.
Bekaert, Geert's
Scholarly Papers
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column.
Aggregate Statistics
Total 46,875
Total Citations 4,469
1.
Liquidity and Expected Returns: Lessons from Emerging Markets
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
03 Aug 03
Last Revised:
19 Sep 12
2,848(1,494)
144
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
0
G12, G15, F30
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
22
144
Liquidity pricing, emerging markets, return predictability
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
54
144
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
2,772
144
Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures
2.
The Determinants of Stock and Bond Return Comovements
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Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Inghelbrecht, Koen University College of Ghent - Department of Finance
Posted:
18 Aug 09
Last Revised:
08 Nov 11
2,808(1,531)
54
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Inghelbrecht, Koen University College of Ghent - Department of Finance
2,786
52
factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Inghelbrecht, Koen University College of Ghent - Department of Finance
22
52
3.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
2,622(1,748)
102
Market liberalization, portfolio flows, market reforms, economic growth, risk sharing, contagion, privatization, capital flows, market microstructure, inequality, productivity, volatility of capital flows, performance of emerging market investments
4.
Stock Return Predictability: Is it There?
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Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Posted:
23 Mar 01
Last Revised:
28 Jun 11
2,255(2,299)
308
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
178
308
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
2,077
308
Present value model, predictability, international predictability, short rates, dividend yield, earnings yield
5.
Inflation and the Stock Market: Understanding the 'Fed Model'
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Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Posted:
29 Apr 08
Last Revised:
07 Nov 11
2,251(2,305)
21
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
91
21
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Posted:
29 Apr 08
Last Revised:
28 Jun 11
2,160
21
Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
6.
International Asset Allocation with Time-Varying Correlations
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Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Posted:
07 Apr 99
Last Revised:
15 Jun 11
2,155(2,488)
32
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
114
32
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
2,041
32
7.
Aggregate Idiosyncratic Volatility
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Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
25 Mar 08
Last Revised:
28 Jun 11
1,619(4,067)
17
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
3
17
contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
20
17
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
25 Mar 08
Last Revised:
28 Jun 11
1,596
17
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
8.
What Segments Equity Markets?
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
Posted:
27 Mar 08
Last Revised:
19 Sep 12
1,614(4,095)
41
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
6
39
capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
31
39
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
Posted:
27 Mar 08
Last Revised:
19 Sep 12
1,577
39
9.
The Term Structure of Real Rates and Expected Inflation
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Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Posted:
16 Jul 03
Last Revised:
15 Jun 11
1,490(4,730)
117
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
155
117
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
22
117
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
1,313
117
regime-switching term structure model, inflation risk premium, business cycles
10.
International Stock Return Comovements
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Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
22 Jan 06
Last Revised:
28 Jun 11
1,292(6,052)
63
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
19 Mar 08
Last Revised:
28 Jun 11
1,215
63
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
36
63
International diversification, correlation dynamics, country debate, factor models, comovements
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Zhang, Xiaoyan Purdue University - Krannert School of Management
41
63
11.
Does Financial Liberalization Spur Growth?
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
19 Apr 01
Last Revised:
19 Sep 12
1,274(6,196)
326
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
82
326
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
1,192
326
Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk
12.
Risk, Uncertainty and Monetary Policy
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Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
Posted:
08 Mar 10
Last Revised:
13 Oct 12
1,272(6,223)
17
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
34
17
Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
65
17
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
3
17
business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
12
17
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Lo Duca, Marco European Central Bank (ECB)
Posted:
08 Mar 10
Last Revised:
04 Sep 12
1,158
17
Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics
13.
Regime Switches in Interest Rates
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Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Posted:
01 Jun 98
Last Revised:
15 Jun 11
1,170(7,138)
118
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
103
118
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
1,067
118
14.
How do Regimes Affect Asset Allocation?
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Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Posted:
27 May 02
Last Revised:
28 Jun 11
1,107(7,827)
36
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
124
36
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
983
36
market timing, tactical asset allocation, regime switching, international diversification
15.
Market Integration and Contagion
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Ng, Angela Hong Kong University of Science & Technology (HKUST) - Department of Finance
Posted:
22 Mar 02
Last Revised:
28 Jun 11
1,065(8,375)
118
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Ng, Angela Hong Kong University of Science & Technology (HKUST) - Department of Finance
38
118
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Ng, Angela Hong Kong University of Science & Technology (HKUST) - Department of Finance
1,027
118
16.
Global Growth Opportunities and Market Integration
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
Posted:
01 Jul 04
Last Revised:
19 Sep 12
984(9,512)
84
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
53
82
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
931
82
Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization
17.
Growth Volatility and Financial Liberalization
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
12 Mar 02
Last Revised:
19 Sep 12
976(9,619)
90
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
35
90
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
941
90
Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility
18.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
937(10,261)
73
Emerging markets, International Cost of Capital, Financial openness, dating integration, market segmentation, market integration, capital flows, contagion, market correlations, emerging market volatility, emerging return skewness, emerging return kurtosis
19.
Emerging Equity Market Volatility
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Posted:
26 Aug 00
Last Revised:
28 Jun 11
884(11,209)
240
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
797
240
Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
87
240
20.
The Dynamics of Emerging Market Equity Flows
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
Posted:
24 Sep 99
Last Revised:
28 Jun 11
870(11,520)
55
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
32
55
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
838
55
21.
Stock and Bond Pricing in an Affine Economy
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Grenadier, Steven R. Stanford Graduate School of Business
Bekaert, Geert Columbia Business School - Finance and Economics
Posted:
05 Feb 00
Last Revised:
28 Jun 11
834(12,339)
30
Grenadier, Steven R. Stanford Graduate School of Business
Bekaert, Geert Columbia Business School - Finance and Economics
790
29
Grenadier, Steven R. Stanford Graduate School of Business
Bekaert, Geert Columbia Business School - Finance and Economics
44
29
22.
Global Crises and Equity Market Contagion
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Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
Posted:
03 Jun 11
Last Revised:
23 Nov 12
807(12,950)
5
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
39
5
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
70
5
Contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
Posted:
31 Aug 11
Last Revised:
23 Nov 12
20
5
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
19
5
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
5
5
contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration
Bekaert, Geert Columbia Business School - Finance and Economics
Ehrmann , Michael European Central Bank (ECB)
Fratzscher, Marcel DIW Berlin
Mehl, Arnaud European Central Bank (ECB)
Posted:
03 Jun 11
Last Revised:
26 Jul 12
654
5
contagion; financial crisis; equity markets; global transmission; market integration; country risk; factor model; financial policies; FX reserves, current account
23.
Why Stocks May Disappoint
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Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
Posted:
30 Mar 00
Last Revised:
15 Jun 11
805(12,995)
56
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
64
56
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
741
56
24.
Stock and Bond Returns with Moody Investors
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Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Grenadier, Steven R. Stanford Graduate School of Business
Posted:
18 Aug 04
Last Revised:
08 Nov 11
766(14,026)
37
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Grenadier, Steven R. Stanford Graduate School of Business
30
37
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Grenadier, Steven R. Stanford Graduate School of Business
707
37
Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Grenadier, Steven R. Stanford Graduate School of Business
29
37
Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence
25.
Asset Return Dynamics Under Bad Environment Good Environment Fundamentals
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Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Posted:
31 Jul 09
Last Revised:
28 Jun 11
695(16,143)
20
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
28
20
Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
2
20
countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
10
20
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Posted:
31 Jul 09
Last Revised:
28 Jun 11
655
20
Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability
26.
The European Union, the Euro, and Equity Market Integration
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
Posted:
21 Mar 10
Last Revised:
13 Oct 12
688(16,432)
9
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
15
8
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Siegel, Stephan University of Washington - Michael G. Foster School of Business
Posted:
21 Mar 10
Last Revised:
13 Oct 12
673
8
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis
27.
Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
674(16,909)
12
Home bias, international asset allocation, portfolio choice, international diversification
28.
Time-Varying World Market Integration
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Posted:
03 May 00
Last Revised:
28 Jun 11
651(17,714)
409
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
611
409
Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
40
409
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
0
29.
Expectations Hypotheses Tests
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Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Posted:
25 Apr 00
Last Revised:
08 Nov 11
639(18,232)
43
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
603
43
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
36
43
30.
Emerging Equity Markets and Economic Development
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
17 Jul 00
Last Revised:
19 Sep 12
618(19,146)
87
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
46
87
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
572
87
31.
Financial Openness and Productivity
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
13 Mar 09
Last Revised:
19 Sep 12
614(19,316)
14
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
27
14
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
39
14
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
Posted:
13 Mar 09
Last Revised:
19 Sep 12
548
14
financial openness, growth, liberalization, productivity
32.
Foreign Speculators and Emerging Equity Markets
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Posted:
08 May 00
Last Revised:
28 Jun 11
555(22,137)
378
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
40
378
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
515
378
Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility
33.
Inflation Risk and the Inflation Risk Premium
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Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
Posted:
06 May 10
Last Revised:
28 Jun 11
554(22,197)
17
Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
1
17
Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
553
17
Inflation risk, risk premium, hedge, inflation protected bond, term structure model
34.
New-Keynesian Macroeconomics and the Term Structure
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Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Moreno, Antonio University of Navarra - School of Economics
Posted:
07 Jun 05
Last Revised:
13 Jan 12
511(24,781)
72
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Moreno, Antonio University of Navarra - School of Economics
31
72
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Moreno, Antonio University of Navarra - School of Economics
30
72
Monetary policy, inflation target, term structure of interest rates, Phillips curve
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Moreno, Antonio University of Navarra - School of Economics
32
72
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Moreno, Antonio University of Navarra - School of Economics
Posted:
07 Jun 05
Last Revised:
28 Jun 11
418
72
Phillips curve, term structure, New-Keynesian model
35.
Uncovered Interest Rate Parity and the Term Structure
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Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
Xing, Yuhang Rice University
Posted:
06 Feb 02
Last Revised:
28 Jun 11
495(25,790)
36
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
Xing, Yuhang Rice University
40
34
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
Xing, Yuhang Rice University
455
34
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
36.
Risk, Uncertainty and Asset Prices
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Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Xing, Yuhang Rice University
Posted:
08 Aug 05
Last Revised:
21 Oct 11
490(26,142)
52
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Xing, Yuhang Rice University
0
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Xing, Yuhang Rice University
35
51
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Xing, Yuhang Rice University
25
51
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Xing, Yuhang Rice University
430
51
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
37.
Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
462(28,267)
6
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
38.
Dating the Integration of World Equity Markets
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
Posted:
17 Jul 00
Last Revised:
28 Jun 11
450(29,345)
130
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
431
130
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lumsdaine, Robin L. American University - Department of Finance and Real Estate
19
130
39.
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
444(29,770)
37
Short rate, term spread, drift, volatility, regime-switching
40.
Bekaert, Geert Columbia Business School - Finance and Economics
Erb, Claude B. TR
Harvey, Campbell R. Duke University - Fuqua School of Business
Viskanta, Tadas E. First Chicago Investment Management Co.
382(36,029)
16
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
41.
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
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Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
Posted:
09 Aug 05
Last Revised:
07 Nov 11
375(36,868)
104
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
74
103
Ang, Andrew Columbia Business School - Finance and Economics
Bekaert, Geert Columbia Business School - Finance and Economics
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
301
103
ARIMA, Phillips curve, forecasting, term structure models
42.
Capital Flows and the Behavior of Emerging Market Equity Returns
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Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Posted:
08 May 00
Last Revised:
28 Jun 11
375(36,868)
67
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
57
67
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
318
67
Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth
43.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
351(39,958)
29
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
44.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Lundblad, Christian T. University of North Carolina Kenan-Flagler Business School
334(42,466)
5
45.
Macroeconomic Regimes
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Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Inghelbrecht, Koen University College of Ghent - Department of Finance
Moreno, Antonio University of Navarra - School of Economics
Posted:
26 May 11
Last Revised:
31 Mar 12
328(43,376)
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Inghelbrecht, Koen University College of Ghent - Department of Finance
Moreno, Antonio University of Navarra - School of Economics
23
monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Inghelbrecht, Koen University College of Ghent - Department of Finance
Moreno, Antonio University of Navarra - School of Economics
15
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Cho, Seonghoon School of Economics, Yonsei University
Inghelbrecht, Koen University College of Ghent - Department of Finance
Moreno, Antonio University of Navarra - School of Economics
Posted:
26 May 11
Last Revised:
31 Mar 12
290
Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy
46.
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Scheicher, Martin European Central Bank (ECB)
328(43,376)
3
Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics
47.
The VIX, the Variance Premium and Stock Market Volatility
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Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
Posted:
17 Apr 13
Last Revised:
01 May 13
236(63,264)
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
4
Bekaert, Geert Columbia Business School - Finance and Economics
Hoerova, Marie European Central Bank (ECB)
232
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
48.
Bekaert, Geert Columbia Business School - Finance and Economics
Wang, Xiaozheng Sandra PriceWaterhouseCoopers LLP - Financial services
205(72,923)
17
49.
Conditioning Information and Variance Bounds on Pricing Kernels
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Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
Posted:
08 Feb 99
Last Revised:
28 Jun 11
178(83,593)
29
Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
163
29
Bekaert, Geert Columbia Business School - Finance and Economics
Liu, Jun University of California, San Diego (UCSD) - Rady School of Management
15
29
50.
Baele, Lieven Tilburg University - Department of Finance
Bekaert, Geert Columbia Business School - Finance and Economics
Inghelbrecht, Koen University College of Ghent - Department of Finance
Wei, Min Board of Governors of the Federal Reserve - Division of Monetary Affairs
128(111,938)
1
Stock-Bond Return Correlation, Liquidity, Flight-to-Safety
51.
Bekaert, Geert Columbia Business School - Finance and Economics
Wu, Guojun University of Houston
80(156,212)
191
52.
On the Link between the Volatility and Skewness of Growth
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Bekaert, Geert Columbia Business School - Finance and Economics
Popov, Alexander A. European Central Bank (ECB)
Posted:
27 Oct 12
Last Revised:
22 Nov 12
56(190,024)
Bekaert, Geert Columbia Business School - Finance and Economics
Popov, Alexander A. European Central Bank (ECB)
0
Bekaert, Geert Columbia Business School - Finance and Economics
Popov, Alexander A. European Central Bank (ECB)
Posted:
27 Oct 12
Last Revised:
07 Nov 12
56
Volatility, Skewness, Development, Financial frictions, Growth spurts, Business cycles
53.
Diversification, Integration and Emerging Market Closed-End Funds
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Bekaert, Geert Columbia Business School - Finance and Economics
Posted:
07 Jul 98
Last Revised:
28 Jun 11
51(198,542)
76
Bekaert, Geert Columbia Business School - Finance and Economics
Urias, Michael S. Morgan Stanley
51
76
Bekaert, Geert Columbia Business School - Finance and Economics
0
54.
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
47(205,855)
112
55.
Bekaert, Geert Columbia Business School - Finance and Economics
Engstrom, Eric U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
39(221,781)
21
56.
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
37(226,124)
87
57.
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
32(237,874)
43
58.
The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
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Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
Posted:
15 Sep 99
Last Revised:
24 Aug 10
24(261,301)
37
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
24
37
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
0
59.
'Peso Problem' Explanations for Term Structure Anomalies
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Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
Posted:
10 Aug 98
Last Revised:
28 Jun 11
21(271,573)
64
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
21
64
Bekaert, Geert Columbia Business School - Finance and Economics
Hodrick, Robert J. Columbia Business School - Finance and Economics
Marshall, David A. Federal Reserve Bank of Chicago
0
60.
Bekaert, Geert Columbia Business School - Finance and Economics
Gray, Stephen affiliation not provided to SSRN
18(282,105)
18
61.
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
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Bekaert, Geert Columbia Business School - Finance and Economics
Posted:
14 May 98
Last Revised:
28 Jun 11
5(324,992)
43
Bekaert, Geert Columbia Business School - Finance and Economics
5
43
Bekaert, Geert Columbia Business School - Finance and Economics
0
62.
Bekaert, Geert Columbia Business School - Finance and Economics
Ang, Andrew Columbia Business School - Finance and Economics
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
63.
Bekaert, Geert Columbia Business School - Finance and Economics
Urias, Michael S. Morgan Stanley
64.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Garcia, Marcio G. P. Pontifical Catholic University - Department of Economics
65.
Bekaert, Geert Columbia Business School - Finance and Economics
Harvey, Campbell R. Duke University - Fuqua School of Business
Garcia, Marcio G. P. Pontifical Catholic University - Department of Economics
