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)

“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)

“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 (2006). Journal of Finance, 61(1): 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)

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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