Downloads
4,577
( 2,145)
Citation
14
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
4,385
(2,271)
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
192
(180,718)
Abstract:
Downloads
3,466
( 3,430)
Citation
206
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
3,345
(3,558)
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
99
(306,160)
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
(597,158)
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
3,333
( 3,656)
Citation
124
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
3,292
(3,654)
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
41
(487,134)
Abstract:
Number of pages: 68
Posted: 22 Jan 2003
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
3,135
(4,079)
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
2,857
( 4,796)
Citation
82
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,400
(6,280)
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
457
(71,375)
Abstract:
Downloads
2,750
( 5,105)
Citation
44
Number of pages: 40
Posted: 29 Apr 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads
2,576
(5,571)
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 Board of Governors of the Federal Reserve System
Downloads
174
(197,287)
Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Downloads
2,588
( 5,630)
Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,250
(7,007)
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
338
(101,601)
Abstract:
Downloads
2,256
( 7,108)
Citation
198
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
2,008
(8,473)
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
(316,731)
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
(364,173)
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
(421,830)
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
(618,924)
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
(745,144)
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
2,207
( 7,363)
Citation
115
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
1,647
(11,702)
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
332
(103,756)
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
193
(179,908)
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
35
(516,484)
Abstract:
Downloads
2,192
( 7,467)
Citation
81
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
2,129
(7,698)
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
(421,830)
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
(719,673)
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
1,878
( 9,655)
Citation
41
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
1,840
(9,764)
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
35
(516,484)
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
(745,144)
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
1,842
( 9,956)
Citation
151
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,450
(14,259)
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 System
Downloads
370
(91,585)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads
22
(597,158)
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
1,841
( 9,962)
Citation
12
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
1,733
(10,780)
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
102
(300,158)
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
(727,702)
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
(770,876)
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
1,605
( 12,381)
Citation
124
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
1,505
(13,441)
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
(397,599)
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
(511,343)
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
1,534
( 13,295)
Citation
28
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,182
(19,508)
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
352
(96,996)
Abstract:
Downloads
1,513
( 13,591)
Citation
258
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
1,382
(15,375)
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
131
(250,084)
Abstract:
Downloads
1,466
( 14,300)
Citation
29
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 System
Downloads
1,183
(19,478)
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 System
Downloads
102
(300,158)
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 System
Downloads
99
(306,160)
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 System
Downloads
70
(378,749)
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 System
Downloads
12
(672,228)
Abstract:
Number of pages: 62
Posted: 19 Feb 2009
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
1,424
(14,963)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
Downloads
1,411
( 15,180)
Citation
25
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,159
(20,099)
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
252
(139,179)
Abstract:
Downloads
1,393
( 15,505)
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
1,173
(19,730)
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
(337,799)
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
68
(384,862)
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
(496,624)
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
(589,999)
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
(727,702)
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
Downloads
1,324
( 16,751)
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
1,319
(16,519)
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
(727,702)
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
1,203
(19,341)
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
1,196
( 19,519)
Citation
22
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
1,167
(19,887)
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
29
(550,197)
Abstract:
Downloads
1,195
( 19,543)
Citation
183
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
1,130
(20,865)
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
65
(394,394)
Abstract:
Downloads
1,141
( 20,913)
Citation
42
Number of pages: 78
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
986
(25,535)
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
155
(217,965)
Abstract:
Downloads
1,108
( 21,886)
Citation
87
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
1,029
(24,009)
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
79
(353,210)
Abstract:
Downloads
1,084
( 22,635)
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
1,017
(24,433)
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
67
(387,972)
Abstract:
Downloads
1,067
( 23,132)
Citation
16
Number of pages: 50
Posted: 31 Jul 2009
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads
984
(25,612)
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 Board of Governors of the Federal Reserve System
Downloads
61
(407,661)
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 Board of Governors of the Federal Reserve System
Downloads
20
(611,469)
Abstract:
CEPR Discussion Paper No. DP8150
Number of pages: 52
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads
2
(756,582)
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
1,055
( 23,524)
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
1,007
(24,782)
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
(456,364)
Abstract:
Downloads
1,023
( 24,618)
Citation
20
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
981
(25,714)
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
42
(482,574)
Abstract:
Downloads
1,012
( 25,025)
Citation
8
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
926
(27,991)
Abstract:
macroeconomic volatility, business cycles, COVID-19
FEDS Working Paper No. 2020-049
Number of pages: 30
Posted: 23 Jun 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
86
(335,305)
Abstract:
Business cycles, COVID-19, Macroeconomic volatility
Downloads
995
( 25,622)
Citation
30
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
858
(31,217)
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
85
(337,799)
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
(440,467)
Abstract:
Downloads
959
( 26,985)
Citation
9
Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 76
Posted: 14 Nov 2017
Last Revised: 28 Aug 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads
945
(27,134)
Abstract:
Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.
NBER Working Paper No. w25673
Number of pages: 78
Posted: 26 Mar 2019
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads
14
(656,417)
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
959
( 26,985)
Citation
75
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
810
(33,761)
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
149
(225,263)
Abstract:
Downloads
925
( 28,472)
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
(30,157)
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
(464,833)
Abstract:
Downloads
834
( 32,921)
Citation
38
AFA 2006 Boston Meetings Paper
Number of pages: 61
Posted: 17 Mar 2005
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads
753
(37,263)
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, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads
51
(444,309)
Abstract:
CEPR Discussion Paper No. 5951
Number of pages: 65
Posted: 18 Aug 2004
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads
30
(544,175)
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
822
( 33,595)
Citation
493
Number of pages: 49
Posted: 12 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
755
(37,140)
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
67
(387,972)
Abstract:
Posted: 03 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Abstract:
Downloads
797
( 34,989)
Citation
18
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
437
(75,310)
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
360
(94,481)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Downloads
781
( 35,995)
Citation
34
Number of pages: 54
Posted: 06 May 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
780
(35,540)
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
(770,876)
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:
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
767
(36,889)
Abstract:
Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation
Number of pages: 97
Posted: 10 Mar 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
756
(37,633)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
Downloads
718
( 40,388)
Citation
6
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
651
(45,459)
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
46
(464,833)
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
(604,299)
Abstract:
Downloads
679
( 43,539)
Citation
87
Number of pages: 46
Posted: 03 Jan 2001
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
629
(47,565)
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
50
(448,301)
Abstract:
Downloads
673
( 44,077)
Citation
79
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
611
(49,415)
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
62
(404,245)
Abstract:
Downloads
673
( 44,077)
Citation
68
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
611
(49,415)
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
62
(404,245)
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
669
(44,411)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis
Downloads
589
( 52,531)
Citation
6
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 Federal Reserve Bank of Chicago
Downloads
507
(62,690)
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
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads
82
(345,325)
Abstract:
International Diversification, Micro Data, 401(k) Plans
Downloads
585
( 52,979)
Citation
17
Number of pages: 58
Posted: 23 Jul 2013
Last Revised: 08 Feb 2016
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
528
(59,560)
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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
53
(436,677)
Abstract:
Number of pages: 60
Posted: 16 Aug 2014
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
4
(736,029)
Abstract:
non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness
Downloads
575
( 54,092)
Citation
68
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
449
(72,926)
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
(436,677)
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
(478,030)
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
(544,175)
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
561
( 55,751)
Citation
2
Number of pages: 67
Posted: 31 Aug 2016
Last Revised: 13 May 2018
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
432
(76,350)
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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
66
(391,176)
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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
41
(487,134)
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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
22
(597,158)
Abstract:
Downloads
558
( 56,154)
Citation
255
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads
347
(98,607)
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 System
Downloads
211
(165,313)
Abstract:
Downloads
548
( 57,473)
Citation
20
Number of pages: 57
Posted: 06 Feb 2002
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads
492
(65,045)
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 System and Rice University
Downloads
56
(425,456)
Abstract:
Downloads
546
( 57,770)
Citation
89
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, Board of Governors of the Federal Reserve System and Rice University
Downloads
472
(68,514)
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, Board of Governors of the Federal Reserve System and Rice University
Downloads
39
(496,624)
Abstract:
CEPR Discussion Paper No. 5947
Number of pages: 57
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads
35
(516,484)
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, Board of Governors of the Federal Reserve System and Rice University
Abstract:
Number of pages: 46
Posted: 25 Oct 2005
Last Revised: 07 Aug 2020
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads
531
(59,751)
Abstract:
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
523
(60,957)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
Downloads
517
( 61,835)
Citation
29
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
479
(67,266)
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
(501,439)
Abstract:
Number of pages: 34
Posted: 11 Jun 2020
Last Revised: 12 Oct 2020
Global AI Corp, Columbia Business School - Finance and Economics, Global AI Co and Global AI Corp
Downloads
479
(67,938)
Abstract:
ESG, SDG, asset management, fiduciary duty, alpha, sustainable investing, risk factors
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
473
(68,343)
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
447
( 74,023)
Citation
12
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
358
(95,108)
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
89
(328,142)
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
435
(76,447)
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
403
(83,625)
Abstract:
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
Columbia Business School Research Paper Forthcoming
Number of pages: 60
Posted: 16 May 2019
Last Revised: 18 Nov 2020
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Directorate General Economics
Downloads
240
(145,996)
Abstract:
Corporate bond markets; CAPM; international market integration; asset class integration; bond ratings; risk; return; market efficiency tests; comovement.
ECB Working Paper No. 20202452
Number of pages: 173
Posted: 11 Aug 2020
European Central Bank (ECB) - Directorate General Economics and Columbia Business School - Finance and Economics
Downloads
74
(366,953)
Abstract:
asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk
Downloads
314
(110,936)
Citation
33
FEDS Working Paper No. 2015-53
Number of pages: 65
Posted: 08 Oct 2015
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads
291
(119,627)
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 Board of Governors of the Federal Reserve System
Downloads
23
(589,999)
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
245
(143,148)
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
35
(516,484)
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
(727,702)
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
270
(130,254)
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
246
(143,119)
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
240
(146,523)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
Downloads
202
(172,670)
Citation
16
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
175
(196,325)
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
27
(562,801)
Abstract:
Number of pages: 78
Posted: 15 May 2020
Last Revised: 02 Jan 2021
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads
189
(183,460)
Abstract:
Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate
Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 68
Posted: 11 Jan 2019
Last Revised: 29 Oct 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
171
(200,210)
Abstract:
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables
Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 101
Posted: 19 Jun 2019
Last Revised: 21 Oct 2020
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads
155
(217,620)
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: 63
Posted: 29 Aug 2019
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
Downloads
150
(223,584)
Abstract:
variance risk, asset pricing, emerging market returns, currency returns
Downloads
125
(258,114)
Citation
2
Number of pages: 69
Posted: 03 Apr 2020
Last Revised: 04 May 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
122
(264,055)
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, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
3
(745,144)
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:
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
123
(261,241)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
NBER Working Paper No. w6022
Number of pages: 60
Posted: 25 May 2006
Columbia Business School - Finance and Economics and University of Houston
Downloads
122
(262,925)
Abstract:
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
117
(271,001)
Abstract:
bank risk, security holdings, portfolio rebalancing
Downloads
78
(352,366)
Citation
3
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
78
(355,889)
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
(365,807)
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 Board of Governors of the Federal Reserve System
Downloads
70
(374,389)
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
64
(392,448)
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
(448,327)
Abstract:
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
(516,484)
Abstract:
Posted: 15 Sep 1999
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Abstract:
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
32
(532,844)
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:
Number of pages: 15
Posted: 13 May 2020
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
28
(541,463)
Abstract:
Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels
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
27
(547,222)
Abstract:
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
(632,313)
Abstract:
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 Federal Reserve Bank of Chicago
Downloads
14
(632,313)
Abstract:
Downloads
12
(646,738)
Citation
5
NBER Working Paper No. w4818
Number of pages: 54
Posted: 20 Sep 2010
Geert Bekaert
Columbia Business School - Finance and Economics
Downloads
12
(672,228)
Abstract:
REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
Number of pages: 63
Posted: 15 Jan 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads
4
(705,104)
Abstract:
business cycles, non-Gaussian dynamics, macroeconomic uncertainty, Great Moderation, COVID-19
Number of pages: 99
Columbia Business School - Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads
4
Abstract:
Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading.
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:
