Geert Bekaert

Columbia University - Columbia Business School, Finance

Professor

NY

United States

  • Columbia University - Columbia Business School, Finance

SCHOLARLY PAPERS

100

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Rank 197

SSRN RANKINGS

Top 197

in Total Papers Downloads

109,943

TOTAL CITATIONS
Rank 30

SSRN RANKINGS

Top 30

in Total Papers Citations

2,891

Scholarly Papers (100)

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1.

Emerging Equity Markets in a Globalized World

Downloads 6,228 ( 2,545)
Citation 48

Emerging Equity Markets in a Globalized World

Number of pages: 46 Posted: 26 Oct 2013 Last Revised: 13 Apr 2023
Geert Bekaert, Campbell R. Harvey and Tomas Mondino
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Columbia University
Downloads 5,852 (2,783)
Citation 20

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Emerging markets, GDP weights, Market integration, Market segmentation, Illiquidity, Liquidity, Portfolio risk, Portfolio correlation, Market capitalization, Risk characteristics, Cross-sectional volatility, Valuation ratios, Asset class

Emerging Equity Markets in a Globalized World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 46 Posted: 08 Jul 2014 Last Revised: 13 Apr 2023
Geert Bekaert, Campbell R. Harvey and Tomas Mondino
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Columbia University
Downloads 376 (157,225)
Citation 28

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Emerging markets, international diversification, value strategies, GDP weighting, equal weighting, value weighting, integration, segmentation, alpha.

2.

Liquidity and Expected Returns: Lessons from Emerging Markets

Downloads 3,743 ( 6,043)
Citation 117

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,527 (6,542)
Citation 20

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Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 09 Sep 2022
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 194 (310,439)
Citation 70

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Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (1,026,716)
Citation 27
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Liquidity pricing, emerging markets, return predictability

Liquidity and Expected Returns: Lessons from Emerging Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

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G12, G15, F30

3.

The Determinants of Stock and Bond Return Comovements

Downloads 3,545 ( 6,599)
Citation 77

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance and Ghent University - Department of Economics
Downloads 3,473 (6,716)
Citation 18

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factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety

The Determinants of Stock and Bond Return Comovements

NBER Working Paper No. w15260
Number of pages: 59 Posted: 18 Aug 2009 Last Revised: 13 Mar 2023
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance and Ghent University - Department of Economics
Downloads 72 (651,160)
Citation 59

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4.

Emerging Markets Finance

Number of pages: 68 Posted: 22 Jan 2003
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 3,432 (6,973)
Citation 73

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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

5.

Inflation and the Stock Market: Understanding the 'Fed Model'

Downloads 3,410 ( 7,043)
Citation 29

Inflation and the Stock Market: Understanding the 'Fed Model'

Number of pages: 40 Posted: 29 Apr 2008 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 3,121 (7,945)
Citation 4

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Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

Inflation and the Stock Market: Understanding the 'Fed Model'

Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40 Posted: 21 Oct 2011
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 289 (209,006)
Citation 25

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Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

6.

Regime Switches in Interest Rates

Downloads 3,317 ( 7,347)
Citation 53

Regime Switches in Interest Rates

Number of pages: 70 Posted: 01 Jun 1998
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 2,876 (9,032)
Citation 53

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Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000 Last Revised: 15 Oct 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 441 (130,676)

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7.

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Downloads 3,284 ( 7,470)
Citation 9

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Number of pages: 29 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 3,062 (8,198)
Citation 9

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macroeconomic volatility, business cycles, COVID-19

Aggregate Demand and Aggregate Supply Effects of Covid-19: A Real-Time Analysis

FEDS Working Paper No. 2020-49
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 222 (271,961)

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8.

Stock Return Predictability: Is it There?

Downloads 3,184 ( 7,863)
Citation 102

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 23 Mar 2001
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 2,559 (10,883)
Citation 102

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Present value model, predictability, international predictability, short rates, dividend yield, earnings yield

Stock Return Predictability: Is it There?

NBER Working Paper No. w8207
Number of pages: 53 Posted: 31 Mar 2001 Last Revised: 05 Dec 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 625 (85,018)

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9.

Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's

Number of pages: 29 Posted: 11 Jun 2020 Last Revised: 04 Jun 2023
Geert Bekaert, Richard V Rothenberg and Miquel Noguer
Columbia University - Columbia Business School, Finance, Global AI Co and Global AI Corp
Downloads 3,109 (8,153)
Citation 18

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SDG, ESG, alpha, fiduciary duty, ESG momentum, sustainable investment,

10.

The VIX, the Variance Premium and Stock Market Volatility

Downloads 2,854 ( 9,283)
Citation 92

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 2,077 (15,159)
Citation 11

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

ECB Working Paper No. 1675
Number of pages: 36 Posted: 04 Jul 2014
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 387 (152,238)
Citation 32

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option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability

The VIX, the Variance Premium and Stock Market Volatility

Netspar Discussion Paper No. 10/2013-035
Number of pages: 36 Posted: 19 Oct 2013
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 249 (243,230)
Citation 1

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

NBER Working Paper No. w18995
Number of pages: 41 Posted: 28 Apr 2013 Last Revised: 28 May 2023
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 141 (407,782)
Citation 48

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11.

International Asset Allocation with Time-Varying Correlations

Downloads 2,799 ( 9,605)
Citation 4

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 2,348 (12,466)
Citation 1

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International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000 Last Revised: 14 Oct 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 451 (128,265)
Citation 3

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12.

Risk, Uncertainty and Monetary Policy

Downloads 2,710 (10,130)
Citation 160

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2,261 (13,265)
Citation 8

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Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 154 (379,068)
Citation 85

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 124 (454,437)
Citation 9

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Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 121 (460,210)
Citation 1

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

Risk, Uncertainty and Monetary Policy

NBER Working Paper No. w16397
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 22 Apr 2023
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 45 (814,920)

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Risk, Uncertainty and Monetary Policy

CEPR Discussion Paper No. DP8154
Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 5 (1,237,016)
Citation 57
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

13.

What Segments Equity Markets?

Downloads 2,476 (11,687)
Citation 33

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 2,331 (12,626)
Citation 2

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 12 Dec 2022
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 139 (412,417)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 (1,224,077)
Citation 31
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

14.

Good Carry, Bad Carry

Downloads 2,238 (13,720)
Citation 11

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018
Geert Bekaert and George Panayotov
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 2,072 (15,224)
Citation 4

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currency carry trade, currency risk factors

Good Carry, Bad Carry

Number of pages: 77 Posted: 04 Jan 2019
Geert Bekaert and George Panayotov
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 146 (396,350)
Citation 2

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currency carry trade, predictability, currency risk factors

Good Carry, Bad Carry

NBER Working Paper No. w25420
Number of pages: 78 Posted: 07 Jan 2019 Last Revised: 17 Jun 2023
Geert Bekaert and George Panayotov
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 18 (1,073,401)

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Good Carry, Bad Carry

CEPR Discussion Paper No. DP13463
Number of pages: 80 Posted: 23 Jan 2019
Geert Bekaert and George Panayotov
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 2 (1,276,129)
Citation 5
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currency carry trade, currency risk factors, predictability

15.

The Term Structure of Real Rates and Expected Inflation

Downloads 2,039 (15,879)
Citation 28

The Term Structure of Real Rates and Expected Inflation

Number of pages: 64 Posted: 16 Jul 2003
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 1,568 (23,566)
Citation 10

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regime-switching term structure model, inflation risk premium, business cycles

The Term Structure of Real Rates and Expected Inflation

NBER Working Paper No. w12930
Number of pages: 68 Posted: 24 Feb 2007 Last Revised: 31 Oct 2022
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 443 (129,996)
Citation 1

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The Term Structure of Real Rates and Expected Inflation

Number of pages: 67 Posted: 14 Sep 2004
Andrew Ang and Geert Bekaert
BlackRock, Inc and Columbia University - Columbia Business School, Finance
Downloads 28 (962,587)
Citation 17
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16.

Currency Factors

Downloads 2,022 (16,089)
Citation 17

Currency Factors

Management Science forthcoming
Number of pages: 47 Posted: 23 Aug 2017 Last Revised: 10 Jun 2021
Arash Aloosh and Geert Bekaert
Dublin City University and Columbia University - Columbia Business School, Finance
Downloads 1,959 (16,624)
Citation 5

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Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Dollar Factor; Carry; Value; Global Pricing Kernels.

Currency Factors

NBER Working Paper No. w25449
Number of pages: 59 Posted: 15 Jan 2019 Last Revised: 16 Jul 2023
Arash Aloosh and Geert Bekaert
Dublin City University and Columbia University - Columbia Business School, Finance
Downloads 61 (709,979)

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Currency Factors

CEPR Discussion Paper No. DP13464
Number of pages: 61 Posted: 23 Jan 2019
Arash Aloosh and Geert Bekaert
Dublin City University and Columbia University - Columbia Business School, Finance
Downloads 2 (1,276,129)
Citation 12
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clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels

17.

The Time Variation in Risk Appetite and Uncertainty

Downloads 2,016 (16,191)
Citation 15

The Time Variation in Risk Appetite and Uncertainty

Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 47 Posted: 14 Nov 2017 Last Revised: 11 Feb 2021
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 1,914 (17,328)
Citation 5

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Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.

The Time Variation in Risk Appetite and Uncertainty

NBER Working Paper No. w25673
Number of pages: 78 Posted: 26 Mar 2019 Last Revised: 24 Feb 2023
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 102 (524,004)
Citation 10

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18.

Aggregate Idiosyncratic Volatility

Downloads 2,001 (16,368)
Citation 7

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 1,911 (17,362)
Citation 1

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

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058
Number of pages: 75 Posted: 07 Jun 2010 Last Revised: 19 May 2023
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 87 (582,355)
Citation 1

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Aggregate Idiosyncratic Volatility

CEPR Discussion Paper No. DP8149
Number of pages: 65 Posted: 27 Dec 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 3 (1,263,134)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

19.

Flights to Safety

Downloads 1,998 (16,414)
Citation 88

Flights to Safety

National Bank of Belgium Working Paper No. 230
Number of pages: 75 Posted: 13 Oct 2012 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 1,430 (27,040)
Citation 3

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

Flights to Safety

Columbia Business School Research Paper No. 18-58
Number of pages: 75 Posted: 19 Jul 2018 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 261 (231,972)
Citation 14

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

Flights to Safety

FEDS Working Paper No. 2014-46
Number of pages: 59 Posted: 29 Jun 2014
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 141 (407,782)
Citation 13

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flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds

Flights to Safety

Netspar Discussion Paper No. 05/2013-034
Number of pages: 72 Posted: 19 Oct 2013 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 105 (512,882)
Citation 4

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

Flights to Safety

NBER Working Paper No. w19095
Number of pages: 76 Posted: 31 May 2013 Last Revised: 06 Mar 2022
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 61 (709,979)
Citation 54

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20.

Home Bias Revisited

Number of pages: 62 Posted: 19 Feb 2009
Geert Bekaert and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,931 (17,358)
Citation 40

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

21.

International Stock Return Comovements

Downloads 1,756 (20,162)
Citation 109

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 17 Nov 2021
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 1,584 (23,195)
Citation 11

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Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration

International Stock Return Comovements

NBER Working Paper No. w11906
Number of pages: 57 Posted: 22 Jan 2006 Last Revised: 15 Jul 2022
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 133 (427,222)
Citation 28

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International Stock Return Comovements

CEPR Discussion Paper No. 5955
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 39 (861,977)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

22.

How Do Regimes Affect Asset Allocation?

Downloads 1,745 (20,359)
Citation 37

How Do Regimes Affect Asset Allocation?

Number of pages: 35 Posted: 27 May 2002
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 1,282 (31,744)
Citation 19

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market timing, tactical asset allocation, regime switching, international diversification

How Do Regimes Affect Asset Allocation?

NBER Working Paper No. w10080
Number of pages: 28 Posted: 14 Nov 2003 Last Revised: 18 Jul 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 463 (123,290)
Citation 18

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23.

Global Crises and Equity Market Contagion

Downloads 1,736 (20,526)
Citation 16

Global Crises and Equity Market Contagion

Number of pages: 56 Posted: 03 Jun 2011 Last Revised: 26 Jul 2012
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 1,250 (32,932)
Citation 2

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

Global Crises and Equity Market Contagion

Number of pages: 55 Posted: 16 Mar 2012
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 147 (394,130)
Citation 4

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

Global Crises and Equity Market Contagion

ECB Working Paper No. 1381
Number of pages: 48 Posted: 13 Sep 2011
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 143 (403,109)
Citation 2

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

Global Crises and Equity Market Contagion

Netspar Discussion Paper No. 05/2011-070
Number of pages: 57 Posted: 31 Aug 2011 Last Revised: 23 Nov 2012
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 121 (460,210)
Citation 2

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

Global Crises and Equity Market Contagion

NBER Working Paper No. w17121
Number of pages: 57 Posted: 20 Jun 2011 Last Revised: 14 Apr 2023
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 69 (666,439)
Citation 6

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Global Crises and Equity Market Contagion

CEPR Discussion Paper No. DP8438
Number of pages: 44 Posted: 16 Jun 2011
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration

24.

Does Financial Liberalization Spur Growth?

Downloads 1,668 (21,818)
Citation 159

Does Financial Liberalization Spur Growth?

Number of pages: 52 Posted: 19 Apr 2001
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,476 (25,793)
Citation 27

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Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 14 Jul 2022
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 192 (311,895)
Citation 132

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25.

The European Union, the Euro, and Equity Market Integration

Downloads 1,394 (28,634)
Citation 35

The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 1,275 (32,014)
Citation 25

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

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010 Last Revised: 24 Apr 2023
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 119 (469,348)
Citation 10

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26.

Market Integration and Contagion

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Citation 53

Market Integration and Contagion

Number of pages: 39 Posted: 22 Mar 2002
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,229 (33,793)
Citation 8

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Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003 Last Revised: 28 Dec 2022
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 121 (460,210)
Citation 45

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27.

Emerging Equity Market Volatility

Downloads 1,348 (30,061)
Citation 47

Emerging Equity Market Volatility

Number of pages: 78 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 1,137 (37,791)
Citation 47

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Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation

Emerging Equity Market Volatility

NBER Working Paper No. w5307
Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 02 Jan 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 211 (285,559)

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28.

Research in Emerging Markets Finance: Looking to the Future

Number of pages: 27 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 1,330 (30,658)
Citation 54

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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

29.

Stock and Bond Pricing in an Affine Economy

Downloads 1,318 (31,054)
Citation 14

Stock and Bond Pricing in an Affine Economy

EFA 2002 Berlin Meetings
Number of pages: 54 Posted: 21 Feb 2002
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia University - Columbia Business School, Finance
Downloads 1,182 (35,710)
Citation 13

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Stock and Bond Pricing in an Affine Economy

NBER Working Paper No. w7346
Number of pages: 52 Posted: 05 Feb 2000 Last Revised: 30 Jul 2022
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia University - Columbia Business School, Finance
Downloads 136 (419,604)
Citation 1

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30.

Political Risk Spreads

Downloads 1,246 (33,655)
Citation 12

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 1,151 (37,070)
Citation 3

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Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary

Political Risk Spreads

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014 Last Revised: 26 Jul 2023
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 95 (550,085)
Citation 9

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31.

Financial Openness and Productivity

Downloads 1,240 (33,879)
Citation 25

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 942 (49,376)
Citation 9

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financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 165 (357,344)
Citation 6

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Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 24 Jul 2022
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 133 (427,222)
Citation 10

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32.

Global Growth Opportunities and Market Integration

Downloads 1,207 (35,187)
Citation 14

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 1,084 (40,485)
Citation 3

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Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 14 Jul 2022
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 123 (454,437)
Citation 11

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33.

Growth Volatility and Financial Liberalization

Downloads 1,204 (35,340)
Citation 15

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,061 (41,756)
Citation 2

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Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 10 Nov 2022
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 143 (405,492)
Citation 13

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34.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 61 Posted: 15 May 2020 Last Revised: 11 Apr 2024
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 1,172 (36,745)
Citation 22

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

35.

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Downloads 1,171 (36,793)
Citation 16

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 31 Jul 2009 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 1,033 (43,420)
Citation 13

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Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 18 Mar 2011 Last Revised: 29 Oct 2014
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 96 (546,212)
Citation 3

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Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability

Asset Return Dynamics Under Bad Environment Good Environment Fundamentals

NBER Working Paper No. w15222
Number of pages: 52 Posted: 18 Aug 2009 Last Revised: 04 Feb 2023
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 39 (861,977)

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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

CEPR Discussion Paper No. DP8150
Number of pages: 52 Posted: 27 Dec 2010
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 3 (1,263,134)
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

36.

Why Stocks May Disappoint

Downloads 1,134 (38,499)
Citation 26

Why Stocks May Disappoint

Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 908 (51,956)
Citation 19

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 09 Oct 2022
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 226 (267,361)
Citation 7

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37.

Stock and Bond Returns with Moody Investors

Downloads 1,056 (42,804)
Citation 10

Stock and Bond Returns with Moody Investors

AFA 2006 Boston Meetings Paper
Number of pages: 61 Posted: 17 Mar 2005
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 887 (53,665)
Citation 5

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Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors

Stock and Bond Returns with Moody Investors

NBER Working Paper No. w12247
Number of pages: 63 Posted: 25 May 2006 Last Revised: 19 Dec 2022
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 137 (419,604)
Citation 1

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Stock and Bond Returns with Moody Investors

CEPR Discussion Paper No. 5951
Number of pages: 65 Posted: 18 Aug 2004
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 32 (923,884)
Citation 4
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

38.

Macro Risks and the Term Structure of Interest Rates

Downloads 1,039 (43,805)
Citation 2

Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 635 (83,248)

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macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-58
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 166 (357,344)

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

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 135 (422,098)
Citation 2

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bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016 Last Revised: 29 May 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 103 (520,355)

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39.

The Dynamics of Emerging Market Equity Flows

Downloads 1,034 (44,053)

The Dynamics of Emerging Market Equity Flows

Number of pages: 61 Posted: 24 Sep 1999
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 947 (49,036)

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The Dynamics of Emerging Market Equity Flows

NBER Working Paper No. w7219
Number of pages: 62 Posted: 26 Jun 2000 Last Revised: 24 Sep 2022
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 87 (582,355)

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40.

Inflation Risk and the Inflation Risk Premium

Number of pages: 54 Posted: 06 May 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,031 (44,312)
Citation 8

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Inflation risk, risk premium, hedge, inflation protected bond, term structure model

41.

Political Risk and International Valuation

Columbia Business School Research Paper No. 15-83
Number of pages: 54 Posted: 11 Sep 2015 Last Revised: 09 Dec 2015
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 1,008 (45,672)
Citation 16

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

42.

Time-Varying World Market Integration

Downloads 990 (46,794)
Citation 422

Time-Varying World Market Integration

Number of pages: 49 Posted: 12 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 866 (55,469)
Citation 404

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Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching

Time-Varying World Market Integration

NBER Working Paper No. w4843
Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 26 Sep 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 124 (451,508)
Citation 18

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Time-Varying World Market Integration

Posted: 03 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business

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43.

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

Downloads 955 (49,255)
Citation 41

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 490 (115,238)
Citation 7

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Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Jun 2015 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 465 (122,677)
Citation 34

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

44.

Economic and Financial Integration in Europe

Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13 Posted: 17 Apr 2017
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia University - Columbia Business School, Finance, 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 874 (55,620)
Citation 3

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

45.

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Downloads 868 (56,141)
Citation 20

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 694 (74,372)
Citation 12

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GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 140 (410,078)
Citation 7

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Bad Environments Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 34 (905,419)
Citation 1

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non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

46.

Macroeconomic Regimes

Downloads 845 (58,221)
Citation 4

Macroeconomic Regimes

Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55 Posted: 26 May 2011 Last Revised: 23 Jun 2015
Lieven Baele, Geert Bekaert, Seonghoon Cho, Koen Inghelbrecht and Antonio Moreno
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 742 (68,165)

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Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy

Macroeconomic Regimes

Netspar Discussion Paper No. 05/2011-071
Number of pages: 54 Posted: 31 Aug 2011
Lieven Baele, Geert Bekaert, Seonghoon Cho, Koen Inghelbrecht and Antonio Moreno
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 70 (661,455)
Citation 4

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monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve

Macroeconomic Regimes

NBER Working Paper No. w17090
Number of pages: 54 Posted: 31 May 2011 Last Revised: 13 Mar 2023
Lieven Baele, Geert Bekaert, Seonghoon Cho, Koen Inghelbrecht and Antonio Moreno
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 33 (914,688)

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47.

Emerging Equity Markets and Economic Development

Downloads 840 (58,689)
Citation 22

Emerging Equity Markets and Economic Development

Number of pages: 41 Posted: 14 Aug 2000
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 687 (75,327)
Citation 1

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Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 20 Mar 2022
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 153 (381,223)
Citation 21

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48.

Foreign Speculators and Emerging Equity Markets

Downloads 836 (59,073)
Citation 140

Foreign Speculators and Emerging Equity Markets

Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 726 (70,140)
Citation 140

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Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility

Foreign Speculators and Emerging Equity Markets

NBER Working Paper No. w6312
Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 02 Oct 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 110 (495,367)

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49.

Globalization and Asset Prices

Number of pages: 97 Posted: 10 Mar 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
Downloads 814 (61,258)
Citation 6

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

50.

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Downloads 808 (61,887)
Citation 15

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Number of pages: 95 Posted: 31 Mar 2014 Last Revised: 12 Apr 2016
Geert Bekaert, Kenton Hoyem, Wei-Yin Hu and Enrichetta Ravina
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 662 (79,002)
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International Diversification, Microdata, 401(k) Portfolios

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Netspar Discussion Paper No. 02/2014-025
Number of pages: 95 Posted: 08 Jul 2014 Last Revised: 12 Apr 2016
Geert Bekaert, Kenton Hoyem, Wei-Yin Hu and Enrichetta Ravina
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 146 (396,350)
Citation 10

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International Diversification, Micro Data, 401(k) Plans

51.

Expectations Hypotheses Tests

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Citation 15

Expectations Hypotheses Tests

Number of pages: 46 Posted: 03 Jan 2001
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 663 (78,876)
Citation 3

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Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000 Last Revised: 17 Oct 2022
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 135 (422,098)
Citation 12

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52.

Risk, Uncertainty, and Asset Prices

Downloads 683 (76,975)
Citation 20

Risk, Uncertainty, and Asset Prices

FEDS Working Paper No. 2005-40
Posted: 08 Jul 2021
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

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Risk, Uncertainty and Asset Prices

Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56 Posted: 08 Aug 2005
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 524 (106,210)
Citation 3

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Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006 Last Revised: 26 Dec 2022
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 122 (457,242)
Citation 2

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Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 37 (878,732)
Citation 15
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Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure

Risk, Uncertainty, and Asset Prices

Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University

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53.

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Downloads 682 (77,112)
Citation 38

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 09 Aug 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 400 (146,722)
Citation 4

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ARIMA, Phillips curve, forecasting, term structure models

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

NBER Working Paper No. w11538
Number of pages: 55 Posted: 19 Sep 2005 Last Revised: 13 Jul 2022
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 282 (214,398)
Citation 34

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54.

New-Keynesian Macroeconomics and the Term Structure

Downloads 665 (79,658)
Citation 9

New-Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49 Posted: 07 Jun 2005 Last Revised: 28 Jun 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 491 (114,970)

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Phillips curve, term structure, New-Keynesian model

New Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010, Columbia Business School Research Paper No. 11-29
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 78 (622,507)

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New-Keynesian Macroeconomics and the Term Structure

NBER Working Paper No. w11340
Number of pages: 62 Posted: 16 Jun 2005 Last Revised: 28 Dec 2022
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 65 (687,638)

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New-Keynesian Macroeconomics and the Term Structure

CEPR Discussion Paper No. 5956
Number of pages: 51 Posted: 03 Jan 2007
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 31 (933,312)
Citation 9
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Monetary policy, inflation target, term structure of interest rates, Phillips curve

55.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005 Last Revised: 07 Aug 2020
Geert Bekaert, Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
Columbia University - Columbia Business School, Finance, TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 653 (81,640)
Citation 15

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

56.

Globalization and Asset Returns

Downloads 647 (82,432)
Citation 9

Globalization and Asset Returns

Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79 Posted: 28 Aug 2016
Geert Bekaert, Campbell R. Harvey, Andrea Kiguel and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads 647 (81,332)
Citation 9

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Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements

Globalization and Asset Returns

Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016
Posted: 18 Nov 2016
Geert Bekaert, Campbell R. Harvey, Andrea Kiguel and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services

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57.

The China-U.S. Equity Valuation Gap

Number of pages: 88 Posted: 05 Mar 2021 Last Revised: 06 Dec 2022
Geert Bekaert, Shuojia Ke, Xue Wang and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 630 (85,240)
Citation 1

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Chinese stock prices, market integration, financial development, earnings yields, speculative trading, , growth expectations, emerging market discount

58.

Dating the Integration of World Equity Markets

Downloads 611 (88,631)
Citation 59

Dating the Integration of World Equity Markets

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Oct 2001
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 529 (104,978)
Citation 59

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Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 17 Nov 2022
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 82 (604,166)

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59.

Risk and Return in International Corporate Bond Markets

Downloads 609 (89,046)
Citation 9

Risk and Return in International Corporate Bond Markets

Columbia Business School Research Paper Forthcoming
Number of pages: 60 Posted: 16 May 2019 Last Revised: 18 Nov 2020
Geert Bekaert and Roberto A. De Santis
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Directorate General Economics
Downloads 429 (135,101)
Citation 1

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Corporate bond markets; CAPM; international market integration; asset class integration; bond ratings; risk; return; market efficiency tests; comovement.

Risk and Return in International Corporate Bond Markets

ECB Working Paper No. 20202452
Number of pages: 173 Posted: 11 Aug 2020
Roberto A. De Santis and Geert Bekaert
European Central Bank (ECB) - Directorate General Economics and Columbia University - Columbia Business School, Finance
Downloads 180 (330,932)
Citation 8

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asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk

60.

Uncovered Interest Rate Parity and the Term Structure

Downloads 609 (89,046)
Citation 3

Uncovered Interest Rate Parity and the Term Structure

Number of pages: 57 Posted: 06 Feb 2002
Geert Bekaert, Min Wei and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 531 (104,496)

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Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test

Uncovered Interest Rate Parity and the Term Structure

NBER Working Paper No. w8795
Number of pages: 57 Posted: 21 Feb 2002 Last Revised: 15 Jul 2022
Geert Bekaert, Min Wei and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 78 (622,507)
Citation 3

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61.

Short Rate Nonlinearities and Regime Switches

Number of pages: 37 Posted: 08 Dec 2000
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 594 (91,915)
Citation 8

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

62.

A New Decomposition of U.S. Recessions and Crises into Aggregate Supply and Demand Components

Columbia Business School Research Paper
Number of pages: 78 Posted: 11 Jun 2021 Last Revised: 06 Jul 2024
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 575 (95,777)
Citation 4

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Great Moderation, AS/AD shocks, kurtosis, Covid pandemic, Great Financial Crisis

63.

International Yield Co-movements

Downloads 565 (97,997)
Citation 6

International Yield Co-movements

Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 102 Posted: 19 Jun 2019 Last Revised: 29 Jun 2021
Geert Bekaert and Andrey Ermolov
Columbia University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
Downloads 562 (97,416)
Citation 1

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sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium

International Yield Co-Movements

CEPR Discussion Paper No. DP16365
Number of pages: 105 Posted: 22 Sep 2021
Geert Bekaert and Andrey Ermolov
Columbia University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
Downloads 3 (1,263,134)
Citation 5
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cross-country co-movement, Expected inflation, Inflation Risk Premium, liquidity premium, real yield, Sovereign bonds, Treasuries

64.

Capital Flows and the Behavior of Emerging Market Equity Returns

Downloads 562 (98,657)
Citation 20

Capital Flows and the Behavior of Emerging Market Equity Returns

Fuqua School of Business Working Paper No. 9807
Number of pages: 51 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 411 (142,112)
Citation 20

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Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth

Capital Flows and the Behavior of Emerging Market Equity Returns

NBER Working Paper No. w6669
Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 23 Sep 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 151 (385,457)

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65.

Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals

Downloads 526 (107,042)
Citation 62

Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals

FEDS Working Paper No. 2015-53
Number of pages: 65 Posted: 08 Oct 2015 Last Revised: 25 Oct 2015
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 464 (122,972)
Citation 21

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VIX, equity premiums, habit, risk aversion, skewness

Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals

Number of pages: 82 Posted: 26 Aug 2015 Last Revised: 29 Apr 2019
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 62 (704,278)
Citation 41

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habit, volatility premium, non-Gaussian distribution, consumption

66.

On the Link between the Volatility and Skewness of Growth

Downloads 525 (107,279)
Citation 7

On the Link between the Volatility and Skewness of Growth

Number of pages: 54 Posted: 27 Oct 2012 Last Revised: 28 Feb 2018
Geert Bekaert and Alexander A. Popov
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 343 (174,014)

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Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles

On the Link between the Volatility and Skewness of Growth

Columbia Business School Research Paper Forthcoming
Number of pages: 64 Posted: 24 Oct 2019
Geert Bekaert and Alexander A. Popov
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 123 (454,437)
Citation 7

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Volatility, Skewness, Development, Financial frictions, Growth spurts, Business cycles

On the Link between the Volatility and Skewness of Growth

NBER Working Paper No. w18556
Number of pages: 43 Posted: 22 Nov 2012 Last Revised: 16 Mar 2023
Geert Bekaert and Alexander A. Popov
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 59 (721,650)

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67.

The Variance Risk Premium in Equilibrium Models

Downloads 507 (111,982)
Citation 8

The Variance Risk Premium in Equilibrium Models

Number of pages: 61 Posted: 03 Apr 2020 Last Revised: 17 Mar 2022
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 455 (125,883)

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variance risk premium, risk-neutral skewness, non-Gaussian dynamics, bad volatility, VIX, habit

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020 Last Revised: 26 Jan 2023
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 52 (765,562)
Citation 8

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68.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 85 Posted: 11 Jan 2019 Last Revised: 27 Jul 2023
Geert Bekaert, Xue Wang and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 483 (118,892)

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return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables

69.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 479 (119,761)
Citation 3

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70.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 463 (124,712)
Citation 14

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

71.

Inflation and the Inflation Risk Premium

Economic Policy, Vol. 25, No. 64, pp. 757-806, October 2010, Columbia Business School Research Paper No. 11-28
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
Downloads 429 (136,536)
Citation 4

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72.

Variance Risk in Global Markets

Columbia Business School Research Paper Forthcoming
Number of pages: 63 Posted: 29 Aug 2019
Geert Bekaert, Robert J. Hodrick and Andrea Kiguel
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School
Downloads 422 (139,206)
Citation 1

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variance risk, asset pricing, emerging market returns, currency returns

73.

An Anatomy of Central and Eastern European Equity Markets

Columbia Business School Research Paper No. 15-71
Number of pages: 81 Posted: 29 Jul 2015
Lieven Baele, Geert Bekaert and Larissa Schäfer
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance and Frankfurt School of Finance & Management
Downloads 399 (148,558)
Citation 2

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

74.

Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks

Number of pages: 68 Posted: 15 Jan 2021 Last Revised: 27 Feb 2024
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 392 (151,525)

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uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk

75.

The (Re)allocation of Bank Risk

Columbia Business School Research Paper Forthcoming
Number of pages: 48 Posted: 24 Aug 2019
Geert Bekaert and Johannes Breckenfelder
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Financial Research
Downloads 315 (191,996)
Citation 4

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bank risk, security holdings, portfolio rebalancing

76.

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

Columbia Business School Research Paper No. 17-17
Number of pages: 41 Posted: 24 Jan 2017 Last Revised: 12 May 2019
Geert Bekaert and Arnaud Mehl
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 313 (193,323)
Citation 4

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

77.

Conditioning Information and Variance Bounds on Pricing Kernels

Downloads 276 (220,749)
Citation 17

Conditioning Information and Variance Bounds on Pricing Kernels

Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 208 (289,429)
Citation 17

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Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999 Last Revised: 26 Oct 2022
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 68 (671,540)

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78.

Forecasting International Stock Market Variances

Number of pages: 75 Posted: 17 May 2024
Geert Bekaert, Nancy R. Xu and Tiange Ye
Columbia University - Columbia Business School, Finance, Boston College, Carroll School of Management and University of Southern California - Marshall School of Business
Downloads 260 (234,247)

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Realized variance, implied volatility, international stock market, volatility forecasting

79.

Expected Idiosyncratic Volatility

Number of pages: 73 Posted: 26 Aug 2022 Last Revised: 13 Jul 2023
Geert Bekaert, Mikael C. Bergbrant and Haim Kassa
Columbia University - Columbia Business School, Finance, St. Johns University and Miami University
Downloads 252 (241,642)
Citation 1

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Idiosyncratic Volatility, Volatility Forecasting, Priced Risk Factors, Martingale, EGARCH, ARIMA, HAR, Realized Variances

80.

The Global Cross-Section of Corporate Bonds: Market, Maturity and Liquidity

Number of pages: 67 Posted: 13 Sep 2024 Last Revised: 17 Oct 2024
Geert Bekaert, Roberto De Santis and Tomas Mondino
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Columbia University
Downloads 249 (244,546)

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Asset Pricing, Corporate Bonds, Factors, Financial Integration, Currency Hedging

81.

The Global Crisis and Equity Market Contagion

DIW Berlin Discussion Paper No. 1352, Columbia Business School Research Paper No. 14-26
Number of pages: 64 Posted: 30 Jan 2014 Last Revised: 15 Sep 2014
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher and Arnaud Mehl
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 208 (291,771)
Citation 85

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

82.

Asymmetric Volatility and Risk in Equity Markets

NBER Working Paper No. w6022
Number of pages: 60 Posted: 25 May 2006 Last Revised: 17 Dec 2022
Geert Bekaert and Guojun Wu
Columbia University - Columbia Business School, Finance and University of Houston
Downloads 162 (363,302)
Citation 18

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83.

Inflation and the Stock Market:Understanding the "Fed Model"

NBER Working Paper No. w15024
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 22 Jul 2023
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 146 (395,900)

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84.

Diversification, Integration and Emerging Market Closed-End Funds

Downloads 120 (461,050)
Citation 3

Diversification, Integration and Emerging Market Closed-End Funds

NBER Working Paper No. w4990
Number of pages: 62 Posted: 11 Aug 2000 Last Revised: 17 Apr 2022
Geert Bekaert and Michael S. Urias
Columbia University - Columbia Business School, Finance and Morgan Stanley
Downloads 120 (463,180)
Citation 3

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Diversification, Integration and Emerging Market Closed-End Funds

Posted: 07 Jul 1998
Geert Bekaert
Columbia University - Columbia Business School, Finance

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85.

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

NBER Working Paper No. w3790
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 11 Nov 2022
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 107 (502,099)
Citation 13

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86.

Who is Internationally Diversified? Evidence from 296 401(K)

NBER Working Paper No. w21236
Number of pages: 79 Posted: 08 Jun 2015 Last Revised: 12 Jul 2023
Geert Bekaert, Kenton Hoyem, Wei-Yin Hu and Enrichetta Ravina
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 104 (512,597)

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87.

On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates

NBER Working Paper No. t0191
Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 12 Jul 2023
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
Downloads 99 (530,386)
Citation 9

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88.

"Peso Problem" Explanations for Term Structure Anomalies

Downloads 96 (541,087)
Citation 17

"Peso Problem" Explanations for Term Structure Anomalies

NBER Working Paper No. w6147
Number of pages: 65 Posted: 01 Jul 2000 Last Revised: 26 Oct 2022
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
Downloads 96 (546,212)
Citation 17

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'Peso Problem' Explanations for Term Structure Anomalies

Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

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89.

Online Appendix for 'Currency Factors'

Number of pages: 15 Posted: 13 May 2020 Last Revised: 21 Jan 2021
Arash Aloosh and Geert Bekaert
Dublin City University and Columbia University - Columbia Business School, Finance
Downloads 80 (604,949)