Josh Davis

Pacific Investment Management Company (PIMCO)

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 21,398

SSRN RANKINGS

Top 21,398

in Total Papers Downloads

2,316

SSRN CITATIONS
Rank 21,072

SSRN RANKINGS

Top 21,072

in Total Papers Citations

2

CROSSREF CITATIONS

36

Scholarly Papers (7)

1.

Offensive Risk Management: Can Tail Risk Hedging Be Profitable?

Number of pages: 20 Posted: 24 Mar 2010 Last Revised: 06 Apr 2010
Vineer Bhansali and Josh Davis
LongTail Alpha, LLC and Pacific Investment Management Company (PIMCO)
Downloads 2,180 (6,551)
Citation 3

Abstract:

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Tail Hedging, Asset Allocation

2.

Currency Carry Trade Regimes: Beyond the Fama Regression

NBER Working Paper No. w15523
Number of pages: 31 Posted: 24 Nov 2009 Last Revised: 14 Mar 2010
Columbia University - Graduate School of Arts and Sciences - Department of Eco, Pacific Investment Management Company (PIMCO) and Pimco
Downloads 99 (278,447)
Citation 2

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The Leverage Factor: Credit Cycles and Asset Returns

NBER Working Paper No. w26435
Number of pages: 21 Posted: 11 Nov 2019
Josh Davis and Alan M. Taylor
Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 24 (539,378)
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The Leverage Factor: Credit Cycles and Asset Returns

CEPR Discussion Paper No. DP14115
Number of pages: 24 Posted: 04 Dec 2019
Josh Davis and Alan M. Taylor
Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 2 (693,438)
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asset allocation, Asset Pricing, Cycles, debt, leverage, return predictability

The Natural Rate Puzzle: Global Macro Trends and the Market-Implied R

NBER Working Paper No. w26560
Number of pages: 38 Posted: 16 Dec 2019
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 10 (629,140)
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The Natural Rate Puzzle: Global Macro Trends and the Market-Implied R

CEPR Discussion Paper No. DP14201
Number of pages: 41 Posted: 14 Jan 2020
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 1 (707,227)
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affine models, Bond risk premia, Inflation expectations, Natural rate of interest, term structure

5.

Carry and Trend in Lots of Places

Posted: 18 Mar 2015
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), California Institute of Technology and Pacific Investment Management Company (PIMCO)
Downloads 0 (691,249)

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Carry, trend, momentum, asset allocation

6.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Rayliant Global Advisors and Research Affiliates, LLC

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risk parity, asset allocation, risk factor parity

7.

Equity Fragility

Number of pages: 27
Josh Davis, Steve Sapra and German Ramirez
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO) and Pacific Investment Management Company (PIMCO)
Downloads 0

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Drawdowns, equity market, recessions, panel logit regression, early warning signals.