Prof Gregory Connor

Economics, Finance and Accounting

Professor

Rhetoric House
2
(01) 7086662

Biography

Gregory Connor is professor of finance at Maynooth University.  Connor’s research interests are in portfolio risk analysis and related financial econometrics topics, particular factor modeling.  He has a number of widely-cited publications in academic journals including Journal of Economic Theory, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Econometrics and Econometrica.  Prior to moving to Maynooth in 2008, Connor was professor of  finance at the London School of Economics, and previous to that he served as assistant professor of finance at the Haas School of Business, University of California, Berkeley and the Kellogg School of Management, Northwestern University. He earned his M.A. and Ph.D. (Economics) from Yale University and his B.A. (Economics) from Georgetown University.

Books

  Year Publication
2010 Portfolio Risk Analysis.
Connor, Professor Gregory, (2010) Portfolio Risk Analysis. : Princeton University Press. [Details]

Book Chapters

  Year Publication
2009 'Factor Models of Asset Returns'
Connor, Gregory, and Robert Korajczyk (2009) 'Factor Models of Asset Returns' In: Encyclopedia of Quantitative Finance. NY USA: Wiley. [Details]
2009 'Factor Models in Portfolio Analysis and Asset Pricing Theory'
Connor, G. (2009) 'Factor Models in Portfolio Analysis and Asset Pricing Theory' In: Handbook of Portfolio Construction. NY USA: Springer Verlag. [Details]
2008 'Hedging'
Gregory Connor (2008) 'Hedging' In: The New Palgrave: A Dictionary of Economics. Cambridge, UK: Stockton and Macmillan Press. [Details]
2003 'New Developments in Portfolio Risk Management'
Gregory Connor and Robert Korajczyk (2003) 'New Developments in Portfolio Risk Management' In: The Growth of Risk Management: A History. NY USA: Risk Publications. [Details]
1996 'The Search for a Global Portfolio Management Model'
Gregory Connor (1996) 'The Search for a Global Portfolio Management Model' In: Global Portfolio Management. Charleston, NC USA: AIMR. [Details]
1995 'The Arbitrage Pricing Theory and Multifactor Models of Asset Returns'
Gregory Connor and Robert Korajczyk (1995) 'The Arbitrage Pricing Theory and Multifactor Models of Asset Returns' In: Finance Handbook. Geneva, Switzerland: North Holland. [Details]
1988 'Notes on the Arbitrage Pricing Theory'
Gregory Connor (1988) 'Notes on the Arbitrage Pricing Theory' In: Theory of Valuation. Boston. MA USA: Rowman and Littlefield. [Details]

Peer Reviewed Journals

  Year Publication
2014 'A Synthesis of Factor Estimation Methods'
Gregory Connor, Robert Korajczyk and Robert Uhlaner (2014) 'A Synthesis of Factor Estimation Methods'. Journal of Financial and Quantitative Analysis, forthcoming [Details]
2012 'Efficient Semiparametric Estimation of the Fama French Model and Extensions'
Connor, Gregory, Matthias Hagmann and Oliver Linton (2012) 'Efficient Semiparametric Estimation of the Fama French Model and Extensions'. ECONOMETRICA, 80 :713-754 [IR Link] [Details]
2012 'The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features'
Gregory Connor, Thomas J. Flavin and Brian O'Kelly (2012) 'The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features'. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 31 :60-79 [IR Link] [Details]
2012 'Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector'
Gregory Connor and Brian O'Kelly (2012) 'Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector'. WORLD ECONOMY, 35 :1256-1276 [IR Link] [Details]
2008 'How Much Structure is Best? A Comparison of Market Model, Factor Model, and Unstructured Equity Covariance Matrices'
G. Briner and G. Connor (2008) 'How Much Structure is Best? A Comparison of Market Model, Factor Model, and Unstructured Equity Covariance Matrices'. JOURNAL OF RISK, 10 [IR Link] [Details]
2006 'Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns'
G. Connor and O. Linton (2006) 'Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns'. Journal of Empirical Finance, [Details]
2005 'The common and specific components of dynamic volatility'
G. Connor, R Korajczyk and O Linton (2005) 'The common and specific components of dynamic volatility'. 132 :231-255 [Details]
1996 'A Global Stock and Bond Model'
Gregory Connor, Lucie Chaumeton and Ross Curds (1996) 'A Global Stock and Bond Model'. Financial Analysts Journal, 50 [Details]
1995 'Cash Management for Index Tracking'
Gregory Connor and Hayne Leland (1995) 'Cash Management for Index Tracking'. Financial Analysts Journal, 50 [Details]
1995 'The Three Types of Factor Models: A Comparison of their Explanatory Power'
Gregory Connor (1995) 'The Three Types of Factor Models: A Comparison of their Explanatory Power'. Financial Analysts Journal, 50 [Details]
1995 'National Versus Global Influences on Equity Returns'
Gregory Connor, Stan Beckers and Ross Curds (1995) 'National Versus Global Influences on Equity Returns'. Financial Analysts Journal, 50 [Details]
1993 'A Test for the Number of Factors in an Approximate Factor Model'
Gregory Connor and Robert Korajczyk (1993) 'A Test for the Number of Factors in an Approximate Factor Model'. JOURNAL OF FINANCE, 100 [IR Link] [Details]
1991 'The Attributes, Behaviour and Performance of U.S. Mutual Funds'
Gregory Connor and Robert Korajczyk (1991) 'The Attributes, Behaviour and Performance of U.S. Mutual Funds'. Review of Quantitative Finance and Accounting, 1 [Details]
1989 'Organized Exchanges in Small Economies: The Case of Irish Futures Trading'
Gregory Connor and Barry Dillon (1989) 'Organized Exchanges in Small Economies: The Case of Irish Futures Trading'. To be added, 10 [Details]
1989 'An Intertemporal Equilibrium Beta Pricing Model'
Gregory Connor and Robert Korajczyk (1989) 'An Intertemporal Equilibrium Beta Pricing Model'. REVIEW OF FINANCIAL STUDIES, 10 [IR Link] [Details]
1988 'Risk and Return in an Equilibrium APT: Application of a New Test Methodology'
Gregory Connor and Robert Korajczyk (1988) 'Risk and Return in an Equilibrium APT: Application of a New Test Methodology'. Journal of Financial Economics, 50 [Details]
1986 'Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis'
Gregory Connor and Robert Korajczyk (1986) 'Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis'. Journal of Financial Economics, 45 [Details]
1984 'A Unified Beta Pricing Theory'
Gregory Connor (1984) 'A Unified Beta Pricing Theory'. JOURNAL OF ECONOMIC THEORY, 34 :13-31 [IR Link] [Details]

Conference Contributions

  Year Publication
University of Galway.
University of Galway. [Oral Presentation], The Risky Lending Gap of Impaired Banks, Galway [Details]
2009 Queens University Belfast.
(2009) Queens University Belfast. [Oral Presentation], the Risky Lending Gap of Impaired Banks, Belfast [Details]

Working Paper

  Year Publication
2010 The U.S. and Irish Credit Crises: Their distinctive Differences and Common Features.
Connor, Gregory, Flavin, Thomas and O'Kelly, Brian (2010) The U.S. and Irish Credit Crises: Their distinctive Differences and Common Features. Working Paper [IR Link] [Details]
2009 The Irish Risky Lending Gap.
Connor, G. (2009) The Irish Risky Lending Gap. Working Paper [IR Link] [Details]
2009 Market Dispersion and the Profitability of Hedge Funds.
Connor, Gregory and Li, Sheng (2009) Market Dispersion and the Profitability of Hedge Funds. Working Paper [IR Link] [Details]