Downloads
3,678
( 2,411)
Citation
3
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
3,529
(2,540)
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
149
(188,920)
Abstract:
Downloads
3,354
( 2,839)
Citation
146
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
3,249
(2,927)
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
83
(289,156)
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
(505,679)
Liquidity and Expected Returns: Lessons from Emerging Markets
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
3,255
( 2,985)
Citation
50
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 Financial Economics
Downloads
3,220
(2,985)
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 Financial Economics
Downloads
35
(437,208)
Abstract:
Number of pages: 68
Posted: 22 Jan 2003
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
2,992
(3,447)
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
2,753
( 3,989)
Citation
316
AFA 2002 Atlanta Meetings
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,327
(5,156)
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
426
(63,810)
Abstract:
Downloads
2,695
( 4,121)
Citation
23
Number of pages: 40
Posted: 29 Apr 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
2,533
(4,470)
Abstract:
Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
162
(175,853)
Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Downloads
2,538
( 4,546)
Citation
33
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
2,217
(5,599)
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
321
(88,993)
Abstract:
Downloads
2,120
( 6,142)
Citation
21
Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34
Posted: 08 Mar 2010
Last Revised: 17 Sep 2015
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads
1,895
(7,320)
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
88
(278,721)
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
64
(335,864)
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
53
(369,262)
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
17
(536,626)
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
(627,245)
Risk, Uncertainty and Monetary Policy
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
2,117
( 6,158)
Citation
45
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
2,059
(6,313)
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
52
(372,586)
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
(605,956)
What Segments Equity Markets?
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials
Downloads
2,000
( 6,784)
Citation
2
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
1,489
(10,897)
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
310
(92,573)
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
175
(164,292)
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
26
(481,787)
Abstract:
Downloads
1,848
( 7,803)
Citation
15
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
1,815
(7,888)
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
30
(460,447)
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
(627,245)
Aggregate Idiosyncratic Volatility
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
1,782
( 8,299)
Citation
123
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,410
(11,884)
Abstract:
regime-switching term structure model, inflation risk premium, business cycles
NBER Working Paper No. w12930
Number of pages: 68
Posted: 24 Feb 2007
Last Revised: 03 Nov 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
350
(80,469)
Abstract:
CEPR Discussion Paper No. 4518
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads
22
(505,679)
The Term Structure of Real Rates and Expected Inflation
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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:
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
1,543
(10,299)
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
72
(314,765)
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
(612,539)
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
0
Good Carry, Bad Carry
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
1,554
( 10,374)
Citation
65
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
1,459
(11,255)
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
59
(350,104)
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
(432,908)
International Stock Return Comovements
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
1,489
( 11,112)
Citation
36
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,159
(16,157)
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
330
(86,258)
Abstract:
Downloads
1,459
( 11,482)
Citation
326
AFA 2002 Atlanta Meetings
Number of pages: 52
Posted: 19 Apr 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads
1,339
(12,908)
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
120
(224,565)
Abstract:
Downloads
1,368
( 12,743)
Citation
118
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
1,144
(16,467)
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
224
(130,162)
Abstract:
Downloads
1,329
( 13,326)
Citation
6
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
1,123
(16,936)
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
82
(291,336)
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
64
(335,864)
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
34
(441,475)
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
21
(511,819)
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
(612,539)
Global Crises and Equity Market Contagion
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration
Number of pages: 62
Posted: 19 Feb 2009
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
1,243
(14,783)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
Downloads
1,211
( 15,401)
Citation
1
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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
1,004
(20,070)
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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
83
(289,156)
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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
61
(344,409)
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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
55
(362,800)
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 Financial Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
8
(593,295)
Abstract:
Number of pages: 27
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
1,167
(16,324)
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
1,167
( 16,324)
Citation
120
EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39
Posted: 22 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads
1,113
(17,153)
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
54
(366,087)
Abstract:
Downloads
1,140
( 16,869)
Citation
7
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
1,118
(17,044)
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
22
(505,679)
Abstract:
Downloads
1,086
( 18,150)
Citation
81
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
1,014
(19,750)
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
72
(314,765)
Abstract:
Downloads
1,085
( 18,174)
Citation
248
Number of pages: 78
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
938
(22,174)
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
147
(191,045)
Abstract:
Downloads
1,047
( 19,131)
Citation
29
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
989
(20,546)
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
58
(353,176)
Abstract:
Downloads
1,044
( 19,218)
Citation
19
Number of pages: 50
Posted: 31 Jul 2009
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
974
(20,996)
Abstract:
Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability
Number of pages: 50
Posted: 18 Mar 2011
Last Revised: 29 Oct 2014
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
54
(366,087)
Abstract:
Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability
NBER Working Paper No. w15222
Number of pages: 52
Posted: 18 Aug 2009
Last Revised: 06 Aug 2010
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
14
(555,389)
Abstract:
CEPR Discussion Paper No. DP8150
Number of pages: 52
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
2
(637,731)
Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
1,036
( 19,433)
Citation
87
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
992
(20,454)
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
44
(400,651)
Abstract:
Columbia Business School Research Paper No. 17-88
Number of pages: 58
Posted: 23 Aug 2017
Last Revised: 08 Feb 2019
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
938
(22,174)
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
4
(619,374)
Currency Factors
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.pdfSize: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
CEPR Discussion Paper No. DP13464
Number of pages: 61
Posted: 23 Jan 2019
Neoma Business School and Columbia Business School - Finance and Economics
Downloads
0
Currency Factors
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
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
901
(23,517)
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
31
(455,314)
Abstract:
Downloads
931
( 22,807)
Citation
57
EFA 0669
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
788
(28,482)
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
143
(195,457)
Abstract:
Downloads
919
( 23,246)
Citation
14
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
801
(27,896)
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
70
(319,782)
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
48
(386,228)
Abstract:
Downloads
914
( 23,431)
Citation
57
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
873
(24,669)
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
41
(411,982)
Abstract:
Downloads
818
( 27,541)
Citation
43
AFA 2006 Boston Meetings Paper
Number of pages: 61
Posted: 17 Mar 2005
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads
743
(30,905)
Abstract:
Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors
NBER Working Paper No. w12247
Number of pages: 63
Posted: 25 May 2006
Last Revised: 31 Jul 2006
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads
45
(396,880)
Abstract:
CEPR Discussion Paper No. 5951
Number of pages: 65
Posted: 18 Aug 2004
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Stanford Graduate School of Business
Downloads
30
(460,447)
Stock and Bond Returns with Moody Investors
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
773
( 29,716)
Citation
406
Number of pages: 49
Posted: 12 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads
714
(32,654)
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
59
(350,104)
Abstract:
JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 03 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Abstract:
Downloads
749
( 31,085)
Citation
19
Number of pages: 54
Posted: 06 May 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
748
(30,634)
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
(651,142)
Inflation Risk and the Inflation Risk Premium
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ecop.pdfSize: 946K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Add to Cart
Abstract:
Number of pages: 97
Posted: 10 Mar 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads
741
(31,536)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
Downloads
732
( 32,071)
Citation
4
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
426
(63,810)
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
306
(93,939)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55
Posted: 26 May 2011
Last Revised: 23 Jun 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Financial Economics and School of Economics and Business, University of Navarra
Downloads
607
(40,590)
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 Financial Economics and School of Economics and Business, University of Navarra
Downloads
38
(424,368)
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 Financial Economics and School of Economics and Business, University of Navarra
Downloads
19
(524,200)
Abstract:
Downloads
661
( 36,803)
Citation
47
EFA 0483; AFA 2001 New Orleans
Number of pages: 46
Posted: 03 Jan 2001
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads
619
(39,539)
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
42
(408,164)
Abstract:
Downloads
655
( 37,272)
Citation
93
AFA 2001 New Orleans Meetings; EFA 0711; Fuqua Working Paper No. 49
Number of pages: 41
Posted: 14 Aug 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads
598
(41,393)
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
57
(356,294)
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
651
(37,576)
Abstract:
Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation
Downloads
649
( 37,723)
Citation
389
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
592
(41,950)
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
57
(356,294)
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
562
(45,538)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis
Downloads
561
( 45,641)
Citation
77
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
444
(60,655)
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
48
(386,228)
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
39
(420,084)
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
(460,447)
New-Keynesian Macroeconomics and the Term Structure
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
Number of pages: 95
Posted: 31 Mar 2014
Last Revised: 12 Apr 2016
Downloads
483
(54,528)
Abstract:
International Diversification, Microdata, 401(k) Portfolios
Netspar Discussion Paper No. 02/2014-025
Number of pages: 95
Posted: 08 Jul 2014
Last Revised: 12 Apr 2016
Downloads
66
(330,372)
Abstract:
International Diversification, Micro Data, 401(k) Plans
Downloads
537
( 48,214)
Citation
35
Columbia Business School Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 57
Posted: 06 Feb 2002
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads
488
(53,801)
Abstract:
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
NBER Working Paper No. w8795
Number of pages: 57
Posted: 21 Feb 2002
Last Revised: 26 Oct 2010
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads
49
(382,674)
Abstract:
Downloads
536
( 48,327)
Citation
111
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
331
(85,940)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 13 Jul 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads
205
(141,905)
Abstract:
Number of pages: 58
Posted: 23 Jul 2013
Last Revised: 08 Feb 2016
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
493
(53,110)
Abstract:
GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns
Netspar Discussion Paper No. 07/2013-033
Number of pages: 59
Posted: 19 Oct 2013
Last Revised: 07 Jul 2014
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
41
(411,982)
Abstract:
Downloads
523
( 49,930)
Citation
52
Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56
Posted: 08 Aug 2005
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads
455
(58,856)
Abstract:
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
CEPR Discussion Paper No. 5947
Number of pages: 57
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads
35
(437,208)
Risk, Uncertainty and Asset Prices
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 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
NBER Working Paper No. w12248
Number of pages: 55
Posted: 25 May 2006
Last Revised: 31 Jul 2006
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads
33
(445,887)
Abstract:
Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads
517
(50,681)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
Number of pages: 46
Posted: 25 Oct 2005
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads
500
(52,794)
Abstract:
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
Downloads
496
( 53,320)
Citation
130
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
467
(56,986)
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
29
(465,493)
Abstract:
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: 25 Jan 2019
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Boston College, Carroll School of Management
Downloads
462
(58,350)
Abstract:
Risk aversion, Economic uncertainty, Dynamic asset pricing model, Asymmetric state variables, VIX, Variance risk premium.
Number of pages: 67
Posted: 31 Aug 2016
Last Revised: 13 May 2018
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
343
(82,518)
Abstract:
macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation
FEDS Working Paper No. 2017-058
Number of pages: 76
Posted: 05 Jun 2017
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
60
(347,287)
Abstract:
Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium
NBER Working Paper No. w22839
Number of pages: 62
Posted: 21 Nov 2016
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
18
(530,369)
Abstract:
Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67
Posted: 05 Jun 2018
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads
8
(593,295)
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
422
(65,153)
Abstract:
Downloads
417
( 66,089)
Citation
66
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
345
(81,898)
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
72
(314,765)
Abstract:
Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79
Posted: 28 Aug 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads
401
(68,691)
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:
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
387
(72,175)
Abstract:
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
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
261
(111,932)
Abstract:
FEDS Working Paper No. 2015-53
Number of pages: 65
Posted: 08 Oct 2015
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
234
(125,125)
Abstract:
VIX, equity premium, habit, risk aversion, skewness
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
224
(130,162)
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
1
(651,142)
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
211
(138,278)
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: 89
Posted: 24 Jan 2017
Last Revised: 21 Nov 2017
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads
195
(148,980)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
Downloads
192
(151,112)
Citation
30
AFA 2003 Washington, DC Meetings
Number of pages: 44
Posted: 09 Oct 2001
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
170
(168,622)
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
22
(505,679)
Abstract:
NBER Working Paper No. w6022
Number of pages: 60
Posted: 25 May 2006
Columbia Business School - Finance and Economics and University of Houston
Downloads
110
(238,162)
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
100
(254,622)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Downloads
71
(313,788)
Citation
78
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
71
(317,330)
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
68
(321,162)
Abstract:
NBER Working Paper No. w15024
Number of pages: 41
Posted: 03 Jun 2009
Last Revised: 22 Jul 2010
Columbia Business School - Finance and Economics and U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
Downloads
63
(334,310)
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
59
(345,243)
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
44
(393,171)
Abstract:
Downloads
33
(435,374)
Citation
36
NBER Working Paper No. w4624
Number of pages: 50
Posted: 19 Dec 2000
Last Revised: 24 Aug 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads
33
(445,887)
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
25
(487,622)
Abstract:
Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Abstract:
NBER Working Paper No. w5445
Number of pages: 52
Posted: 01 Jul 2000
Columbia Business School - Finance and Economics and affiliation not provided to SSRN
Downloads
21
(495,295)
Abstract:
Number of pages: 74
Posted: 11 Jan 2019
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads
20
(500,911)
Abstract:
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables
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
10
(557,074)
Abstract:
Downloads
10
(557,074)
Citation
49
NBER Working Paper No. w4818
Number of pages: 54
Posted: 20 Sep 2010
Geert Bekaert
Columbia Business School - Finance and Economics
Downloads
10
(580,620)
Abstract:
REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
NBER Working Paper No. w21236
Number of pages: 79
Posted: 08 Jun 2015
Downloads
9
(562,824)
Abstract:
Financial Analysts Journal, Vol. 60, No. 2, pp. 86-99, March/April 2004
Posted: 07 May 2004
Columbia Business School - Finance and Economics and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
Posted: 15 Aug 1998
Columbia Business School - Finance and Economics and Morgan Stanley
Abstract:
Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
