Josh Davis

Pacific Investment Management Company (PIMCO)

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 21,598

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Top 21,598

in Total Papers Downloads

2,812

SSRN CITATIONS
Rank 22,410

SSRN RANKINGS

Top 22,410

in Total Papers Citations

7

CROSSREF CITATIONS

37

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 2,626 (6,022)
Citation 4

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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: 02 Jun 2021
Columbia University - Graduate School of Arts and Sciences - Department of Eco, Pacific Investment Management Company (PIMCO) and Pimco
Downloads 105 (308,728)
Citation 7

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3.

Equity Fragility

Number of pages: 27 Posted: 21 Feb 2020
Josh Davis, Steve Sapra and German Ramirez
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO) and Pacific Investment Management Company (PIMCO)
Downloads 43 (493,890)

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drawdowns, equity market, recessions, panel logit regression, early warning signals

The Leverage Factor: Credit Cycles and Asset Returns

NBER Working Paper No. w26435
Number of pages: 21 Posted: 11 Nov 2019 Last Revised: 26 Mar 2021
Josh Davis and Alan M. Taylor
Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 24 (613,459)
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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 (793,328)
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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: 43 Posted: 16 Dec 2019
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO) and University of California, Davis - Department of Economics
Downloads 11 (714,354)
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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 (806,665)
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affine models, Bond risk premia, Inflation expectations, Natural rate of interest, term structure

6.

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 (787,952)

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Carry, trend, momentum, asset allocation

7.

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