: in the short term, money and mood determine prices; in the long term, patient investors with “hard-boiled” rather than “shaky” hands win.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Kothari and O’Doherty (2023) · Job postings and aggregate stock returns

Kothari, Pratik; O’Doherty, Michael S.. Journal of Financial Markets 64, pp. 100804. doi:10.1016/j.finmar.2023.100804

The ratio of job openings to employment predicts the equity risk premium of the overall market better than more than two dozen standard predictors.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Kraus and Litzenberger (1976) · Skewness Preference and the Valuation of Risk Assets

Kraus, Alan; Litzenberger, Robert H.. The Journal of Finance 31 (4), pp. 1085–1100. doi:10.1111/j.1540-6261.1976.tb01961.x

Extends the CAPM to include skewness: investors like positive skewness and demand compensation for negative skewness.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says

Krauss (2017) · Statistical Arbitrage Pairs Trading Strategies: Review and Outlook

Krauss, Christopher. Journal of Economic Surveys 31 (2), pp. 513–545. doi:10.1111/joes.12153

A review of research on pairs trading in five groups: distance, cointegration, time series, stochastic control and other approaches.

Cited in: Pairs trading and statistical arbitrage: idea, methods, research · Glossary: Statistical arbitrage

Kritzman and Li (2010) · Skulls, Financial Turbulence, and Risk Management

Kritzman, Mark; Li, Yuanzhen. Financial Analysts Journal 66 (5), pp. 30–41. doi:10.2469/faj.v66.n5.3

Measures financial turbulence with a statistical distance measure originally developed for comparing skulls, and uses it to measure and manage risk.

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Mahalanobis distance · Glossary: Financial turbulence

Kritzman et al. (2011) · Principal Components as a Measure of Systemic Risk

Kritzman, Mark; Li, Yuanzhen; Page, Sébastien; Rigobon, Roberto. The Journal of Portfolio Management 37 (4), pp. 112–126. doi:10.3905/jpm.2011.37.4.112

Uses principal components as an early-warning measure: the absorption ratio rises when a few factors drive the market.

Cited in: Correlation and diversification: why mixing assets reduces risk · Beyond Markowitz: estimation error, noise and true diversification · Asset analysis: methodology from correlation to cointegration · Dimensions methodology: how Portfolio Lab counts independent risks · Glossary: Absorption ratio

Kritzman et al. (2012) · Regime Shifts: Implications for Dynamic Strategies

Kritzman, Mark; Page, Sébastien; Turkington, David. Financial Analysts Journal 68 (3), pp. 22–39. doi:10.2469/faj.v68.n3.3

Markov-switching models for market turbulence, inflation and growth; a dynamic allocation based on them beat the static one in a backtest, especially in protecting against large losses.

Cited in: Regime models: hidden Markov, Markov switching and more

Kruttli et al. (2021) · Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.. Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series 2021-038. doi:10.17016/feds.2021.038

Hedge funds doubled their Treasury positions up to February 2020 and cut them substantially in March 2020; funds with cash-futures basis trades came under the greatest margin pressure.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures

Kung and Pohlman (2004) · Portable Alpha

Kung, Edward; Pohlman, Lawrence. The Journal of Portfolio Management 30 (3), pp. 78–87. doi:10.3905/jpm.2004.412322

Splits the return of active managers into market return (beta) and selection skill (alpha) and shows how alpha can be transferred from one market to another portfolio.

Cited in: Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · Glossary: Return stacking · Glossary: Portable alpha

Kunsch (1989) · The Jackknife and the Bootstrap for General Stationary Observations

Kunsch, Hans R.. The Annals of Statistics 17 (3), pp. 1217–1241. doi:10.1214/aos/1176347265

Block bootstrap for dependent data: contiguous blocks are drawn so that autocorrelation is preserved.

Cited in: Monte Carlo simulation: how safe is your plan? · Bootstrap: future scenarios from your own history · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Glossary: Block bootstrap

Kupiec (1998) · Stress Testing in a Value at Risk Framework

Kupiec, Paul H.. The Journal of Derivatives 6 (1), pp. 7–24. doi:10.3905/jod.1998.408008

Computes stress scenarios with the same conditional distributions of the risk factors as value at risk; historical VaR covariances with a conditional normal distribution then give usable loss estimates in many stress periods (abstract in the Cambridge University Press reprint of 2002).

Cited in: Historical stress testing: how to apply past crises to your portfolio today · Scenario analysis and sensitivity analysis: stress testing equity, interest rate, credit and currency risk · Scenario methodology: how Portfolio Lab runs stress tests · Glossary: Conditional expectation

Kyle (1985) · Continuous Auctions and Insider Trading

Kyle, Albert S.. Econometrica 53 (6), pp. 1315–1335. doi:10.2307/1913210

A model with an insider, uninformed traders and a market maker: the price responds linearly to total order flow; the coefficient (Kyle's lambda) measures price impact, and its reciprocal measures market depth.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Prediction markets as bets on events: what they can and cannot do · Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Market impact