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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
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4,385
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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
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192
(180,718)
Abstract:
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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
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3,345
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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
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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
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22
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Liquidity and Expected Returns: Lessons from Emerging Markets
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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
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3,333
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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
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3,292
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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
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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
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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
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2,857
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Citation
82
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
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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
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457
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Abstract:
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2,750
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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
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2,576
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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
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174
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Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
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2,588
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Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,250
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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
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338
(101,601)
Abstract:
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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)
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2,008
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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)
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94
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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)
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75
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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)
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57
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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)
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19
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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)
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3
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Risk, Uncertainty and Monetary Policy
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
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2,207
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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)
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1,647
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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)
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332
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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)
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193
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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)
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35
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Abstract:
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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
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2,129
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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
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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
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6
(719,673)
What Segments Equity Markets?
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials
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1,878
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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
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1,840
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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
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35
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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
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3
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Aggregate Idiosyncratic Volatility
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
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1,842
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Citation
151
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
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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
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370
(91,585)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
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22
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The Term Structure of Real Rates and Expected Inflation
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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)
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1,733
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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)
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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)
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5
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Good Carry, Bad Carry
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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)
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1
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Good Carry, Bad Carry
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currency carry trade, currency risk factors, predictability
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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
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1,505
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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
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64
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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
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36
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International Stock Return Comovements
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International diversification, correlation dynamics, country debate, factor models, comovements
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1,534
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Citation
28
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
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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
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352
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Abstract:
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1,513
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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
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1,382
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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
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131
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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
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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
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102
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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
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99
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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
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70
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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
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12
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Abstract:
Number of pages: 62
Posted: 19 Feb 2009
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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1,424
(14,963)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
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1,411
( 15,180)
Citation
25
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,159
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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
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252
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Abstract:
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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)
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1,173
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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)
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85
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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)
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68
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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)
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39
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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)
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23
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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)
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5
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Global Crises and Equity Market Contagion
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contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration
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1,324
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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
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1,319
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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
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5
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Abstract:
CEPR Discussion Paper No. DP13464
Number of pages: 61
Posted: 23 Jan 2019
Neoma Business School and Columbia Business School - Finance and Economics
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0
Currency Factors
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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
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1,203
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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
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1,196
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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
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1,167
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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
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29
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Abstract:
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1,195
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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
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1,130
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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
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65
(394,394)
Abstract:
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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
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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
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155
(217,965)
Abstract:
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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
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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
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79
(353,210)
Abstract:
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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
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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
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67
(387,972)
Abstract:
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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
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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
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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
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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
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2
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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium
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1,055
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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14
(656,417)
The Time Variation in Risk Appetite and Uncertainty
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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
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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
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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
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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
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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
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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
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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
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30
(544,175)
Stock and Bond Returns with Moody Investors
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Abstract:
Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence
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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
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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
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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)
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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)
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360
(94,481)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
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781
( 35,995)
Citation
34
Number of pages: 54
Posted: 06 May 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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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
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1
(770,876)
Inflation Risk and the Inflation Risk Premium
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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
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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
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756
(37,633)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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82
(345,325)
Abstract:
International Diversification, Micro Data, 401(k) Plans
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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
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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
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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
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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
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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
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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
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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
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30
(544,175)
New-Keynesian Macroeconomics and the Term Structure
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Abstract:
Monetary policy, inflation target, term structure of interest rates, Phillips curve
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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35
(516,484)
Risk, Uncertainty and Asset Prices
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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
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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
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523
(60,957)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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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
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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
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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
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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
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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:
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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
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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
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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
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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
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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
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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
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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
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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
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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)
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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)
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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)
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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
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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
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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)
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240
(146,523)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
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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
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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
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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
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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
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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
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150
(223,584)
Abstract:
variance risk, asset pricing, emerging market returns, currency returns
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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
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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
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3
(745,144)
The Variance Risk Premium in Equilibrium Models
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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)
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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)
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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
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14
(632,313)
Abstract:
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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
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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
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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: