Robert A. Connolly

University of North Carolina (UNC) at Chapel Hill - Finance Area

Associate Professor

Kenan-Flagler Business School

Campus Box 3490

Chapel Hill, NC 27599-3490

United States

http://itr.bschool.unc.edu/faculty/connolly

Miami Herbert Business School - Department of Finance

P.O. Box 248094

Coral Gables, FL 33124-6552

United States

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

SCHOLARLY PAPERS

25

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3,692

SSRN CITATIONS
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Top 32,958

in Total Papers Citations

3

CROSSREF CITATIONS

20

Scholarly Papers (25)

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 861 (30,528)
Citation 9

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 North Carolina (UNC) at Chapel Hill - Finance Area and affiliation not provided to SSRN
Downloads 777 (35,118)

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Dayton - School of Business Administration - Department of Economics and Finance
Downloads 736 (37,805)
Citation 17

Abstract:

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

4.

The Nonlinear High-Volatility Phenomenon in Beta and Size Equity Premia

Number of pages: 77 Posted: 30 Sep 2016 Last Revised: 04 Mar 2020
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville
Downloads 301 (112,790)

Abstract:

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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
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Kenan-Flagler Business School
Downloads 246 (139,254)
Citation 1

Abstract:

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6.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 99 (296,431)

Abstract:

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PGA TOUR, FedExCup, simulation, tournaments

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 North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 98 (298,336)
Citation 2

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 96 (302,380)

Abstract:

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

9.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 90 (314,959)

Abstract:

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Market risk premia, asset pricing econometrics, simulation

10.

Economic-state Variation in Uncertainty-Yield Dynamics

Kenan Institute of Private Enterprise Research Paper No. 18-20
Number of pages: 94 Posted: 13 Aug 2018 Last Revised: 21 Aug 2020
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville - Department of Finance and University of Louisville
Downloads 87 (321,808)

Abstract:

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

11.

A New Lease on Firm Behavior

Number of pages: 66 Posted: 23 Sep 2020
University of Missouri at Columbia - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area, Indiana University - Kelley School of Business - Department of Finance and Cornell University - School of Hotel Administration
Downloads 83 (331,215)

Abstract:

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ASC 842, Discount Rate, Operating Lease, Leverage

12.

Expected Inflation, Stock Returns, and the Changing Nature of Inflation Non-Neutrality

Number of pages: 81 Posted: 15 Jun 2019 Last Revised: 03 Sep 2020
Robert A. Connolly, Chris T. Stivers and Licheng Sun
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville and Old Dominion University
Downloads 76 (348,805)

Abstract:

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

13.

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 North Carolina (UNC) at Chapel Hill - Finance Area and Penn State Smeal College of Business
Downloads 53 (422,618)

Abstract:

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

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
University of North Carolina (UNC) at Chapel Hill - Finance Area, Mortgage Bankers Association and University of Southern California - Sol Price School of Public Policy
Downloads 40 (470,085)
Citation 1

Abstract:

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

15.

Leverage Cycles in a Mature Asset Class: New Evidence From a Natural Laboratory

Kenan Institute of Private Enterprise Research Paper No. 18-29
Number of pages: 62 Posted: 07 Oct 2018 Last Revised: 13 Jul 2020
Robert A. Connolly and Tobias Muhlhofer
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Miami - Department of Finance
Downloads 32 (507,212)

Abstract:

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

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 University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 17 (597,462)
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Abstract:

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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
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Cornell University and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 0 (738,802)
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18.

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 North Carolina (UNC) at Chapel Hill - Finance Area, 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

19.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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Equity Risk, Term Structure, Bond Volatility

20.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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

21.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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

22.

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 North Carolina (UNC) at Chapel Hill - Finance Area and Old Dominion University

Abstract:

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Return comovements, implied volatility

23.

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 North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville and Old Dominion University

Abstract:

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Stock-bond return correlations, stock market uncertainty, turnover

24.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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Macroeconomic news, volatility custering

25.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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