Geert Bekaert

Columbia Business School - Finance and Economics

3022 Broadway

New York, NY 10027

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

82

DOWNLOADS
Rank 120

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Top 120

in Total Papers Downloads

66,537

CITATIONS
Rank 31

SSRN RANKINGS

Top 31

in Total Papers Citations

4,661

Scholarly Papers (82)

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 3,154 (2,488)
Citation 148

Abstract:

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 78 (265,334)
Citation 148

Abstract:

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 (452,864)
Citation 148
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Abstract:

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:

G12, G15, F30

2.
Downloads 3,189 ( 2,501)
Citation 53

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 Financial Economics
Downloads 3,157 (2,483)
Citation 53

Abstract:

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 Financial Economics
Downloads 32 (401,506)
Citation 53

Abstract:

3.

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 2,802 (2,946)
Citation 108

Abstract:

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

4.
Downloads 2,767 ( 3,235)
Citation 3

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 2,664 (3,364)
Citation 3

Abstract:

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 103 (221,118)
Citation 3

Abstract:

5.
Downloads 2,669 ( 3,434)
Citation 315

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 2,286 (4,376)
Citation 315

Abstract:

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
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 383 (62,584)
Citation 315

Abstract:

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 2,438 (3,914)
Citation 23

Abstract:

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 144 (170,731)
Citation 23

Abstract:

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 2,187 (4,727)
Citation 33

Abstract:

International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 315 (78,628)
Citation 33

Abstract:

8.
Downloads 2,035 ( 5,459)
Citation 46

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 1,982 (5,572)
Citation 46

Abstract:

What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009
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 47 (345,718)
Citation 46

Abstract:

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 (543,773)
Citation 46
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Abstract:

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

9.
Downloads 1,996 ( 5,627)
Citation 21

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 1,796 (6,626)
Citation 21

Abstract:

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 82 (257,384)
Citation 21

Abstract:

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 54 (324,083)
Citation 21

Abstract:

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 44 (355,621)
Citation 21

Abstract:

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
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 17 (481,961)
Citation 21

Abstract:

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 (559,721)
Citation 21
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Abstract:

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

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 1,371 (10,376)
Citation 2

Abstract:

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 292 (85,757)
Citation 2

Abstract:

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 158 (157,633)
Citation 2

Abstract:

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
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 21 (458,563)
Citation 2

Abstract:

11.
Downloads 1,819 ( 6,625)
Citation 15

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 Purdue University - Krannert School of Management
Downloads 1,788 (6,679)
Citation 15

Abstract:

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 Purdue University - Krannert School of Management
Downloads 28 (420,056)
Citation 15

Abstract:

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 Purdue University - Krannert School of Management
Downloads 3 (559,721)
Citation 15
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Abstract:

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

12.
Downloads 1,750 ( 7,134)
Citation 124

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 1,391 (10,146)
Citation 124

Abstract:

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
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 337 (72,815)
Citation 124

Abstract:

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 (452,864)
Citation 124
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Abstract:

13.
Downloads 1,483 ( 9,341)
Citation 65

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 Purdue University - Krannert School of Management
Downloads 1,394 (10,110)
Citation 65

Abstract:

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
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 53 (327,051)
Citation 65

Abstract:

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 Purdue University - Krannert School of Management
Downloads 36 (384,994)
Citation 65
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Abstract:

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

14.
Downloads 1,440 ( 9,788)
Citation 36

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 1,120 (14,326)
Citation 36

Abstract:

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 320 (77,268)
Citation 36

Abstract:

15.
Downloads 1,425 ( 9,972)
Citation 328

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 1,305 (11,246)
Citation 328

Abstract:

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
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 120 (197,458)
Citation 328

Abstract:

16.
Downloads 1,340 ( 10,992)
Citation 118

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 1,122 (14,283)
Citation 118

Abstract:

Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 218 (116,678)
Citation 118

Abstract:

17.
Downloads 1,278 ( 11,892)
Citation 6

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 1,082 (15,142)
Citation 6

Abstract:

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 79 (263,367)
Citation 6

Abstract:

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 61 (304,689)
Citation 6

Abstract:

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 30 (410,456)
Citation 6

Abstract:

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 21 (458,563)
Citation 6

Abstract:

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 (548,868)
Citation 6
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Abstract:

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

18.
Downloads 1,142 ( 14,205)
Citation 120

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 1,094 (14,873)
Citation 120

Abstract:

Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003
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 48 (342,616)
Citation 120

Abstract:

19.
Downloads 1,069 ( 15,745)
Citation 81

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 999 (17,052)
Citation 81

Abstract:

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
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 70 (282,848)
Citation 81

Abstract:

20.
Downloads 1,045 ( 16,264)
Citation 248

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 906 (19,790)
Citation 248

Abstract:

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
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 139 (175,730)
Citation 248

Abstract:

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 1,025 (16,548)
Citation 7

Abstract:

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 22 (452,864)
Citation 7

Abstract:

22.

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 1,039 (14,894)
Citation 73

Abstract:

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

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 968 (17,924)
Citation 19

Abstract:

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 48 (342,616)
Citation 19

Abstract:

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 14 (499,447)
Citation 19

Abstract:

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 (567,844)
Citation 19
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Abstract:

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

24.
Downloads 1,023 ( 16,755)
Citation 87

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 980 (17,583)
Citation 87

Abstract:

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
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 43 (359,082)
Citation 87

Abstract:

25.
Downloads 1,002 ( 17,298)
Citation 29

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 949 (18,449)
Citation 29

Abstract:

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 53 (327,051)
Citation 29

Abstract:

26.
Downloads 960 ( 18,494)
Citation 1

Flights to Safety

National Bank of Belgium Working Paper No. 230
Number of pages: 72 Posted: 13 Oct 2012 Last Revised: 08 May 2015
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 833 (22,426)
Citation 1

Abstract:

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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 73 (276,014)
Citation 1

Abstract:

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: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 46 (348,903)
Citation 1

Abstract:

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

Flights to Safety

NBER Working Paper No. w19095
Number of pages: 51 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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 8 (533,313)
Citation 1

Abstract:

27.

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 930 (15,058)
Citation 12

Abstract:

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

28.
Downloads 913 ( 19,939)
Citation 57

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 776 (24,853)
Citation 57

Abstract:

Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 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 137 (177,792)
Citation 57

Abstract:

29.
Downloads 902 ( 20,310)
Citation 57

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 862 (21,323)
Citation 57

Abstract:

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 40 (369,676)
Citation 57

Abstract:

30.
Downloads 865 ( 21,598)

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 837 (22,259)

Abstract:

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 28 (420,056)

Abstract:

31.
Downloads 861 ( 21,779)
Citation 13

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 751 (26,085)
Citation 13

Abstract:

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 63 (299,587)
Citation 13

Abstract:

Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 47 (345,718)
Citation 13

Abstract:

32.
Downloads 803 ( 24,056)
Citation 44

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 730 (27,095)
Citation 44

Abstract:

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
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 43 (359,082)
Citation 44

Abstract:

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 (410,456)
Citation 44
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Abstract:

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

33.
Downloads 732 ( 27,433)

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 677 (30,094)
Citation 406

Abstract:

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
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 55 (321,061)
Citation 406

Abstract:

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:

34.
Downloads 721 ( 28,050)
Citation 19

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 720 (27,643)
Citation 19

Abstract:

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 (579,306)
Citation 19
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Abstract:

35.
Downloads 658 ( 31,766)
Citation 47

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 617 (34,156)
Citation 47

Abstract:

Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 41 (366,034)
Citation 47

Abstract:

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 414 (56,963)
Citation 4

Abstract:

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 243 (104,528)
Citation 3

Abstract:

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

37.
Downloads 644 ( 32,695)
Citation 93

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 588 (36,385)
Citation 93

Abstract:

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 56 (318,274)
Citation 93

Abstract:

38.
Downloads 625 ( 34,069)
Citation 389

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 569 (38,000)
Citation 389

Abstract:

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
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 56 (318,274)
Citation 389

Abstract:

39.
Downloads 616 ( 34,734)

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 Financial Economics and University of Navarra - Faculty of Economics and Business
Downloads 560 (38,859)

Abstract:

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 Financial Economics and University of Navarra - Faculty of Economics and Business
Downloads 37 (381,032)

Abstract:

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 Financial Economics and University of Navarra - Faculty of Economics and Business
Downloads 19 (470,323)

Abstract:

40.

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 598 (27,596)
Citation 9

Abstract:

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

41.
Downloads 554 ( 39,964)
Citation 77

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 University of Navarra - Faculty of Economics and Business
Downloads 437 (53,290)
Citation 77

Abstract:

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 University of Navarra - Faculty of Economics and Business
Downloads 48 (342,616)
Citation 77

Abstract:

New-Keynesian Macroeconomics and the Term Structure

NBER Working Paper No. w11340
Number of pages: 62 Posted: 16 Jun 2005
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and University of Navarra - Faculty of Economics and Business
Downloads 39 (373,470)
Citation 77

Abstract:

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 University of Navarra - Faculty of Economics and Business
Downloads 30 (410,456)
Citation 77
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Abstract:

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

42.

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 53 Posted: 30 Apr 2015 Last Revised: 23 Feb 2016
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 549 (12,353)

Abstract:

currency carry trade, currency risk factors

43.

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 526 (42,654)
Citation 1

Abstract:

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

44.
Downloads 526 ( 42,654)
Citation 35

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 480 (47,367)
Citation 35

Abstract:

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
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 46 (348,903)
Citation 35

Abstract:

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 324 (76,199)
Citation 110

Abstract:

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
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 201 (126,446)
Citation 110

Abstract:

46.
Downloads 511 ( 44,274)
Citation 53

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 445 (52,119)
Citation 53

Abstract:

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

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 (389,008)
Citation 53
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Abstract:

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

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 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 31 (405,950)
Citation 53

Abstract:

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:

47.

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 485 (44,147)
Citation 43

Abstract:

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

48.
Downloads 483 ( 47,550)
Citation 131

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 456 (50,510)
Citation 131

Abstract:

Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 27 (425,050)
Citation 131

Abstract:

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 Gabelli School of Business, Fordham University
Downloads 424 (55,309)

Abstract:

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 Gabelli School of Business, Fordham University
Downloads 33 (397,259)

Abstract:

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 Columbia Business School - Finance and Economics
Downloads 426 (54,957)

Abstract:

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 Columbia Business School - Finance and Economics
Downloads 30 (410,456)

Abstract:

International Diversification, Micro Data, 401(k) Plans

51.

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 435 (48,661)
Citation 15

Abstract:

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

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 335 (73,360)
Citation 66

Abstract:

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
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 69 (285,166)
Citation 66

Abstract:

53.

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 373 (58,548)
Citation 5

Abstract:

54.

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 368 (63,384)
Citation 31

Abstract:

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

55.
Downloads 302 ( 82,977)

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 302 (82,478)

Abstract:

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:

Macro Risks and the Term Structure of Interest Rates

Number of pages: 75 Posted: 31 Aug 2016 Last Revised: 31 Aug 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 Gabelli School of Business, Fordham University
Downloads 177 (142,430)

Abstract:

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 Gabelli School of Business, Fordham University
Downloads 47 (345,718)

Abstract:

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

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 Gabelli School of Business, Fordham University
Downloads 16 (487,635)
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Abstract:

57.

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 238 (99,033)
Citation 19

Abstract:

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 168 (149,365)
Citation 29

Abstract:

Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 20 (464,384)
Citation 29

Abstract:

On the Link between the Volatility and Skewness of Growth

Number of pages: 52 Posted: 27 Oct 2012 Last Revised: 19 Nov 2015
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 179 (140,968)

Abstract:

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 1 (579,306)

Abstract:

60.

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 90 (221,424)
Citation 191

Abstract:

61.

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 68 (251,313)
Citation 6

Abstract:

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 66 (292,337)
Citation 77

Abstract:

Diversification, Integration and Emerging Market Closed-End Funds

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

Abstract:

63.

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
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 56 (293,568)
Citation 110

Abstract:

64.

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
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 53 (322,132)
Citation 90

Abstract:

65.

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 49 (313,763)
Citation 22

Abstract:

66.

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 42 (355,679)
Citation 44

Abstract:

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 33 (397,259)
Citation 37

Abstract:

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:

68.

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 27 (148,575)

Abstract:

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

"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 25 (435,825)
Citation 66

Abstract:

'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:

70.

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 18 (443,800)
Citation 18

Abstract:

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 10 (522,304)
Citation 49

Abstract:

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:

72.

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 Columbia Business School - Finance and Economics
Downloads 3 (505,749)
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Abstract:

73.

Political Risk Spreads

Journal of International Business Studies, Vol. 45, Issue 4, pp. 471-493, 2014
Number of pages: 23 Posted: 21 May 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 1 (540,850)
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Abstract:

74.

Currency Factors

Columbia Business School Research Paper No. 17-88
Number of pages: 52 Posted: 23 Aug 2017
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 0 (224,458)

Abstract:

Currency Factors; Currency Comovements; Clustering; Factor Models

75.

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 0 (103,700)

Abstract:

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

76.

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 0 (500,827)
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Abstract:

77.

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

Columbia Business School Research Paper No. 17-17
Number of pages: 72 Posted: 24 Jan 2017
Geert Bekaert and Arnaud Mehl
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 0 (189,431)

Abstract:

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

78.

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 0 (176,276)
Citation 19

Abstract:

VIX, equity premium, habit, risk aversion, skewness

79.

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:

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

80.

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:

81.

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:

82.

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: