Downloads
4,328
( 2,152)
Citation
12
Number of pages: 25
Posted: 26 Oct 2013
Last Revised: 09 Apr 2017
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
4,152
(2,298)
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
Netspar Discussion Paper No. 05/2014-024
Number of pages: 29
Posted: 08 Jul 2014
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
176
(183,191)
Abstract:
Downloads
3,431
( 3,209)
Citation
200
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
3,315
(3,327)
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
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
94
(297,877)
Abstract:
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
(563,164)
Liquidity and Expected Returns: Lessons from Emerging Markets
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Liquidity pricing, emerging markets, return predictability
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
Downloads
3,315
( 3,394)
Citation
111
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
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads
3,275
(3,390)
Abstract:
factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety
NBER Working Paper No. w15260
Number of pages: 59
Posted: 18 Aug 2009
Last Revised: 13 Sep 2010
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads
40
(463,457)
Abstract:
Number of pages: 68
Posted: 22 Jan 2003
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
3,083
(3,852)
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
Downloads
2,816
( 4,497)
Citation
64
AFA 2002 Atlanta Meetings
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,371
(5,847)
Abstract:
Present value model, predictability, international predictability, short rates, dividend yield, earnings yield
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 11 Feb 2010
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
445
(68,566)
Abstract:
Downloads
2,732
( 4,718)
Citation
42
Number of pages: 40
Posted: 29 Apr 2008
Last Revised: 28 Jun 2011
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
2,562
(5,150)
Abstract:
Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40
Posted: 21 Oct 2011
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
170
(188,822)
Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Downloads
2,575
( 5,210)
Citation
15
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,244
(6,414)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 16 Apr 2008
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
331
(96,952)
Abstract:
Downloads
2,234
( 6,596)
Citation
203
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
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
1,986
(7,909)
Abstract:
Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle
Netspar Discussion Paper No. 05/2011-102
Number of pages: 42
Posted: 08 May 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
94
(297,877)
Abstract:
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics
ECB Working Paper No. 1565
Number of pages: 40
Posted: 12 Aug 2013
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
75
(342,744)
Abstract:
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle
National Bank of Belgium Working Paper No. 229
Number of pages: 63
Posted: 13 Oct 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
57
(397,064)
Abstract:
Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics
NBER Working Paper No. w16397
Number of pages: 51
Posted: 18 Oct 2010
Last Revised: 19 Oct 2010
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
19
(583,809)
Abstract:
CEPR Discussion Paper No. DP8154
Number of pages: 44
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
3
(703,236)
Risk, Uncertainty and Monetary Policy
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
Downloads
2,176
( 6,894)
Citation
74
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
2,113
(7,112)
Abstract:
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
57
(397,064)
Abstract:
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
(678,975)
What Segments Equity Markets?
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials
Downloads
2,139
( 7,092)
Citation
97
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
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
1,595
(11,322)
Abstract:
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
ECB Working Paper No. 1675
Number of pages: 36
Posted: 04 Jul 2014
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
325
(98,968)
Abstract:
option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability
Netspar Discussion Paper No. 10/2013-035
Number of pages: 36
Posted: 19 Oct 2013
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
185
(175,136)
Abstract:
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
NBER Working Paper No. w18995
Number of pages: 41
Posted: 28 Apr 2013
Last Revised: 01 May 2013
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
34
(491,625)
Abstract:
Downloads
1,866
( 8,970)
Citation
38
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
1,829
(9,078)
Abstract:
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
NBER Working Paper No. w16058
Number of pages: 75
Posted: 07 Jun 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
34
(491,625)
Abstract:
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
3
(703,236)
Aggregate Idiosyncratic Volatility
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
Downloads
1,828
( 9,265)
Citation
145
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,438
(13,340)
Abstract:
regime-switching term structure model, inflation risk premium, business cycles
NBER Working Paper No. w12930
Number of pages: 68
Posted: 24 Feb 2007
Last Revised: 03 Nov 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
368
(85,894)
Abstract:
CEPR Discussion Paper No. 4518
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads
22
(563,164)
The Term Structure of Real Rates and Expected Inflation
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Downloads
1,770
( 9,758)
Citation
9
Columbia Business School Research Paper No. 15-53
Number of pages: 88
Posted: 30 Apr 2015
Last Revised: 06 Mar 2018
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads
1,669
(10,557)
Abstract:
currency carry trade, currency risk factors
Number of pages: 77
Posted: 04 Jan 2019
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads
95
(295,899)
Abstract:
currency carry trade, predictability, currency risk factors
NBER Working Paper No. w25420
Number of pages: 78
Posted: 07 Jan 2019
Last Revised: 12 Jan 2019
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads
5
(686,665)
Good Carry, Bad Carry
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.pdfSize: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
CEPR Discussion Paper No. DP13463
Number of pages: 80
Posted: 23 Jan 2019
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads
1
(727,946)
Good Carry, Bad Carry
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
currency carry trade, currency risk factors, predictability
Downloads
1,594
( 11,534)
Citation
117
ECB Working Paper No. 931
Number of pages: 46
Posted: 19 Mar 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
1,494
(12,528)
Abstract:
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
NBER Working Paper No. w11906
Number of pages: 57
Posted: 22 Jan 2006
Last Revised: 15 Jul 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
64
(374,189)
Abstract:
CEPR Discussion Paper No. 5955
Number of pages: 59
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads
36
(481,776)
International Stock Return Comovements
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
International diversification, correlation dynamics, country debate, factor models, comovements
Downloads
1,523
( 12,381)
Citation
26
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,174
(18,192)
Abstract:
market timing, tactical asset allocation, regime switching, international diversification
NBER Working Paper No. w10080
Number of pages: 28
Posted: 14 Nov 2003
Last Revised: 19 Jul 2010
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
349
(91,356)
Abstract:
Downloads
1,503
( 12,655)
Citation
234
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
1,373
(14,319)
Abstract:
Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk
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
130
(236,030)
Abstract:
Downloads
1,399
( 14,200)
Citation
20
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,156
(18,619)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 08 Apr 2008
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
243
(134,973)
Abstract:
Downloads
1,395
( 14,282)
Citation
18
National Bank of Belgium Working Paper No. 230
Number of pages: 75
Posted: 13 Oct 2012
Last Revised: 16 Jan 2019
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
1,135
(19,124)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
FEDS Working Paper No. 2014-46
Number of pages: 59
Posted: 29 Jun 2014
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
94
(297,877)
Abstract:
flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds
Columbia Business School Research Paper No. 18-58
Number of pages: 75
Posted: 19 Jul 2018
Last Revised: 16 Jan 2019
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
87
(313,017)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
Netspar Discussion Paper No. 05/2013-034
Number of pages: 72
Posted: 19 Oct 2013
Last Revised: 16 Jan 2019
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
68
(362,269)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
NBER Working Paper No. w19095
Number of pages: 76
Posted: 31 May 2013
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
11
(648,933)
Abstract:
Downloads
1,376
( 14,571)
Citation
26
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
1,157
(18,589)
Abstract:
contagion; financial crisis; equity markets; global transmission; market integration; country risk; factor model; financial policies; FX reserves, current account
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
85
(317,661)
Abstract:
Contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
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
67
(365,302)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
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
39
(467,908)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
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
23
(556,335)
Abstract:
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
(686,665)
Global Crises and Equity Market Contagion
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration
Number of pages: 62
Posted: 19 Feb 2009
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
1,370
(14,674)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
Downloads
1,229
( 17,287)
Citation
1
Columbia Business School Research Paper No. 17-88
Number of pages: 47
Posted: 23 Aug 2017
Last Revised: 13 May 2020
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
1,224
(17,066)
Abstract:
Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels
NBER Working Paper No. w25449
Number of pages: 59
Posted: 15 Jan 2019
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
5
(686,665)
Currency Factors
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.pdfSize: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
CEPR Discussion Paper No. DP13464
Number of pages: 61
Posted: 23 Jan 2019
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
0
Currency Factors
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels
Number of pages: 27
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
1,193
(18,115)
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
Downloads
1,187
( 18,248)
Citation
177
EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39
Posted: 22 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads
1,127
(19,331)
Abstract:
NBER Working Paper No. w9510
Number of pages: 35
Posted: 26 Feb 2003
Last Revised: 31 Oct 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads
60
(386,909)
Abstract:
Downloads
1,182
( 18,380)
Citation
17
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
1,155
(18,656)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis
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
27
(530,531)
Abstract:
Downloads
1,120
( 19,860)
Citation
35
Number of pages: 78
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
968
(24,280)
Abstract:
Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation
NBER Working Paper No. w5307
Number of pages: 79
Posted: 26 Aug 2000
Last Revised: 24 Sep 2010
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
152
(207,971)
Abstract:
Downloads
1,105
( 20,270)
Citation
85
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
1,027
(22,232)
Abstract:
Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization
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
78
(334,814)
Abstract:
Downloads
1,074
( 21,154)
Citation
13
EFA 2002 Berlin Meetings
Number of pages: 54
Posted: 21 Feb 2002
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads
1,010
(22,817)
Abstract:
NBER Working Paper No. w7346
Number of pages: 52
Posted: 05 Feb 2000
Last Revised: 13 Oct 2010
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads
64
(374,189)
Abstract:
Downloads
1,064
( 21,429)
Citation
16
Number of pages: 50
Posted: 31 Jul 2009
Last Revised: 28 Jun 2011
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
982
(23,761)
Abstract:
Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability
Number of pages: 50
Posted: 18 Mar 2011
Last Revised: 29 Oct 2014
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
60
(386,909)
Abstract:
Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability
NBER Working Paper No. w15222
Number of pages: 52
Posted: 18 Aug 2009
Last Revised: 06 Aug 2010
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
20
(576,760)
Abstract:
CEPR Discussion Paper No. DP8150
Number of pages: 52
Posted: 27 Dec 2010
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
(713,984)
Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium
Downloads
1,052
( 21,769)
Citation
59
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
1,004
(23,008)
Abstract:
Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility
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
48
(429,884)
Abstract:
Downloads
1,001
( 23,493)
Citation
19
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
962
(24,482)
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
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
39
(467,908)
Abstract:
Downloads
982
( 24,173)
Citation
25
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
850
(29,259)
Abstract:
financial openness, growth, liberalization, 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
80
(329,832)
Abstract:
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
52
(414,780)
Abstract:
Downloads
951
( 25,270)
Citation
73
EFA 0669
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
803
(31,686)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 05 Oct 2001
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
148
(212,638)
Abstract:
Downloads
925
( 26,327)
Citation
26
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
879
(27,901)
Abstract:
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
46
(437,864)
Abstract:
Downloads
827
( 30,897)
Citation
36
AFA 2006 Boston Meetings Paper
Number of pages: 61
Posted: 17 Mar 2005
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
747
(34,970)
Abstract:
Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors
NBER Working Paper No. w12247
Number of pages: 63
Posted: 25 May 2006
Last Revised: 31 Jul 2006
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
50
(422,222)
Abstract:
CEPR Discussion Paper No. 5951
Number of pages: 65
Posted: 18 Aug 2004
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
(512,833)
Stock and Bond Returns with Moody Investors
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence
Downloads
815
( 31,521)
Citation
487
Number of pages: 49
Posted: 12 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
749
(34,867)
Abstract:
Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching
NBER Working Paper No. w4843
Number of pages: 49
Posted: 11 Jun 2000
Last Revised: 30 Sep 2010
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
66
(368,160)
Abstract:
JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 03 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Abstract:
Downloads
810
( 31,792)
Citation
6
Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 67
Posted: 14 Nov 2017
Last Revised: 14 Feb 2020
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
796
(32,059)
Abstract:
Risk aversion, Economic uncertainty, Dynamic asset pricing model, Asymmetric state variables, VIX, Variance risk premium.
NBER Working Paper No. w25673
Number of pages: 78
Posted: 26 Mar 2019
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
14
(619,224)
The Time Variation in Risk Appetite and Uncertainty
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.pdfSize: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Downloads
784
( 33,187)
Citation
17
ECB Working Paper No. 1037
Number of pages: 47
Posted: 15 Apr 2009
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
435
(70,481)
Abstract:
Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics
Journal of Banking and Finance, Forthcoming
Number of pages: 58
Posted: 20 Jun 2015
Last Revised: 17 Sep 2015
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
349
(91,356)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Downloads
773
( 33,863)
Citation
33
Number of pages: 54
Posted: 06 May 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
772
(33,411)
Abstract:
Inflation risk, risk premium, hedge, inflation protected bond, term structure model
Economic Policy, Vol. 25, Issue 64, pp. 755-806, October 2010
Number of pages: 52
Posted: 12 Oct 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
1
(727,946)
Inflation Risk and the Inflation Risk Premium
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ecop.pdfSize: 946K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Number of pages: 97
Posted: 10 Mar 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
752
(35,188)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
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
734
(36,361)
Abstract:
Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation
Downloads
704
( 38,443)
Citation
4
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
638
(43,323)
Abstract:
Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy
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
45
(441,955)
Abstract:
monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve
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
21
(569,959)
Abstract:
Downloads
671
( 41,037)
Citation
85
EFA 0483; AFA 2001 New Orleans
Number of pages: 46
Posted: 03 Jan 2001
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
626
(44,403)
Abstract:
NBER Working Paper No. w7609
Number of pages: 46
Posted: 25 Apr 2000
Last Revised: 10 Apr 2001
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
45
(441,955)
Abstract:
Downloads
670
( 41,108)
Citation
78
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
609
(46,063)
Abstract:
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
61
(383,667)
Abstract:
Downloads
666
( 41,436)
Citation
52
Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56
Posted: 08 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
605
(46,454)
Abstract:
Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility
NBER Working Paper No. w6312
Number of pages: 57
Posted: 30 Aug 2000
Last Revised: 04 Apr 2008
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
61
(383,667)
Abstract:
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
649
(42,972)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis
Downloads
582
( 49,539)
Citation
7
Number of pages: 95
Posted: 31 Mar 2014
Last Revised: 12 Apr 2016
Downloads
501
(59,146)
Abstract:
International Diversification, Microdata, 401(k) Portfolios
Netspar Discussion Paper No. 02/2014-025
Number of pages: 95
Posted: 08 Jul 2014
Last Revised: 12 Apr 2016
Downloads
81
(327,341)
Abstract:
International Diversification, Micro Data, 401(k) Plans
Downloads
575
( 50,336)
Citation
13
Number of pages: 58
Posted: 23 Jul 2013
Last Revised: 08 Feb 2016
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
521
(56,287)
Abstract:
GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns
Netspar Discussion Paper No. 07/2013-033
Number of pages: 59
Posted: 19 Oct 2013
Last Revised: 07 Jul 2014
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
50
(422,222)
Abstract:
Number of pages: 60
Posted: 16 Aug 2014
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
4
(694,462)
Abstract:
non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness
Downloads
573
( 50,543)
Citation
64
Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49
Posted: 07 Jun 2005
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads
447
(68,165)
Abstract:
Phillips curve, term structure, New-Keynesian model
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
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads
53
(411,173)
Abstract:
NBER Working Paper No. w11340
Number of pages: 62
Posted: 16 Jun 2005
Last Revised: 28 Jun 2010
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads
43
(450,354)
Abstract:
CEPR Discussion Paper No. 5956
Number of pages: 51
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads
30
(512,833)
New-Keynesian Macroeconomics and the Term Structure
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Monetary policy, inflation target, term structure of interest rates, Phillips curve
Downloads
550
( 53,130)
Citation
248
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
339
(94,415)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 13 Jul 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
211
(154,925)
Abstract:
Downloads
546
( 53,610)
Citation
39
Columbia Business School Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 57
Posted: 06 Feb 2002
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads
491
(60,678)
Abstract:
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
NBER Working Paper No. w8795
Number of pages: 57
Posted: 21 Feb 2002
Last Revised: 26 Oct 2010
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads
55
(404,081)
Abstract:
Downloads
541
( 54,280)
Citation
83
Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56
Posted: 08 Aug 2005
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
467
(64,618)
Abstract:
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
NBER Working Paper No. w12248
Number of pages: 55
Posted: 25 May 2006
Last Revised: 31 Jul 2006
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
39
(467,908)
Abstract:
CEPR Discussion Paper No. 5947
Number of pages: 57
Posted: 03 Jan 2007
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
(486,653)
Risk, Uncertainty and Asset Prices
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
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:
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
523
(56,663)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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
519
(57,239)
Abstract:
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
Number of pages: 67
Posted: 31 Aug 2016
Last Revised: 13 May 2018
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
399
(78,121)
Abstract:
macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation
FEDS Working Paper No. 2017-058
Number of pages: 76
Posted: 05 Jun 2017
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
66
(368,160)
Abstract:
Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium
Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72
Posted: 05 Jun 2018
Last Revised: 06 Dec 2019
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
30
(512,833)
Abstract:
bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors
NBER Working Paper No. w22839
Number of pages: 62
Posted: 21 Nov 2016
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
21
(569,959)
Abstract:
Downloads
514
( 57,939)
Citation
22
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
476
(63,126)
Abstract:
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
38
(472,440)
Abstract:
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
456
(66,741)
Abstract:
Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements
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:
Downloads
437
( 70,755)
Citation
10
Fuqua School of Business Working Paper No. 9807
Number of pages: 51
Posted: 08 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
356
(89,240)
Abstract:
Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth
NBER Working Paper No. w6669
Number of pages: 77
Posted: 14 Jul 2000
Last Revised: 10 Oct 2010
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
81
(327,341)
Abstract:
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
431
(71,960)
Abstract:
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
401
(78,367)
Abstract:
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
Downloads
302
(107,999)
Citation
20
FEDS Working Paper No. 2015-53
Number of pages: 65
Posted: 08 Oct 2015
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
281
(115,956)
Abstract:
VIX, equity premium, habit, risk aversion, skewness
Number of pages: 82
Posted: 26 Aug 2015
Last Revised: 29 Apr 2019
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
21
(569,959)
Abstract:
habit, volatility premium, non-Gaussian distribution, consumption
Number of pages: 54
Posted: 27 Oct 2012
Last Revised: 28 Feb 2018
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
240
(136,677)
Abstract:
Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles
Columbia Business School Research Paper Forthcoming
Number of pages: 64
Posted: 24 Oct 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
24
(549,681)
Abstract:
Volatility, Skewness, Development, Financial frictions, Growth spurts, Business cycles
NBER Working Paper No. w18556
Number of pages: 43
Posted: 22 Nov 2012
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
5
(686,665)
Abstract:
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
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
269
(122,055)
Abstract:
Columbia Business School Research Paper No. 15-71
Number of pages: 81
Posted: 29 Jul 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Frankfurt School of Finance & Management
Downloads
241
(136,634)
Abstract:
Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice
Columbia Business School Research Paper No. 17-17
Number of pages: 41
Posted: 24 Jan 2017
Last Revised: 12 May 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
233
(141,155)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
Downloads
200
(163,224)
Citation
14
AFA 2003 Washington, DC Meetings
Number of pages: 44
Posted: 09 Oct 2001
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
174
(184,999)
Abstract:
NBER Working Paper No. w6880
Number of pages: 41
Posted: 08 Feb 1999
Last Revised: 07 May 2000
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
26
(536,777)
Abstract:
Number of pages: 62
Posted: 16 May 2019
Last Revised: 15 May 2020
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Directorate General Economics
Downloads
190
(171,003)
Abstract:
Corporate bond markets, CAPM, international market integration, asset class integration, bond ratings, risk, return
Columbia Business School Research Paper Forthcoming
Number of pages: 68
Posted: 11 Jan 2019
Last Revised: 29 Apr 2020
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
141
(220,613)
Abstract:
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables
NBER Working Paper No. w6022
Number of pages: 60
Posted: 25 May 2006
Columbia Business School - Finance and Economics and University of Houston
Downloads
117
(254,565)
Abstract:
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
114
(259,299)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Columbia Business School Research Paper Forthcoming
Number of pages: 63
Posted: 29 Aug 2019
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
Downloads
100
(284,096)
Abstract:
variance risk, asset pricing, emerging market returns, currency returns
Number of pages: 92
Posted: 19 Jun 2019
Last Revised: 07 Dec 2019
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads
100
(284,096)
Abstract:
sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium, habit formation, inflation-linked bonds
Columbia Business School Research Paper Forthcoming
Number of pages: 48
Posted: 24 Aug 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Financial Research
Downloads
97
(289,779)
Abstract:
bank risk, security holdings, portfolio rebalancing
Number of pages: 69
Posted: 03 Apr 2020
Last Revised: 04 May 2020
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
81
(327,341)
Abstract:
variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics
NBER Working Paper No. w27108
Number of pages: 70
Posted: 12 May 2020
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
2
(713,984)
The Variance Risk Premium in Equilibrium Models
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.pdfSize: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Downloads
77
(334,046)
Citation
2
NBER Working Paper No. w4990
Number of pages: 62
Posted: 11 Aug 2000
Last Revised: 26 Aug 2010
Columbia Business School - Finance and Economics and Morgan Stanley
Downloads
77
(337,455)
Abstract:
Posted: 07 Jul 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
NBER Working Paper No. w3790
Number of pages: 48
Posted: 28 Dec 2006
Last Revised: 19 Jan 2009
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
73
(344,313)
Abstract:
NBER Working Paper No. w15024
Number of pages: 41
Posted: 03 Jun 2009
Last Revised: 22 Jul 2010
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
68
(357,960)
Abstract:
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
62
(375,461)
Abstract:
NBER Working Paper No. w3861
Number of pages: 39
Posted: 10 Jul 2007
Last Revised: 22 Jul 2010
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
48
(422,331)
Abstract:
Downloads
35
(475,459)
Citation
1
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
35
(486,653)
Abstract:
Posted: 15 Sep 1999
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Abstract:
Number of pages: 63
Posted: 15 May 2020
Last Revised: 18 May 2020
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads
33
(484,717)
Abstract:
Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Exchange rates, Commodity prices
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
30
(512,833)
Abstract:
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:
NBER Working Paper No. w5445
Number of pages: 52
Posted: 01 Jul 2000
Columbia Business School - Finance and Economics and affiliation not provided to SSRN
Downloads
24
(533,158)
Abstract:
Number of pages: 15
Posted: 13 May 2020
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
18
(576,722)
Abstract:
Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels
NBER Working Paper No. w23124
Number of pages: 73
Posted: 07 Feb 2017
Last Revised: 13 Feb 2017
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
14
(596,079)
Abstract:
NBER Working Paper No. w21236
Number of pages: 79
Posted: 08 Jun 2015
Downloads
14
(596,079)
Abstract:
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
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
13
(616,349)
Abstract:
macroeconomic volatility, business cycles, COVID-19
NBER Working Paper No. w4818
Number of pages: 54
Posted: 20 Sep 2010
Geert Bekaert
Columbia Business School - Finance and Economics
Downloads
12
(634,081)
Abstract:
REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
Financial Analysts Journal, Vol. 60, No. 2, pp. 86-99, March/April 2004
Posted: 07 May 2004
Columbia Business School - Finance and Economics and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
Posted: 15 Aug 1998
Columbia Business School - Finance and Economics and Morgan Stanley
Abstract:
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:
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:
