On the robustness of size and book‐to‐market in cross‐sectional regressions

PJ Knez, MJ Ready - The Journal of Finance, 1997 - Wiley Online Library
We use a robust regression estimator to analyze the risk premia on size and book‐to‐market.
We find that the risk premium on size that was estimated by Fama and French (1992) …

Portfolio performance measurement: Theory and applications

Z Chen, PJ Knez - The Review of Financial Studies, 1996 - academic.oup.com
Any admissible portfolio performance measure should satisfy four minimal conditions: it
assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. …

Explorations into factors explaining money market returns

PJ Knez, R Litterman, J Scheinkman - The Journal of Finance, 1994 - Wiley Online Library
In this article, we measure and interpret the common “factors” that describe money market
returns. Results are presented for both three‐and four‐factor models. We find that the three‐…

Measurement of market integration and arbitrage

Z Chen, PJ Knez - The Review of Financial Studies, 1995 - academic.oup.com
We develop a measurement theory of market integration, based on two notions of “integrated
markets”. First, two markets cannot be perfectly integrated in any sense if one can construct …

Individual rationality, market rationality, and value estimation

P Knez, VL Smith, AW Williams - The American Economic Review, 1985 - JSTOR
Direct experimental tests of expected utility theory (EUT), in which subjects are asked to
choose among alternative gambles, or to make judgements as to their willingness to pay (WTP), …

Estimating the profits from trading strategies

PJ Knez, MJ Ready - The Review of Financial Studies, 1996 - academic.oup.com
Price improvement is the difference between the execution price of an order and the quoted
bid or ask when the order was submitted. We show that expected price improvement falls off …

A compensation mechanism for siting noxious facilities: theory and experimental design

H Kunreuther, P Kleindorfer, PJ Knez… - Journal of environmental …, 1987 - Elsevier
In locating noxious facilities, such as a trash disposal plant or a hazardous waste disposal
incinerator, the host community frequently incurs all the costs while other communities in the …

[HTML][HTML] Altered in-stent hemodynamics may cause erroneous upgrading of moderate carotid artery restenosis when evaluated by duplex ultrasound

M Hakimi, P Knez, M Lippert, N Attigah, K Nelson… - Journal of vascular …, 2012 - Elsevier
OBJECTIVE: To assess the influence of stent application on in-stent hemodynamics under
standardized conditions. METHODS: Ovine common carotid arteries before and after stent (6 …

Does vascular stapling improve compliance of vascular anastomoses?

G Stansby, P Knez, CS Berwanger… - Vascular …, 2001 - journals.sagepub.com
Elastic properties of vessel walls are altered by vascular anastomoses. Such alterations may
lead to neointimal hyperplasia, which is a common cause of reocclusion following vascular …

[HTML][HTML] Lower extremity arterial revascularization using conditioned small-diameter great saphenous vein

M Fattoum, S Kennel, P Knez, T Schmitz-Rixen… - Journal of Vascular …, 2016 - Elsevier
Objective This study was conducted to determine whether it was feasible to increase the
diameter of smaller great saphenous veins (GSVs) in preparation for possible bypass and …