Robert A. Connolly

Miami Herbert Business School - Department of Finance

Visiting Professor of Finance

P.O. Box 248094

Coral Gables, FL 33124-6552

United States

http://https://drbobconnolly.com/

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 15,762

SSRN RANKINGS

Top 15,762

in Total Papers Downloads

3,885

SSRN CITATIONS
Rank 30,228

SSRN RANKINGS

Top 30,228

in Total Papers Citations

7

CROSSREF CITATIONS

22

Scholarly Papers (27)

1.

International Equity Market Comovements: Economic Fundamentals or Contagion?

Number of pages: 84 Posted: 20 Jan 1999
Robert A. Connolly and F. Albert Wang
Miami Herbert Business School - Department of Finance and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 867 (33,869)
Citation 11

Abstract:

Loading...

2.

Cointegration Modeling of Expected Exchange Rates

Number of pages: 44 Posted: 02 Mar 2000
Robert A. Connolly and Paisan Limratanamongkol
Miami Herbert Business School - Department of Finance and affiliation not provided to SSRN
Downloads 781 (39,101)

Abstract:

Loading...

3.

On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion

Number of pages: 57 Posted: 18 Aug 2000
Robert A. Connolly and F. Albert Wang
Miami Herbert Business School - Department of Finance and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 757 (40,839)
Citation 19

Abstract:

Loading...

Market co-movement, contagion, signal extraction, macroeconomic news, dispersion of beliefs

4.

The High Expected-Volatility Threshold Phenomenon in Beta and Size Equity Premia

Number of pages: 92 Posted: 30 Sep 2016 Last Revised: 24 Apr 2021
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, Miami Herbert Business School - Department of Finance and University of Louisville
Downloads 328 (113,826)

Abstract:

Loading...

factor risk premia, nonlinear risk-return relation, stock-market volatility, intermediary asset pricing, illiquidity risk

5.

Foreign Market Cash Flow Exposure: A Multi-Country, Firm-Level Study

Number of pages: 31 Posted: 31 Mar 2000
Robert A. Connolly, Arzu Ozoguz and David J. Ravenscraft
Miami Herbert Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Kenan-Flagler Business School
Downloads 250 (151,047)
Citation 1

Abstract:

Loading...

6.

A New Lease on Firm Behavior

Number of pages: 70 Posted: 23 Sep 2020 Last Revised: 22 Feb 2021
University of Missouri at Columbia - Department of Finance, Miami Herbert Business School - Department of Finance, Indiana University - Kelley School of Business - Department of Finance and Cornell University - School of Hotel Administration
Downloads 206 (181,647)
Citation 2

Abstract:

Loading...

ASC 842, Capital Structure, Discount Rate, Operating Lease, Leverage

7.

Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation

FRB Atlanta Working Paper Series No. 2002-3a
Number of pages: 54 Posted: 26 Jan 2015
Chris T. Stivers, Licheng Sun and Robert A. Connolly
University of Louisville, Old Dominion University and Miami Herbert Business School - Department of Finance
Downloads 119 (287,810)
Citation 3

Abstract:

Loading...

stock and bond market return linkages, stock implied volatility, stock turnover

8.

The (Adverse) Incentive Effects of Competing with Superstars: A Reexamination of the Evidence

Number of pages: 47 Posted: 05 Dec 2014
Robert A. Connolly and Richard J. Rendleman
Miami Herbert Business School - Department of Finance and University of North Carolina at Chapel Hill
Downloads 104 (314,017)
Citation 1

Abstract:

Loading...

Peer effects, Superstar effect, Tiger Woods effect, Tournament incentives, golf.

9.

Stock Returns and Inflation Shocks in Weaker Economic Times

Number of pages: 65 Posted: 15 Jun 2019 Last Revised: 07 Jul 2021
Robert A. Connolly, Chris T. Stivers and Licheng Sun
Miami Herbert Business School - Department of Finance, University of Louisville and Old Dominion University
Downloads 102 (318,212)

Abstract:

Loading...

Stock Returns, Inflation Expectations, Uncertain Economic States, Economic Growth, the Equity Premium

10.

Tournament Qualification, Seeding and Selection Effciency: An Analysis of the PGA TOUR's FedExCup

Tuck School of Business Working Paper No. 2011-96
Number of pages: 39 Posted: 24 Aug 2011 Last Revised: 02 Sep 2012
Robert A. Connolly and Richard J. Rendleman
Miami Herbert Business School - Department of Finance and University of North Carolina at Chapel Hill
Downloads 100 (322,396)

Abstract:

Loading...

PGA TOUR, FedExCup, simulation, tournaments

11.

Properties of Portfolio-Based Estimates of Market Risk Premia

Number of pages: 46 Posted: 18 Mar 2009
Robert A. Connolly and Richard J. Rendleman
Miami Herbert Business School - Department of Finance and University of North Carolina at Chapel Hill
Downloads 91 (342,289)

Abstract:

Loading...

Market risk premia, asset pricing econometrics, simulation

12.

What Really Happens During Flight to Safety: Evidence from Real Estate Markets

Number of pages: 36 Posted: 25 May 2018
Walter Boudry, Robert A. Connolly and Eva Steiner
Cornell University, Miami Herbert Business School - Department of Finance and Penn State Smeal College of Business
Downloads 56 (446,359)

Abstract:

Loading...

Flight to Safety, Macro Finance, Capital Markets, Real Estate, Asset Pricing

13.

Leverage Cycles in a Mature Asset Class: New Evidence From Commercial Property Markets

Kenan Institute of Private Enterprise Research Paper No. 18-29
Number of pages: 59 Posted: 07 Oct 2018 Last Revised: 24 Dec 2020
Robert A. Connolly and Tobias Muhlhofer
Miami Herbert Business School - Department of Finance and University of Miami - Department of Finance
Downloads 40 (512,686)

Abstract:

Loading...

Leverage Cycle, Loan-to-Value, Commercial Real Estate, VAR

14.

Subprime Mortgage Default in Minority Neighborhoods

Number of pages: 44 Posted: 26 Jun 2016 Last Revised: 29 Jun 2016
Robert A. Connolly, Lynn M. Fisher and Gary Painter
Miami Herbert Business School - Department of Finance, Mortgage Bankers Association and University of Southern California - Sol Price School of Public Policy
Downloads 40 (512,686)
Citation 1

Abstract:

Loading...

mortgage, subprime, default, prepayment, gateway cities, race, ethnicity, immigrant status

15.

A Practical Method for Sharpening Estimates of Industry Equity Capital Costs

University of Miami Legal Studies Research Paper No. 3742221, University of Miami Business School Research Paper No. 3742221
Number of pages: 27 Posted: 15 Dec 2020
Mike Aguilar, Robert A. Connolly and Jiaxi Li
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Miami Herbert Business School - Department of Finance and University of North Carolina (UNC) at Chapel Hill
Downloads 27 (582,040)

Abstract:

Loading...

equity capital cost, standard error, filtering, risk premium decomposition

16.

Firm Size and the Effect of R&D on Tobin's Q

Number of pages: 7 Posted: 30 Mar 2005
Mark Hirschey and Robert A. Connolly
University of Kansas and Miami Herbert Business School - Department of Finance
Downloads 17 (649,861)
  • Add to Cart

Abstract:

Loading...

17.

Do Real Estate Values Boost Corporate Borrowing? Evidence from Contract-Level Data

Posted: 28 Dec 2020
Cornell University - Samuel Curtis Johnson Graduate School of Management, Miami Herbert Business School - Department of Finance, University of Pittsburgh - Katz Graduate School of Business and Penn State Smeal College of Business

Abstract:

Loading...

Collateral, capital structure, corporate real estate, investment, asset risk

18.

Economic-state Variation in Uncertainty-Yield Dynamics

The Review of Asset Pricing Studies, Volume 11, March 2021, pp. 60-104.
Posted: 13 Aug 2018 Last Revised: 12 Jun 2021
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
Miami Herbert Business School - Department of Finance, University of Louisville - Department of Finance and University of Louisville

Abstract:

Loading...

Treasury yields, economic uncertainty, precautionary savings, consumption smoothing, risk aversion

19.

The Dynamics of REIT Pricing Efficiency

Real Estate Economics, Vol. 46, Issue 1, pp. 251-283, 2018
Number of pages: 33 Posted: 21 Feb 2018
Mike Aguilar, Walter Boudry and Robert A. Connolly
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Cornell University and Miami Herbert Business School - Department of Finance
Downloads 0 (795,285)
  • Add to Cart

Abstract:

Loading...

20.

Macroeconomic Uncertainty and the Distant Forward-Rate Slope

Journal of Empirical Finance, Vol. 48, pp. 140-161, 2018
Posted: 14 Mar 2014 Last Revised: 26 Jul 2018
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
Miami Herbert Business School - Department of Finance, University of Louisville - Department of Finance and University of Louisville

Abstract:

Loading...

Term Structure, Forward Interest Rates, Macroeconomic Risk, Term Risk Premia

21.

Equity Volatility as a Determinant of Future Term-Structure Volatility

Journal of Financial Markets 25 (2015), 33-51.
Posted: 19 Nov 2012 Last Revised: 10 Oct 2016
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, Miami Herbert Business School - Department of Finance and University of Louisville

Abstract:

Loading...

Equity Risk, Term Structure, Bond Volatility

22.

Regime-Switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress

The Journal of Futures Markets, Vol. 30, No. 8, pp. 753–779 (2010)
Posted: 19 Oct 2009 Last Revised: 02 Sep 2012
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, Miami Herbert Business School - Department of Finance and University of Louisville

Abstract:

Loading...

Regime-switching, Stock and Bond Return Correlations, Flight-to-Quality, Liquidity

23.

The Stock-Bond Return Relation, the Term-Structure's Slope, and Asset-Class Risk Dynamics

Journal of Financial and Quantitative Analysis, Vo. 49, pp. 699-724, June 2014.
Posted: 18 Sep 2009 Last Revised: 11 Dec 2014
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, Miami Herbert Business School - Department of Finance and University of Louisville

Abstract:

Loading...

Equity Risk, Treasury Bond Prices, Bond Risk Premia, Stochastic Volatility

24.

Commonality in the Time-Variation of Stock-Stock and Stock-Bond Return Comovements

Journal of Financial Markets, Vol. 10, pp. 192-218, May 2007
Posted: 13 Mar 2007 Last Revised: 02 Sep 2012
Chris T. Stivers, Robert A. Connolly and Licheng Sun
University of Louisville, Miami Herbert Business School - Department of Finance and Old Dominion University

Abstract:

Loading...

Return comovements, implied volatility

25.

Stock Market Uncertainty and the Stock-Bond Return Relation

Journal of Financial and Quantitative Analysis, Vol. 40, pp. 161-194, March 2005
Posted: 06 Sep 2005
Robert A. Connolly, Chris T. Stivers and Licheng Sun
Miami Herbert Business School - Department of Finance, University of Louisville and Old Dominion University

Abstract:

Loading...

Stock-bond return correlations, stock market uncertainty, turnover

26.

Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns

Journal of Financial Research, Vol. 28, pp. 235-259, June 2005
Posted: 27 May 2004
Robert A. Connolly and Chris T. Stivers
Miami Herbert Business School - Department of Finance and University of Louisville

Abstract:

Loading...

Macroeconomic news, volatility custering

27.

Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion

Posted: 28 Nov 2003
Robert A. Connolly and Chris T. Stivers
Miami Herbert Business School - Department of Finance and University of Louisville

Abstract:

Loading...