Geert Bekaert

Columbia Business School - Finance and Economics

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

85

DOWNLOADS
Rank 137

SSRN RANKINGS

Top 137

in Total Papers Downloads

74,312

CITATIONS
Rank 134

SSRN RANKINGS

Top 134

in Total Papers Citations

1,012

Scholarly Papers (85)

1.
Downloads 3,868 ( 2,307)
Citation 15

Emerging Equity Markets in a Globalizing World

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 09 Apr 2017
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 3,706 (2,451)
Citation 12

Abstract:

Loading...

Emerging markets, GDP weights, Market integration, Market segmentation, Illiquidity, Liquidity, Portfolio risk, Portfolio correlation, Market capitalization, Risk characteristics, Cross-sectional volatility, Valuation ratios, Asset class

Emerging Equity Markets in a Globalizing World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 29 Posted: 08 Jul 2014
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 162 (181,059)
Citation 12

Abstract:

Loading...

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,276 (3,003)
Citation 3

Abstract:

Loading...

Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 88 (286,494)

Abstract:

Loading...

Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (519,662)
Citation 195
  • Add to Cart

Abstract:

Loading...

Liquidity pricing, emerging markets, return predictability

Liquidity and Expected Returns: Lessons from Emerging Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

Abstract:

Loading...

G12, G15, F30

3.
Downloads 3,279 ( 3,069)
Citation 32

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 3,241 (3,069)
Citation 118

Abstract:

Loading...

factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety

The Determinants of Stock and Bond Return Comovements

NBER Working Paper No. w15260
Number of pages: 59 Posted: 18 Aug 2009 Last Revised: 13 Sep 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 38 (436,121)

Abstract:

Loading...

4.

Emerging Markets Finance

Number of pages: 68 Posted: 22 Jan 2003
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 3,028 (3,515)
Citation 117

Abstract:

Loading...

Market liberalization, portfolio flows, market reforms, economic growth, risk sharing, contagion, privatization, capital flows, market microstructure, inequality, productivity, volatility of capital flows, performance of emerging market investments

5.
Downloads 2,771 ( 4,103)
Citation 144

Stock Return Predictability: Is it There?

AFA 2002 Atlanta Meetings
Number of pages: 53 Posted: 23 Mar 2001
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,339 (5,324)
Citation 418

Abstract:

Loading...

Present value model, predictability, international predictability, short rates, dividend yield, earnings yield

Stock Return Predictability: Is it There?

NBER Working Paper No. w8207
Number of pages: 53 Posted: 31 Mar 2001 Last Revised: 11 Feb 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 432 (64,785)

Abstract:

Loading...

Inflation and the Stock Market: Understanding the 'Fed Model'

Number of pages: 40 Posted: 29 Apr 2008 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 2,542 (4,622)
Citation 5

Abstract:

Loading...

Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

Inflation and the Stock Market: Understanding the 'Fed Model'

Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40 Posted: 21 Oct 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 163 (180,153)
Citation 22

Abstract:

Loading...

Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,225 (5,801)
Citation 1

Abstract:

Loading...

International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000 Last Revised: 16 Apr 2008
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 325 (90,577)
Citation 14

Abstract:

Loading...

8.
Downloads 2,173 ( 6,131)
Citation 98

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,934 (7,347)
Citation 35

Abstract:

Loading...

Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 92 (278,363)
Citation 2

Abstract:

Loading...

Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 71 (326,129)

Abstract:

Loading...

Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 55 (372,827)
Citation 2

Abstract:

Loading...

Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

NBER Working Paper No. w16397
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 19 Oct 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 18 (545,182)

Abstract:

Loading...

Risk, Uncertainty and Monetary Policy

CEPR Discussion Paper No. DP8154
Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 3 (649,088)
Citation 196
  • Add to Cart

Abstract:

Loading...

business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

9.
Downloads 2,137 ( 6,307)
Citation 31

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 2,077 (6,487)
Citation 7

Abstract:

Loading...

What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 54 (376,138)

Abstract:

Loading...

What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 6 (625,500)
Citation 67
  • Add to Cart

Abstract:

Loading...

capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

10.
Downloads 2,047 ( 6,795)
Citation 56

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 1,519 (10,969)
Citation 43

Abstract:

Loading...

option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

ECB Working Paper No. 1675
Number of pages: 36 Posted: 04 Jul 2014
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 315 (93,773)
Citation 57

Abstract:

Loading...

option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability

The VIX, the Variance Premium and Stock Market Volatility

Netspar Discussion Paper No. 10/2013-035
Number of pages: 36 Posted: 19 Oct 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 182 (163,369)
Citation 1

Abstract:

Loading...

option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

NBER Working Paper No. w18995
Number of pages: 41 Posted: 28 Apr 2013 Last Revised: 01 May 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 31 (468,097)
Citation 13

Abstract:

Loading...

11.
Downloads 1,854 ( 8,059)
Citation 13

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,819 (8,164)
Citation 2

Abstract:

Loading...

idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058
Number of pages: 75 Posted: 07 Jun 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 32 (462,992)

Abstract:

Loading...

Aggregate Idiosyncratic Volatility

CEPR Discussion Paper No. DP8149
Number of pages: 65 Posted: 27 Dec 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 3 (649,088)
Citation 45
  • Add to Cart

Abstract:

Loading...

contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

12.
Downloads 1,794 ( 8,522)
Citation 54

The Term Structure of Real Rates and Expected Inflation

EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64 Posted: 16 Jul 2003
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,419 (12,216)
Citation 1

Abstract:

Loading...

regime-switching term structure model, inflation risk premium, business cycles

The Term Structure of Real Rates and Expected Inflation

NBER Working Paper No. w12930
Number of pages: 68 Posted: 24 Feb 2007 Last Revised: 03 Nov 2010
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 353 (82,386)

Abstract:

Loading...

The Term Structure of Real Rates and Expected Inflation

CEPR Discussion Paper No. 4518
Number of pages: 67 Posted: 14 Sep 2004
Andrew Ang and Geert Bekaert
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads 22 (519,662)
Citation 169
  • Add to Cart

Abstract:

Loading...

13.
Downloads 1,669 ( 9,577)
Citation 3

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 1,578 (10,318)
Citation 1

Abstract:

Loading...

currency carry trade, currency risk factors

Good Carry, Bad Carry

Number of pages: 77 Posted: 04 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 85 (292,935)
Citation 1

Abstract:

Loading...

currency carry trade, predictability, currency risk factors

Good Carry, Bad Carry

NBER Working Paper No. w25420
Number of pages: 78 Posted: 07 Jan 2019 Last Revised: 12 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 5 (632,738)
  • Add to Cart

Abstract:

Loading...

Good Carry, Bad Carry

CEPR Discussion Paper No. DP13463
Number of pages: 80 Posted: 23 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 1 (674,836)
Citation 2
  • Add to Cart

Abstract:

Loading...

currency carry trade, currency risk factors, predictability

14.
Downloads 1,568 ( 10,640)
Citation 39

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,470 (11,539)

Abstract:

Loading...

Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration

International Stock Return Comovements

NBER Working Paper No. w11906
Number of pages: 57 Posted: 22 Jan 2006 Last Revised: 15 Jul 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 62 (350,890)
Citation 128

Abstract:

Loading...

International Stock Return Comovements

CEPR Discussion Paper No. 5955
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 36 (444,768)
Citation 8
  • Add to Cart

Abstract:

Loading...

International diversification, correlation dynamics, country debate, factor models, comovements

15.
Downloads 1,501 ( 11,390)
Citation 16

How Do Regimes Affect Asset Allocation?

Number of pages: 35 Posted: 27 May 2002
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,165 (16,622)
Citation 45

Abstract:

Loading...

market timing, tactical asset allocation, regime switching, international diversification

How Do Regimes Affect Asset Allocation?

NBER Working Paper No. w10080
Number of pages: 28 Posted: 14 Nov 2003 Last Revised: 19 Jul 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 336 (87,229)
Citation 8

Abstract:

Loading...

16.
Downloads 1,467 ( 11,814)
Citation 113

Does Financial Liberalization Spur Growth?

AFA 2002 Atlanta Meetings
Number of pages: 52 Posted: 19 Apr 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,345 (13,289)
Citation 107

Abstract:

Loading...

Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 122 (228,155)
Citation 238

Abstract:

Loading...

17.
Downloads 1,376 ( 13,114)
Citation 73

Regime Switches in Interest Rates

Number of pages: 70 Posted: 01 Jun 1998
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,149 (16,968)
Citation 182

Abstract:

Loading...

Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000 Last Revised: 08 Apr 2008
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 227 (132,415)

Abstract:

Loading...

18.
Downloads 1,344 ( 13,582)
Citation 5

Global Crises and Equity Market Contagion

Number of pages: 56 Posted: 03 Jun 2011 Last Revised: 26 Jul 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 1,133 (17,331)

Abstract:

Loading...

contagion; financial crisis; equity markets; global transmission; market integration; country risk; factor model; financial policies; FX reserves, current account

Global Crises and Equity Market Contagion

ECB Working Paper No. 1381
Number of pages: 48 Posted: 13 Sep 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 83 (297,240)

Abstract:

Loading...

Contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

Number of pages: 55 Posted: 16 Mar 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 65 (342,372)
Citation 1

Abstract:

Loading...

contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

Netspar Discussion Paper No. 05/2011-070
Number of pages: 57 Posted: 31 Aug 2011 Last Revised: 23 Nov 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 36 (444,768)

Abstract:

Loading...

contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

NBER Working Paper No. w17121
Number of pages: 57 Posted: 20 Jun 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 22 (519,662)
Citation 17

Abstract:

Loading...

Global Crises and Equity Market Contagion

CEPR Discussion Paper No. DP8438
Number of pages: 44 Posted: 16 Jun 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 5 (632,738)
  • Add to Cart

Abstract:

Loading...

contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration

19.

Home Bias Revisited

Number of pages: 62 Posted: 19 Feb 2009
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,280 (14,637)
Citation 33

Abstract:

Loading...

Home bias, international asset allocation, portfolio choice, international diversification

20.
Downloads 1,271 ( 14,784)
Citation 9

Flights to Safety

National Bank of Belgium Working Paper No. 230
Number of pages: 75 Posted: 13 Oct 2012 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 1,043 (19,604)
Citation 2

Abstract:

Loading...

Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

FEDS Working Paper No. 2014-46
Number of pages: 59 Posted: 29 Jun 2014
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 89 (284,385)
Citation 7

Abstract:

Loading...

flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds

Flights to Safety

Columbia Business School Research Paper No. 18-58
Number of pages: 75 Posted: 19 Jul 2018 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 67 (336,813)
Citation 4

Abstract:

Loading...

Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

Netspar Discussion Paper No. 05/2013-034
Number of pages: 72 Posted: 19 Oct 2013 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 63 (348,075)
Citation 1

Abstract:

Loading...

Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

NBER Working Paper No. w19095
Number of pages: 76 Posted: 31 May 2013
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 9 (604,776)
Citation 1

Abstract:

Loading...

21.

Research in Emerging Markets Finance: Looking to the Future

Number of pages: 27 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 1,177 (16,683)
Citation 58

Abstract:

Loading...

Emerging markets, International Cost of Capital, Financial openness, dating integration, market segmentation, market integration, capital flows, contagion, market correlations, emerging market volatility, emerging return skewness, emerging return kurtosis

22.
Downloads 1,175 ( 16,724)
Citation 64

Market Integration and Contagion

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39 Posted: 22 Mar 2002
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,119 (17,672)
Citation 9

Abstract:

Loading...

Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 56 (369,490)
Citation 197

Abstract:

Loading...

The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,134 (17,307)
Citation 33

Abstract:

Loading...

Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 25 (501,192)

Abstract:

Loading...

24.
Downloads 1,098 ( 18,537)
Citation 302

Emerging Equity Market Volatility

Number of pages: 78 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 949 (22,593)
Citation 328

Abstract:

Loading...

Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation

Emerging Equity Market Volatility

NBER Working Paper No. w5307
Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 24 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 149 (194,509)

Abstract:

Loading...

25.
Downloads 1,096 ( 18,597)
Citation 35

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,021 (20,265)
Citation 1

Abstract:

Loading...

Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 75 (316,059)
Citation 89

Abstract:

Loading...

26.
Downloads 1,058 ( 19,563)
Citation 9

Stock and Bond Pricing in an Affine Economy

EFA 2002 Berlin Meetings
Number of pages: 54 Posted: 21 Feb 2002
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads 997 (21,027)
Citation 8

Abstract:

Loading...

Stock and Bond Pricing in an Affine Economy

NBER Working Paper No. w7346
Number of pages: 52 Posted: 05 Feb 2000 Last Revised: 13 Oct 2010
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads 61 (353,874)
Citation 3

Abstract:

Loading...

27.
Downloads 1,049 ( 19,814)

Currency Factors

Columbia Business School Research Paper No. 17-88
Number of pages: 58 Posted: 23 Aug 2017 Last Revised: 08 Feb 2019
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 1,045 (19,555)

Abstract:

Loading...

Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels.

Currency Factors

NBER Working Paper No. w25449
Number of pages: 59 Posted: 15 Jan 2019
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 4 (640,293)
  • Add to Cart

Abstract:

Loading...

Currency Factors

CEPR Discussion Paper No. DP13464
Number of pages: 61 Posted: 23 Jan 2019
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 0
  • Add to Cart

Abstract:

Loading...

clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 31 Jul 2009 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 977 (21,644)
Citation 12

Abstract:

Loading...

Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 18 Mar 2011 Last Revised: 29 Oct 2014
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 55 (372,827)

Abstract:

Loading...

Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability

Asset Return Dynamics Under Bad Environment Good Environment Fundamentals

NBER Working Paper No. w15222
Number of pages: 52 Posted: 18 Aug 2009 Last Revised: 06 Aug 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 15 (564,523)

Abstract:

Loading...

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

CEPR Discussion Paper No. DP8150
Number of pages: 52 Posted: 27 Dec 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 2 (660,308)
  • Add to Cart

Abstract:

Loading...

countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

29.
Downloads 1,042 ( 19,996)
Citation 14

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 996 (21,059)

Abstract:

Loading...

Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 46 (404,126)
Citation 64

Abstract:

Loading...

30.
Downloads 948 ( 23,024)
Citation 7

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 824 (27,739)

Abstract:

Loading...

financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 74 (318,572)
Citation 17

Abstract:

Loading...

Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 50 (389,673)

Abstract:

Loading...

31.
Downloads 947 ( 23,060)
Citation 12

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 914 (23,898)

Abstract:

Loading...

Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary

Political Risk Spreads

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 33 (458,227)
Citation 20

Abstract:

Loading...

32.
Downloads 942 ( 23,223)
Citation 29

Why Stocks May Disappoint

EFA 0669
Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 797 (29,006)
Citation 14

Abstract:

Loading...

Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 05 Oct 2001
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 145 (198,918)
Citation 61

Abstract:

Loading...

33.
Downloads 919 ( 24,095)
Citation 33

The Dynamics of Emerging Market Equity Flows

Number of pages: 61 Posted: 24 Sep 1999
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 876 (25,418)

Abstract:

Loading...

The Dynamics of Emerging Market Equity Flows

NBER Working Paper No. w7219
Number of pages: 62 Posted: 26 Jun 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 43 (415,627)
Citation 39

Abstract:

Loading...

34.
Downloads 822 ( 28,280)
Citation 12

Stock and Bond Returns with Moody Investors

AFA 2006 Boston Meetings Paper
Number of pages: 61 Posted: 17 Mar 2005
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 745 (31,836)
Citation 1

Abstract:

Loading...

Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors

Stock and Bond Returns with Moody Investors

NBER Working Paper No. w12247
Number of pages: 63 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 47 (400,471)

Abstract:

Loading...

Stock and Bond Returns with Moody Investors

CEPR Discussion Paper No. 5951
Number of pages: 65 Posted: 18 Aug 2004
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads 30 (473,169)
Citation 40
  • Add to Cart

Abstract:

Loading...

Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

35.
Downloads 797 ( 29,479)
Citation 200

Time-Varying World Market Integration

Number of pages: 49 Posted: 12 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 735 (32,420)
Citation 4

Abstract:

Loading...

Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching

Time-Varying World Market Integration

NBER Working Paper No. w4843
Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 30 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 62 (350,890)
Citation 520

Abstract:

Loading...

Time-Varying World Market Integration

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 03 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business

Abstract:

Loading...

36.
Downloads 761 ( 31,428)
Citation 29

Inflation Risk and the Inflation Risk Premium

Number of pages: 54 Posted: 06 May 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 760 (31,005)
Citation 6

Abstract:

Loading...

Inflation risk, risk premium, hedge, inflation protected bond, term structure model

Inflation Risk and the Inflation Risk Premium

Economic Policy, Vol. 25, Issue 64, pp. 755-806, October 2010
Number of pages: 52 Posted: 12 Oct 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 1 (674,836)
Citation 30
  • Add to Cart

Abstract:

Loading...

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 430 (65,157)
Citation 4

Abstract:

Loading...

Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Jun 2015 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 320 (92,137)
Citation 20

Abstract:

Loading...

Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress

38.

Globalization and Asset Prices

Number of pages: 97 Posted: 10 Mar 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 746 (32,289)
Citation 9

Abstract:

Loading...

globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model

39.

Political Risk and International Valuation

Columbia Business School Research Paper No. 15-83
Number of pages: 54 Posted: 11 Sep 2015 Last Revised: 09 Dec 2015
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 679 (36,697)
Citation 3

Abstract:

Loading...

Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation

40.
Downloads 679 ( 36,697)
Citation 10

Macroeconomic Regimes

Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55 Posted: 26 May 2011 Last Revised: 23 Jun 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 620 (40,824)

Abstract:

Loading...

Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy

Macroeconomic Regimes

Netspar Discussion Paper No. 05/2011-071
Number of pages: 54 Posted: 31 Aug 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 39 (431,703)
Citation 11

Abstract:

Loading...

monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve

Macroeconomic Regimes

NBER Working Paper No. w17090
Number of pages: 54 Posted: 31 May 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 20 (532,287)

Abstract:

Loading...

41.
Downloads 666 ( 37,661)
Citation 33

Expectations Hypotheses Tests

EFA 0483; AFA 2001 New Orleans
Number of pages: 46 Posted: 03 Jan 2001
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 622 (40,635)
Citation 1

Abstract:

Loading...

Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000 Last Revised: 10 Apr 2001
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 44 (411,691)
Citation 109

Abstract:

Loading...

42.
Downloads 662 ( 37,945)
Citation 26

Emerging Equity Markets and Economic Development

AFA 2001 New Orleans Meetings; EFA 0711; Fuqua Working Paper No. 49
Number of pages: 41 Posted: 14 Aug 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 603 (42,397)
Citation 1

Abstract:

Loading...

Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 59 (359,930)
Citation 81

Abstract:

Loading...

43.
Downloads 657 ( 38,298)
Citation 188

Foreign Speculators and Emerging Equity Markets

Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 598 (42,851)
Citation 459

Abstract:

Loading...

Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility

Foreign Speculators and Emerging Equity Markets

NBER Working Paper No. w6312
Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 04 Apr 2008
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 59 (359,930)

Abstract:

Loading...

44.
Downloads 608 ( 42,477)
Citation 2

The Time Variation in Risk Appetite and Uncertainty

Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 15 Jul 2019
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Boston College, Carroll School of Management
Downloads 596 (43,049)
Citation 2

Abstract:

Loading...

Risk aversion, Economic uncertainty, Dynamic asset pricing model, Asymmetric state variables, VIX, Variance risk premium.

The Time Variation in Risk Appetite and Uncertainty

NBER Working Paper No. w25673
Number of pages: 78 Posted: 26 Mar 2019
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Boston College, Carroll School of Management
Downloads 12 (584,424)
  • Add to Cart

Abstract:

Loading...

45.

Economic and Financial Integration in Europe

Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13 Posted: 17 Apr 2017
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 599 (43,364)
Citation 2

Abstract:

Loading...

Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis

46.
Downloads 567 ( 46,577)
Citation 20

New-Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49 Posted: 07 Jun 2005 Last Revised: 28 Jun 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 445 (62,508)

Abstract:

Loading...

Phillips curve, term structure, New-Keynesian model

New Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010, Columbia Business School Research Paper No. 11-29
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 50 (389,673)

Abstract:

Loading...

New-Keynesian Macroeconomics and the Term Structure

NBER Working Paper No. w11340
Number of pages: 62 Posted: 16 Jun 2005 Last Revised: 28 Jun 2010
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 42 (419,543)

Abstract:

Loading...

New-Keynesian Macroeconomics and the Term Structure

CEPR Discussion Paper No. 5956
Number of pages: 51 Posted: 03 Jan 2007
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 30 (473,169)
Citation 74
  • Add to Cart

Abstract:

Loading...

Monetary policy, inflation target, term structure of interest rates, Phillips curve

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Number of pages: 95 Posted: 31 Mar 2014 Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Kellogg School of Management
Downloads 490 (55,393)
Citation 2

Abstract:

Loading...

International Diversification, Microdata, 401(k) Portfolios

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Netspar Discussion Paper No. 02/2014-025
Number of pages: 95 Posted: 08 Jul 2014 Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Kellogg School of Management
Downloads 72 (323,561)
Citation 9

Abstract:

Loading...

International Diversification, Micro Data, 401(k) Plans

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 500 (53,995)

Abstract:

Loading...

GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 45 (407,869)
Citation 10

Abstract:

Loading...

Bad Environments Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 3 (649,088)
Citation 1

Abstract:

Loading...

non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 09 Aug 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 333 (88,086)

Abstract:

Loading...

ARIMA, Phillips curve, forecasting, term structure models

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

NBER Working Paper No. w11538
Number of pages: 55 Posted: 19 Sep 2005 Last Revised: 13 Jul 2010
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 207 (144,806)
Citation 267

Abstract:

Loading...

50.
Downloads 540 ( 49,530)
Citation 16

Uncovered Interest Rate Parity and the Term Structure

Columbia Business School Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 57 Posted: 06 Feb 2002
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads 489 (55,538)

Abstract:

Loading...

Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test

Uncovered Interest Rate Parity and the Term Structure

NBER Working Paper No. w8795
Number of pages: 57 Posted: 21 Feb 2002 Last Revised: 26 Oct 2010
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads 51 (386,214)
Citation 24

Abstract:

Loading...

51.
Downloads 530 ( 50,719)
Citation 32

Risk, Uncertainty and Asset Prices

Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56 Posted: 08 Aug 2005
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 460 (59,994)
Citation 2

Abstract:

Loading...

Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 35 (449,198)

Abstract:

Loading...

Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 35 (449,198)
Citation 101
  • Add to Cart

Abstract:

Loading...

Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure

Risk, Uncertainty, and Asset Prices

Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University

Abstract:

Loading...

52.

Short Rate Nonlinearities and Regime Switches

Number of pages: 37 Posted: 08 Dec 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 518 (52,226)
Citation 51

Abstract:

Loading...

Short rate, term spread, drift, volatility, regime-switching

53.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 506 (53,788)
Citation 20

Abstract:

Loading...

emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration

54.
Downloads 505 ( 53,926)
Citation 53

Dating the Integration of World Equity Markets

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Oct 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 472 (58,132)
Citation 132

Abstract:

Loading...

Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 20 Apr 2008
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 33 (458,227)

Abstract:

Loading...

Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 364 (79,446)

Abstract:

Loading...

macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-058
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 63 (348,075)

Abstract:

Loading...

Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 05 Jun 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 25 (501,192)

Abstract:

Loading...

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 19 (538,737)

Abstract:

Loading...

56.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 425 (66,728)
Citation 3

Abstract:

Loading...

Capital Flows and the Behavior of Emerging Market Equity Returns

Fuqua School of Business Working Paper No. 9807
Number of pages: 51 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 349 (83,468)
Citation 20

Abstract:

Loading...

Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth

Capital Flows and the Behavior of Emerging Market Equity Returns

NBER Working Paper No. w6669
Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 10 Oct 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 74 (318,572)

Abstract:

Loading...

58.
Downloads 420 ( 67,661)

Globalization and Asset Returns

Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79 Posted: 28 Aug 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads 420 (67,038)
Citation 9

Abstract:

Loading...

Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements

Globalization and Asset Returns

Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016
Posted: 18 Nov 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services

Abstract:

Loading...

59.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 392 (73,483)
Citation 40

Abstract:

Loading...

Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility

Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals

FEDS Working Paper No. 2015-53
Number of pages: 65 Posted: 08 Oct 2015
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 254 (118,154)
Citation 27

Abstract:

Loading...

VIX, equity premium, habit, risk aversion, skewness

Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals

Number of pages: 82 Posted: 26 Aug 2015 Last Revised: 29 Apr 2019
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 18 (545,182)

Abstract:

Loading...

habit, volatility premium, non-Gaussian distribution, consumption

61.

Inflation and the Inflation Risk Premium

Economic Policy, Vol. 25, No. 64, pp. 757-806, October 2010, Columbia Business School Research Paper No. 11-28
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 264 (113,985)

Abstract:

Loading...

On the Link between the Volatility and Skewness of Growth

Number of pages: 54 Posted: 27 Oct 2012 Last Revised: 28 Feb 2018
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 230 (130,687)

Abstract:

Loading...

Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles

On the Link between the Volatility and Skewness of Growth

NBER Working Paper No. w18556
Number of pages: 43 Posted: 22 Nov 2012
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 2 (660,308)

Abstract:

Loading...

63.

An Anatomy of Central and Eastern European Equity Markets

Columbia Business School Research Paper No. 15-71
Number of pages: 81 Posted: 29 Jul 2015
Lieven Baele, Geert Bekaert and Larissa Schäfer
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Frankfurt School of Finance & Management
Downloads 224 (134,585)
Citation 2

Abstract:

Loading...

Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice

64.

On the Global Financial Market Integration ‘Swoosh’ and the Trilemma

Columbia Business School Research Paper No. 17-17
Number of pages: 41 Posted: 24 Jan 2017 Last Revised: 12 May 2019
Geert Bekaert and Arnaud Mehl
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 213 (141,258)
Citation 4

Abstract:

Loading...

Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis

Conditioning Information and Variance Bounds on Pricing Kernels

AFA 2003 Washington, DC Meetings
Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 171 (172,768)
Citation 37

Abstract:

Loading...

Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999 Last Revised: 07 May 2000
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 24 (507,231)

Abstract:

Loading...

66.

Asymmetric Volatility and Risk in Equity Markets

NBER Working Paper No. w6022
Number of pages: 60 Posted: 25 May 2006
Geert Bekaert and Guojun Wu
Columbia Business School - Finance and Economics and University of Houston
Downloads 112 (241,887)
Citation 275

Abstract:

Loading...

67.

The Global Crisis and Equity Market Contagion

DIW Berlin Discussion Paper No. 1352, Columbia Business School Research Paper No. 14-26
Number of pages: 64 Posted: 30 Jan 2014 Last Revised: 15 Sep 2014
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 102 (258,265)
Citation 52

Abstract:

Loading...

contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Diversification, Integration and Emerging Market Closed-End Funds

NBER Working Paper No. w4990
Number of pages: 62 Posted: 11 Aug 2000 Last Revised: 26 Aug 2010
Geert Bekaert and Michael S. Urias
Columbia Business School - Finance and Economics and Morgan Stanley
Downloads 76 (313,571)
Citation 95

Abstract:

Loading...

Diversification, Integration and Emerging Market Closed-End Funds

Posted: 07 Jul 1998
Geert Bekaert
Columbia Business School - Finance and Economics

Abstract:

Loading...

69.

Risk and Return in International Corporate Bond Markets

Number of pages: 58 Posted: 16 May 2019 Last Revised: 22 May 2019
Geert Bekaert and Roberto A. De Santis
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Directorate General Economics
Downloads 74 (315,201)

Abstract:

Loading...

Corporate bond markets, CAPM, international market integration, asset class integration, bond ratings, risk, return

70.

The International Commonality of Idiosyncratic Variances

Number of pages: 75 Posted: 11 Jan 2019 Last Revised: 20 May 2019
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 70 (324,998)

Abstract:

Loading...

return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables

71.

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

NBER Working Paper No. w3790
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 19 Jan 2009
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 69 (327,546)
Citation 46

Abstract:

Loading...

72.

Inflation and the Stock Market:Understanding the "Fed Model"

NBER Working Paper No. w15024
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 22 Jul 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads 67 (332,784)

Abstract:

Loading...

73.

On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates

NBER Working Paper No. t0191
Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 12 Jul 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 60 (351,994)
Citation 32

Abstract:

Loading...

74.

On Biases in the Measurement of Foreign Exchange Risk Premiums

NBER Working Paper No. w3861
Number of pages: 39 Posted: 10 Jul 2007 Last Revised: 22 Jul 2010
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 46 (396,866)
Citation 25

Abstract:

Loading...

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

NBER Working Paper No. w4624
Number of pages: 50 Posted: 19 Dec 2000 Last Revised: 24 Aug 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 34 (453,629)
Citation 7

Abstract:

Loading...

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

Posted: 15 Sep 1999
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

Loading...

"Peso Problem" Explanations for Term Structure Anomalies

NBER Working Paper No. w6147
Number of pages: 65 Posted: 01 Jul 2000
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 27 (489,358)
Citation 82

Abstract:

Loading...

'Peso Problem' Explanations for Term Structure Anomalies

Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

Loading...

77.

Target Zones and Exchange Rates: An Empirical Investigation

NBER Working Paper No. w5445
Number of pages: 52 Posted: 01 Jul 2000
Geert Bekaert and Stephen Gray
Columbia Business School - Finance and Economics and affiliation not provided to SSRN
Downloads 23 (497,604)
Citation 26

Abstract:

Loading...

78.

Inflation-Linked versus Nominal Bond Yields: On Liquidity and Inflation Risk Premiums Around the World

Number of pages: 69 Posted: 19 Jun 2019
Geert Bekaert and Andrey Ermolov
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 19 (520,531)

Abstract:

Loading...

sovereign bonds, inflation-linked bonds, expected inflation, inflation risk premium

79.

On the Global Financial Market Integration “Swoosh” and the Trilemma

NBER Working Paper No. w23124
Number of pages: 73 Posted: 07 Feb 2017 Last Revised: 13 Feb 2017
Geert Bekaert and Arnaud Mehl
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 12 (561,613)

Abstract:

Loading...

The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

NBER Working Paper No. w4818
Number of pages: 54 Posted: 20 Sep 2010
Geert Bekaert
Columbia Business School - Finance and Economics
Downloads 11 (591,251)
Citation 72

Abstract:

Loading...

The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics

Abstract:

Loading...

81.

Who is Internationally Diversified? Evidence from 296 401(K)

NBER Working Paper No. w21236
Number of pages: 79 Posted: 08 Jun 2015
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Kellogg School of Management
Downloads 10 (573,886)

Abstract:

Loading...

82.

How Regimes Affect Asset Allocation?

Financial Analysts Journal, Vol. 60, No. 2, pp. 86-99, March/April 2004
Posted: 07 May 2004
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc

Abstract:

Loading...

Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation

83.

Is There a Free Lunch in Emerging Market Equities?

Posted: 15 Aug 1998
Geert Bekaert and Michael S. Urias
Columbia Business School - Finance and Economics and Morgan Stanley

Abstract:

Loading...

84.

The Contribution of Speculators to Effective Financial Markets

Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

Abstract:

Loading...

85.

The Role of Capital Markets in Economic Growth

Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

Abstract:

Loading...