Jeffrey R. Gerlach

Federal Reserve Banks - Federal Reserve Bank of Richmond

Senior Financial Economist

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

4

DOWNLOADS

629

CITATIONS

5

Scholarly Papers (4)

1.

Portfolio Selection: An Extreme Value Approach

Number of pages: 53 Posted: 18 Sep 2011 Last Revised: 27 Jul 2012
Francis DiTraglia and Jeffrey R. Gerlach
University of Pennsylvania and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 282 (106,427)
Citation 3

Abstract:

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Portfolio selection, Extreme value theory, Tail dependence

2.

Is the Opening Price Efficient? Evidence from After-Hours Earnings Announcements

Number of pages: 32 Posted: 15 Mar 2011
Jae Ha Lee and Jeffrey R. Gerlach
Sungkyunkwan University and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 122 (227,403)

Abstract:

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Earnings Announcements, Opening Price, NYSE Market Makers, Return Volatility

Political Conflict and Foreign Portfolio Investment: Evidence from North Korean Attacks

Number of pages: 47 Posted: 17 Mar 2012 Last Revised: 07 Oct 2014
Jeffrey R. Gerlach and Youngsuk Yook
Federal Reserve Banks - Federal Reserve Bank of Richmond and Board of Governors of the Federal Reserve System
Downloads 100 (263,630)
Citation 1

Abstract:

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Foreign Portfolio Investment, Political Conflict, North Korean Attacks

Political Conflict and Foreign Portfolio Investment: Evidence from North Korean Attacks

FEDS Working Paper No. 2016-037
Number of pages: 45 Posted: 02 May 2016
Jeffrey R. Gerlach and Youngsuk Yook
Federal Reserve Banks - Federal Reserve Bank of Richmond and Board of Governors of the Federal Reserve System
Downloads 19 (539,275)
Citation 2

Abstract:

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Political conflict, Foreign portfolio investment, North Korean attacks

4.

How Information Transmits to Equity Markets: Earnings Announcements and Volatility

Number of pages: 49 Posted: 14 Mar 2010
Jeffrey R. Gerlach and Jae Ha Lee
Federal Reserve Banks - Federal Reserve Bank of Richmond and Sungkyunkwan University
Downloads 106 (251,635)

Abstract:

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Earnings Announcements, Volatility, Standardized Earnings Surprise (SES)