Robert A. Connolly

University of Florida

P.O. Box 117168

Gainesville, FL 32611

United States

SCHOLARLY PAPERS

28

DOWNLOADS
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4,116

SSRN CITATIONS
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SSRN RANKINGS

Top 29,624

in Total Papers Citations

6

CROSSREF CITATIONS

23

Scholarly Papers (28)

1.

International Equity Market Comovements: Economic Fundamentals or Contagion?

Number of pages: 84 Posted: 20 Jan 1999
Robert A. Connolly and F. Albert Wang
University of Florida and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 873 (39,608)
Citation 11

Abstract:

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2.

Cointegration Modeling of Expected Exchange Rates

Number of pages: 44 Posted: 02 Mar 2000
Robert A. Connolly and Paisan Limratanamongkol
University of Florida and affiliation not provided to SSRN
Downloads 786 (45,628)

Abstract:

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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
University of Florida and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 776 (46,387)
Citation 20

Abstract:

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

4.

Beta and Size Equity Premia following a High-VIX Threshold

Journal of Futures Markets, forthcoming.
Number of pages: 47 Posted: 30 Sep 2016 Last Revised: 19 May 2022
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of Florida and University of Louisville
Downloads 381 (112,000)

Abstract:

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

5.

A New Lease on Secured Debt

Number of pages: 78 Posted: 23 Sep 2020 Last Revised: 08 Aug 2022
University of Missouri at Columbia - Department of Finance, University of Florida, Indiana University - Kelley School of Business - Department of Finance and Cornell University - School of Hotel Administration
Downloads 331 (130,715)
Citation 2

Abstract:

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ASC 842, Capital Structure, Discount Rate, Operating Lease, Secured Debt

6.

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
University of Florida, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Kenan-Flagler Business School
Downloads 251 (173,520)
Citation 1

Abstract:

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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 University of Florida
Downloads 145 (281,869)
Citation 3

Abstract:

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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
University of Florida and University of North Carolina at Chapel Hill
Downloads 122 (321,341)
Citation 1

Abstract:

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

9.

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
University of Florida and University of North Carolina at Chapel Hill
Downloads 107 (352,236)

Abstract:

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PGA TOUR, FedExCup, simulation, tournaments

10.

Properties of Portfolio-Based Estimates of Market Risk Premia

Number of pages: 46 Posted: 18 Mar 2009
Robert A. Connolly and Richard J. Rendleman
University of Florida and University of North Carolina at Chapel Hill
Downloads 94 (382,948)

Abstract:

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Market risk premia, asset pricing econometrics, simulation

11.

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, University of Florida and Penn State Smeal College of Business
Downloads 65 (472,089)

Abstract:

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

12.

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
University of Florida and University of Miami - Department of Finance
Downloads 46 (551,860)

Abstract:

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

13.

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
University of Florida, Mortgage Bankers Association and University of Southern California - Sol Price School of Public Policy
Downloads 41 (577,040)
Citation 1

Abstract:

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

14.

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
Duke University, University of Florida and University of North Carolina (UNC) at Chapel Hill
Downloads 38 (592,939)

Abstract:

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

15.

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 University of Florida
Downloads 31 (634,395)

Abstract:

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16.

REIT Returns and Inflation Shocks with Economic State Dependencies

Number of pages: 54 Posted: 09 Aug 2022
Robert A. Connolly and Chris T. Stivers
University of Florida and University of Louisville
Downloads 27 (661,253)

Abstract:

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REIT returns, inflation shocks, economic states

17.

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
Duke University, Cornell University and University of Florida
Downloads 2 (898,645)

Abstract:

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18.

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, University of Florida, University of Pittsburgh - Katz Graduate School of Business and Penn State Smeal College of Business

Abstract:

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

19.

Stock Returns and Inflation Shocks in Weaker Economic Times

Financial Management, Forthcoming.
Posted: 15 Jun 2019 Last Revised: 28 Dec 2021
Chris T. Stivers, Licheng Sun and Robert A. Connolly
University of Louisville, Old Dominion University and University of Florida

Abstract:

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

20.

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
University of Florida, University of Louisville - Department of Finance and University of Louisville

Abstract:

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

21.

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
University of Florida, University of Louisville - Department of Finance and University of Louisville

Abstract:

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

22.

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, University of Florida and University of Louisville

Abstract:

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Equity Risk, Term Structure, Bond Volatility

23.

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, University of Florida and University of Louisville

Abstract:

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

24.

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, University of Florida and University of Louisville

Abstract:

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

25.

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, University of Florida and Old Dominion University

Abstract:

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Return comovements, implied volatility

26.

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
University of Florida, University of Louisville and Old Dominion University

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Stock-bond return correlations, stock market uncertainty, turnover

27.

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
University of Florida and University of Louisville

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Macroeconomic news, volatility custering

28.

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
University of Florida and University of Louisville

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