Leonid Kogan

Nippon Telegraph & Telephone Professor of Management
Professor of Finance

Biography | Selected Publications

“Growth Opportunities, Technology Shocks, and Asset Prices.” ​Kogan, Leonid, and Dimitris Papanikolaou (2014). Journal of Finance, 69(2): 675-718. (2014)

"Measuring the "Dark Matter" in Asset Pricing Models." Hui Chen, Leonid Kogan and Winson Wei Dou. In Proceedings of the 2013 Red Rock Finance Conference. Springdale, UT: September 2013. 

“Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks.” ​Kogan, Leonid, and Dimitris Papanikolaou (2013) Review of Financial Studies, 26(11), 2718-2759. (2013)

“Economic Activity of Firms and Asset Prices.” ​Kogan, Leonid, and Dimitris Papanikolaou (October 2012). Annual Review of Financial Economics, 4: 361-384.

“Mutual Fund Trading Pressure: Firm- Level Stock Price Impact and Timing of SEOs.” ​Khan, Mozaffar, and Leonid Kogan, and George Serafeim (August 2012). Journal of Finance, 67(4): 1371-1395.

“Displacement Risk and Asset Returns.” Gârleanu, Nicolae, Leonid Kogan, and Stavros Panageas (2012). Journal of Financial Economics, 105: 491-510. (2012)

“Market Selection.” Kogan, Leonid, Stephen Ross, Jiang Wang, and Mark M. Westerfield (2012). NBER Working Paper No. 15189. (2012)

"Growth Opportunities and Technology Shocks." ​Kogan, Leonid, and Dimitris Papanikolaou (2010). American Economic Review Papers & Proceedings, 100(2): 532-536. (2010)

"Investment Shocks, Firm Characteristics and the Cross-Section of Expected Returns." Kogan, Leonid, and Dimitris Papanikolaou (2010). Working Paper. (2010)

“Market Selection.” Leonid Kogan, Stephen Ross, Jiang Wang and Mark M. Westerfield, NBER Working Paper 15189. Cambridge, MA: National Bureau of Economic Research, June 2009.

“Durability of Output and the Cross- Section of Stock Returns.” ​Gomes, João F., Leonid Kogan, and Motohiro Yogo (2009). Journal of Political Economy, 117(5): 941-986. (2009)

“Oil Futures Prices in a Production Economy with Investment Constraints.” Kogan, Leonid, Dmitry Livdan, and Amir Yaron (2008). Journal of Finance 64(3): 1345-1375. (2008)

“A Dynamic Default Correlation Model.” Kogan, Leonid (2008). Quantitative Credit Research Quarterly Q2/3, Lehman Brothers.  (2008)

“Commodity Futures and Inflation.” Kogan, Leonid, and V. Konstantinovsky (2008). ​Global Relative Value, Lehman Brothers.  (2008)

“Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization.” ​Haugh, Martin B., and Leonoid Kogan (2007). Ch. 23 in Birge, John, and Vadim Linetsky (eds.). Handbooks in Operations Research and Management Science: Financial Engineering, 15. Elsevier, North-Holland. (2007)

“The Equity Risk Premium and the Riskfree Rate in an Economy with Borrowing Constraints.” Kogan, Leonid, Igor Makarov, and Raman Uppal (2007). Mathematics and Financial Economics 1: 1-19. (2007)

The Price Impact and Survival of Irrational Traders.” ​Kogan, Leonid, Stephen A. Ross, Jiang Wang and Mark M. Westerfield. Journal of Finance Vol. 61, No. 1 (2006): 195-229. (2006)

“Asset Prices and Real Investment.” Kogan, Leonid (September 2004). Journal of Financial Economics, 73(3): 411-432.

“Evaluating Portfolio Policies: A Duality Approach.” ​Haugh, Martin B., Leonid Kogan, and Jiang Wang (May 2004). Operations Research, 54(3): 405-418.

“Pricing American Options: A Duality Approach.” ​Haugh, Martin B., and Leonid Kogan (2004). Operations Research, 52: 258-270. (2004)

“Equilibrium Cross-Section of Returns.” ​Gomes, João F., Leonid Kogan, and Lu Zhang (2003). Journal of Political Economy, 111(4): 693-732. (2003)

"Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices.” ​Chan, Yeung Lewis, and Leonid Kogan (2002). Journal of Political Economy, 110(6): 1255-1285. (2002)

“An Equilibrium Model of Irreversible Investment.” ​Kogan, Leonid (2001). Journal of Financial Economics, 62(2): 201-245. (2001)

"Hedging Derivative Securities and Incomplete Markets: An e-Arbitrage Approach." Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Operations Research Vol. 49, No. 3 (2001): 372–397. (2001)

"When Is Time Continuous?" Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Journal of Financial Economics Vol. 55 (2000): 173–204. (2000)

View complete list of publications (PDF) >>


Contact Information
Office: E62-636
Tel: (617) 253-2289
Fax: (617) 258-6855
Support Staff
Name: Miss Bridgette Ann Hayes
Tel: (617) 253-3386

Research Center(s)

General Expertise
Arbitrage pricing theory; Asset management; Asset pricing; Derivatives; Finance; Financial engineering; Financial markets; Financial services; Options pricing valuation; Portfolio choice; Stock market