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4,878
( 2,176)
Citation
15
Number of pages: 25
Posted: 26 Oct 2013
Last Revised: 09 Apr 2017
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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4,666
(2,340)
Abstract:
Emerging markets, GDP weights, Market integration, Market segmentation, Illiquidity, Liquidity, Portfolio risk, Portfolio correlation, Market capitalization, Risk characteristics, Cross-sectional volatility, Valuation ratios, Asset class
Netspar Discussion Paper No. 05/2014-024
Number of pages: 29
Posted: 08 Jul 2014
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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212
(180,597)
Abstract:
Downloads
3,513
( 3,880)
Citation
211
AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56
Posted: 03 Aug 2003
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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3,390
(4,037)
Abstract:
Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures
NBER Working Paper No. w11413
Number of pages: 53
Posted: 06 Jul 2005
Last Revised: 09 Sep 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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101
(329,264)
Abstract:
CEPR Discussion Paper No. 5946
Number of pages: 59
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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22
(647,705)
Liquidity and Expected Returns: Lessons from Emerging Markets
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Liquidity pricing, emerging markets, return predictability
The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Abstract:
G12, G15, F30
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3,372
( 4,149)
Citation
125
The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67
Posted: 05 Oct 2010
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
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3,324
(4,174)
Abstract:
factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety
NBER Working Paper No. w15260
Number of pages: 59
Posted: 18 Aug 2009
Last Revised: 14 Mar 2021
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
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48
(496,089)
Abstract:
Number of pages: 68
Posted: 22 Jan 2003
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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3,170
(4,636)
Abstract:
Market liberalization, portfolio flows, market reforms, economic growth, risk sharing, contagion, privatization, capital flows, market microstructure, inequality, productivity, volatility of capital flows, performance of emerging market investments
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2,906
( 5,373)
Citation
100
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,427
(7,053)
Abstract:
Present value model, predictability, international predictability, short rates, dividend yield, earnings yield
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 06 Jun 2021
Columbia Business School - Finance and Economics and BlackRock, Inc
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479
(74,567)
Abstract:
Downloads
2,794
( 5,718)
Citation
43
Number of pages: 40
Posted: 29 Apr 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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2,612
(6,260)
Abstract:
Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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182
(207,656)
Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
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2,606
( 6,402)
Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,256
(7,949)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 14 Oct 2021
Columbia Business School - Finance and Economics and BlackRock, Inc
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350
(107,619)
Abstract:
Downloads
2,313
( 7,773)
Citation
122
Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38
Posted: 17 Apr 2013
Last Revised: 17 Sep 2015
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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1,726
(12,275)
Abstract:
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
ECB Working Paper No. 1675
Number of pages: 36
Posted: 04 Jul 2014
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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344
(109,731)
Abstract:
option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability
Netspar Discussion Paper No. 10/2013-035
Number of pages: 36
Posted: 19 Oct 2013
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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202
(189,001)
Abstract:
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
NBER Working Paper No. w18995
Number of pages: 41
Posted: 28 Apr 2013
Last Revised: 28 May 2021
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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41
(529,504)
Abstract:
Downloads
2,311
( 7,781)
Citation
230
Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34
Posted: 08 Mar 2010
Last Revised: 17 Sep 2015
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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2,052
(9,248)
Abstract:
Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle
Netspar Discussion Paper No. 05/2011-102
Number of pages: 42
Posted: 08 May 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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95
(342,831)
Abstract:
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics
ECB Working Paper No. 1565
Number of pages: 40
Posted: 12 Aug 2013
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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77
(390,509)
Abstract:
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle
National Bank of Belgium Working Paper No. 229
Number of pages: 63
Posted: 13 Oct 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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60
(447,355)
Abstract:
Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics
NBER Working Paper No. w16397
Number of pages: 51
Posted: 18 Oct 2010
Last Revised: 22 Oct 2021
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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23
(640,108)
Abstract:
CEPR Discussion Paper No. DP8154
Number of pages: 44
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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4
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Risk, Uncertainty and Monetary Policy
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Abstract:
business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
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2,221
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Citation
85
Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61
Posted: 27 Mar 2008
Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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2,154
(8,552)
Abstract:
NBER Working Paper No. w14802
Number of pages: 53
Posted: 24 Mar 2009
Last Revised: 13 Jun 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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61
(443,654)
Abstract:
CEPR Discussion Paper No. DP8142
Number of pages: 60
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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6
(779,788)
What Segments Equity Markets?
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials
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1,937
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Citation
13
Columbia Business School Research Paper No. 15-53
Number of pages: 88
Posted: 30 Apr 2015
Last Revised: 06 Mar 2018
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
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1,812
(11,345)
Abstract:
currency carry trade, currency risk factors
Number of pages: 77
Posted: 04 Jan 2019
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
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119
(293,522)
Abstract:
currency carry trade, predictability, currency risk factors
NBER Working Paper No. w25420
Number of pages: 78
Posted: 07 Jan 2019
Last Revised: 17 Jun 2021
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
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5
(788,211)
Abstract:
CEPR Discussion Paper No. DP13463
Number of pages: 80
Posted: 23 Jan 2019
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
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1
(829,326)
Good Carry, Bad Carry
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currency carry trade, currency risk factors, predictability
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1,901
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Citation
41
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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1,862
(10,848)
Abstract:
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
NBER Working Paper No. w16058
Number of pages: 75
Posted: 07 Jun 2010
Last Revised: 19 May 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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36
(555,841)
Abstract:
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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3
(805,436)
Aggregate Idiosyncratic Volatility
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
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1,887
( 10,826)
Citation
156
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,484
(15,574)
Abstract:
regime-switching term structure model, inflation risk premium, business cycles
NBER Working Paper No. w12930
Number of pages: 68
Posted: 24 Feb 2007
Last Revised: 02 May 2021
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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381
(97,717)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
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22
(647,705)
The Term Structure of Real Rates and Expected Inflation
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1,625
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Citation
136
ECB Working Paper No. 931
Number of pages: 46
Posted: 19 Mar 2008
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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1,521
(14,936)
Abstract:
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
NBER Working Paper No. w11906
Number of pages: 57
Posted: 22 Jan 2006
Last Revised: 01 Mar 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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68
(418,886)
Abstract:
CEPR Discussion Paper No. 5955
Number of pages: 59
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
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36
(555,841)
International Stock Return Comovements
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International diversification, correlation dynamics, country debate, factor models, comovements
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1,557
( 14,632)
Citation
29
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,197
(21,531)
Abstract:
market timing, tactical asset allocation, regime switching, international diversification
NBER Working Paper No. w10080
Number of pages: 28
Posted: 14 Nov 2003
Last Revised: 19 Jul 2010
Columbia Business School - Finance and Economics and BlackRock, Inc
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360
(104,239)
Abstract:
Downloads
1,535
( 14,995)
Citation
274
Number of pages: 52
Posted: 19 Apr 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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1,401
(16,994)
Abstract:
Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk
NBER Working Paper No. w8245
Number of pages: 66
Posted: 20 Apr 2001
Last Revised: 14 Jul 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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134
(268,472)
Abstract:
Downloads
1,529
( 15,102)
Citation
36
National Bank of Belgium Working Paper No. 230
Number of pages: 75
Posted: 13 Oct 2012
Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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1,230
(20,684)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
Columbia Business School Research Paper No. 18-58
Number of pages: 75
Posted: 19 Jul 2018
Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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110
(310,460)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
FEDS Working Paper No. 2014-46
Number of pages: 59
Posted: 29 Jun 2014
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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100
(331,492)
Abstract:
flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds
Netspar Discussion Paper No. 05/2013-034
Number of pages: 72
Posted: 19 Oct 2013
Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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74
(402,754)
Abstract:
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
NBER Working Paper No. w19095
Number of pages: 76
Posted: 31 May 2013
Last Revised: 05 Sep 2021
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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15
(702,783)
Abstract:
Downloads
1,526
( 15,192)
Citation
9
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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1,376
(17,531)
Abstract:
macroeconomic volatility, business cycles, COVID-19
FEDS Working Paper No. 2020-49
Number of pages: 30
Posted: 23 Jun 2020
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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150
(245,207)
Abstract:
Downloads
1,487
( 15,818)
Citation
1
Management Science forthcoming
Number of pages: 47
Posted: 23 Aug 2017
Last Revised: 10 Jun 2021
Neoma Business School and Columbia Business School - Finance and Economics
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1,470
(15,785)
Abstract:
Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Dollar Factor; Carry; Value; Global Pricing Kernels.
NBER Working Paper No. w25449
Number of pages: 59
Posted: 15 Jan 2019
Last Revised: 16 Jul 2021
Neoma Business School and Columbia Business School - Finance and Economics
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17
(686,698)
Abstract:
CEPR Discussion Paper No. DP13464
Number of pages: 61
Posted: 23 Jan 2019
Neoma Business School and Columbia Business School - Finance and Economics
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0
Currency Factors
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Abstract:
clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels
Number of pages: 62
Posted: 19 Feb 2009
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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1,469
(16,109)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
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1,440
( 16,603)
Citation
32
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,170
(22,268)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Oct 2021
Columbia Business School - Finance and Economics and BlackRock, Inc
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270
(142,364)
Abstract:
Downloads
1,423
( 16,898)
Citation
28
Number of pages: 56
Posted: 03 Jun 2011
Last Revised: 26 Jul 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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1,186
(21,811)
Abstract:
contagion; financial crisis; equity markets; global transmission; market integration; country risk; factor model; financial policies; FX reserves, current account
ECB Working Paper No. 1381
Number of pages: 48
Posted: 13 Sep 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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87
(362,548)
Abstract:
Contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Number of pages: 55
Posted: 16 Mar 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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69
(415,598)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Netspar Discussion Paper No. 05/2011-070
Number of pages: 57
Posted: 31 Aug 2011
Last Revised: 23 Nov 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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42
(524,519)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
NBER Working Paper No. w17121
Number of pages: 57
Posted: 20 Jun 2011
Last Revised: 14 Oct 2021
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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34
(567,240)
Abstract:
CEPR Discussion Paper No. DP8438
Number of pages: 44
Posted: 16 Jun 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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5
(788,211)
Global Crises and Equity Market Contagion
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contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration
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1,217
( 21,398)
Citation
23
AFA 2012 Chicago Meetings Paper
Number of pages: 48
Posted: 21 Mar 2010
Last Revised: 13 Oct 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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1,187
(21,811)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis
NBER Working Paper No. w16583
Number of pages: 50
Posted: 06 Dec 2010
Last Revised: 25 Apr 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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30
(591,178)
Abstract:
Number of pages: 27
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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1,214
(21,456)
Abstract:
Emerging markets, International Cost of Capital, Financial openness, dating integration, market segmentation, market integration, capital flows, contagion, market correlations, emerging market volatility, emerging return skewness, emerging return kurtosis
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1,206
( 21,699)
Citation
17
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
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Managementaffiliation not provided to SSRN
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1,174
(22,139)
Abstract:
Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.
NBER Working Paper No. w25673
Number of pages: 78
Posted: 26 Mar 2019
Last Revised: 26 Aug 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Managementaffiliation not provided to SSRN
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32
(584,930)
Abstract:
Downloads
1,204
( 21,729)
Citation
189
Number of pages: 39
Posted: 22 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
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1,135
(23,294)
Abstract:
NBER Working Paper No. w9510
Number of pages: 35
Posted: 26 Feb 2003
Last Revised: 31 Oct 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
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69
(415,598)
Abstract:
Downloads
1,178
( 22,430)
Citation
49
Number of pages: 78
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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1,018
(27,322)
Abstract:
Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation
NBER Working Paper No. w5307
Number of pages: 79
Posted: 26 Aug 2000
Last Revised: 04 Jul 2021
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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160
(232,191)
Abstract:
Downloads
1,116
( 24,268)
Citation
13
EFA 2002 Berlin Meetings
Number of pages: 54
Posted: 21 Feb 2002
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
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1,041
(26,433)
Abstract:
NBER Working Paper No. w7346
Number of pages: 52
Posted: 05 Feb 2000
Last Revised: 30 Jul 2021
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
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75
(396,539)
Abstract:
Downloads
1,114
( 24,326)
Citation
88
EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56
Posted: 01 Jul 2004
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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1,035
(26,666)
Abstract:
Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization
NBER Working Paper No. w10990
Number of pages: 47
Posted: 18 Jan 2005
Last Revised: 14 Jul 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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79
(384,634)
Abstract:
Downloads
1,071
( 25,789)
Citation
16
Number of pages: 50
Posted: 31 Jul 2009
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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987
(28,538)
Abstract:
Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability
Number of pages: 50
Posted: 18 Mar 2011
Last Revised: 29 Oct 2014
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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61
(443,654)
Abstract:
Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability
NBER Working Paper No. w15222
Number of pages: 52
Posted: 18 Aug 2009
Last Revised: 06 Aug 2021
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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21
(655,401)
Abstract:
CEPR Discussion Paper No. DP8150
Number of pages: 52
Posted: 27 Dec 2010
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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2
(816,076)
Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
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Abstract:
countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium
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1,063
( 26,054)
Citation
60
EFA 2002 Berlin, Forthcoming
Number of pages: 54
Posted: 12 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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1,014
(27,473)
Abstract:
Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility
NBER Working Paper No. w10560
Number of pages: 53
Posted: 04 Jul 2004
Last Revised: 10 May 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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49
(491,728)
Abstract:
Number of pages: 34
Posted: 11 Jun 2020
Last Revised: 12 Oct 2020
Global AI Corp, Columbia Business School - Finance and Economics, Global AI Co and Global AI Corp
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1,058
(26,216)
Abstract:
ESG, SDG, asset management, fiduciary duty, alpha, sustainable investing, risk factors
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1,051
( 26,483)
Citation
21
Columbia Business School Research Paper No. 13-91
Number of pages: 51
Posted: 30 Nov 2013
Last Revised: 06 Aug 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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1,007
(27,742)
Abstract:
Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary
NBER Working Paper No. w19786
Number of pages: 52
Posted: 04 Jan 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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44
(514,867)
Abstract:
Downloads
1,016
( 27,824)
Citation
32
AFA 2010 Atlanta Meetings Paper
Number of pages: 32
Posted: 13 Mar 2009
Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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875
(33,808)
Abstract:
financial openness, growth, liberalization, productivity
World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32
Posted: 21 Oct 2011
Last Revised: 04 Jul 2013
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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86
(365,221)
Abstract:
NBER Working Paper No. w14843
Number of pages: 41
Posted: 07 Apr 2009
Last Revised: 24 Jul 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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55
(466,696)
Abstract:
Downloads
978
( 29,338)
Citation
77
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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821
(36,922)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 09 Oct 2021
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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157
(236,069)
Abstract:
Downloads
931
( 31,504)
Citation
30
Number of pages: 61
Posted: 24 Sep 1999
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
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884
(33,317)
Abstract:
NBER Working Paper No. w7219
Number of pages: 62
Posted: 26 Jun 2000
Last Revised: 24 Sep 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
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47
(500,718)
Abstract:
Downloads
844
( 36,081)
Citation
40
AFA 2006 Boston Meetings Paper
Number of pages: 61
Posted: 17 Mar 2005
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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762
(40,906)
Abstract:
Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors
NBER Working Paper No. w12247
Number of pages: 63
Posted: 25 May 2006
Last Revised: 20 Jun 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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52
(478,866)
Abstract:
CEPR Discussion Paper No. 5951
Number of pages: 65
Posted: 18 Aug 2004
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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30
(591,178)
Stock and Bond Returns with Moody Investors
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Abstract:
Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence
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832
( 36,769)
Citation
495
Number of pages: 49
Posted: 12 Sep 2005
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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761
(40,987)
Abstract:
Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching
NBER Working Paper No. w4843
Number of pages: 49
Posted: 11 Jun 2000
Last Revised: 28 Mar 2021
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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71
(409,092)
Abstract:
Posted: 03 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Abstract:
Downloads
819
( 37,569)
Citation
19
ECB Working Paper No. 1037
Number of pages: 47
Posted: 15 Apr 2009
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
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443
(81,927)
Abstract:
Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics
Journal of Banking and Finance, Forthcoming
Number of pages: 58
Posted: 20 Jun 2015
Last Revised: 17 Sep 2015
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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376
(99,192)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Columbia Business School Research Paper No. 15-83
Number of pages: 54
Posted: 11 Sep 2015
Last Revised: 09 Dec 2015
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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808
(38,287)
Abstract:
Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation
Number of pages: 54
Posted: 06 May 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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808
(38,287)
Abstract:
Inflation risk, risk premium, hedge, inflation protected bond, term structure model
Number of pages: 97
Posted: 10 Mar 2010
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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770
(40,920)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
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740
( 43,172)
Citation
7
Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55
Posted: 26 May 2011
Last Revised: 23 Jun 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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669
(48,793)
Abstract:
Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy
Netspar Discussion Paper No. 05/2011-071
Number of pages: 54
Posted: 31 Aug 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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48
(496,089)
Abstract:
monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve
NBER Working Paper No. w17090
Number of pages: 54
Posted: 31 May 2011
Last Revised: 14 Mar 2021
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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23
(640,108)
Abstract:
Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13
Posted: 17 Apr 2017
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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694
(47,177)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis
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684
( 47,998)
Citation
87
Number of pages: 46
Posted: 03 Jan 2001
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
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632
(52,607)
Abstract:
NBER Working Paper No. w7609
Number of pages: 46
Posted: 25 Apr 2000
Last Revised: 18 Apr 2021
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
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52
(478,866)
Abstract:
Downloads
681
( 48,387)
Citation
5
Number of pages: 67
Posted: 31 Aug 2016
Last Revised: 13 May 2018
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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482
(74,015)
Abstract:
macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation
FEDS Working Paper No. 2017-58
Number of pages: 76
Posted: 05 Jun 2017
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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69
(415,598)
Abstract:
NBER Working Paper No. w22839
Number of pages: 62
Posted: 21 Nov 2016
Last Revised: 20 Aug 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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68
(422,306)
Abstract:
Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72
Posted: 05 Jun 2018
Last Revised: 06 Dec 2019
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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62
(439,942)
Abstract:
bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors
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681
( 48,302)
Citation
80
Number of pages: 41
Posted: 14 Aug 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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616
(54,412)
Abstract:
NBER Working Paper No. w7763
Number of pages: 39
Posted: 17 Jul 2000
Last Revised: 19 Sep 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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65
(429,283)
Abstract:
Downloads
681
( 48,302)
Citation
79
Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56
Posted: 08 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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619
(54,072)
Abstract:
Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility
NBER Working Paper No. w6312
Number of pages: 57
Posted: 30 Aug 2000
Last Revised: 07 Oct 2021
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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62
(439,942)
Abstract:
Downloads
610
( 55,770)
Citation
20
Number of pages: 58
Posted: 23 Jul 2013
Last Revised: 08 Feb 2016
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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550
(62,764)
Abstract:
GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns
Netspar Discussion Paper No. 07/2013-033
Number of pages: 59
Posted: 19 Oct 2013
Last Revised: 07 Jul 2014
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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55
(466,696)
Abstract:
Number of pages: 60
Posted: 16 Aug 2014
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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5
(788,211)
Abstract:
non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness
Downloads
600
( 56,863)
Citation
8
Number of pages: 95
Posted: 31 Mar 2014
Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
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515
(68,175)
Abstract:
International Diversification, Microdata, 401(k) Portfolios
Netspar Discussion Paper No. 02/2014-025
Number of pages: 95
Posted: 08 Jul 2014
Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
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85
(367,946)
Abstract:
International Diversification, Micro Data, 401(k) Plans
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584
( 58,855)
Citation
69
Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49
Posted: 07 Jun 2005
Last Revised: 28 Jun 2011
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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456
(79,167)
Abstract:
Phillips curve, term structure, New-Keynesian model
Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010, Columbia Business School Research Paper No. 11-29
Number of pages: 49
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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55
(466,696)
Abstract:
NBER Working Paper No. w11340
Number of pages: 62
Posted: 16 Jun 2005
Last Revised: 28 Jun 2010
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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43
(519,625)
Abstract:
CEPR Discussion Paper No. 5956
Number of pages: 51
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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30
(591,178)
New-Keynesian Macroeconomics and the Term Structure
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Abstract:
Monetary policy, inflation target, term structure of interest rates, Phillips curve
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565
( 61,337)
Citation
260
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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350
(107,619)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 12 Jul 2021
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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215
(178,243)
Abstract:
Downloads
557
( 62,459)
Citation
24
Number of pages: 57
Posted: 06 Feb 2002
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
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498
(71,128)
Abstract:
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
NBER Working Paper No. w8795
Number of pages: 57
Posted: 21 Feb 2002
Last Revised: 26 Oct 2010
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
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59
(451,158)
Abstract:
Downloads
555
( 62,740)
Citation
94
FEDS Working Paper No. 2005-40
Posted: 08 Jul 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Abstract:
Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56
Posted: 08 Aug 2005
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
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479
(74,567)
Abstract:
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
NBER Working Paper No. w12248
Number of pages: 55
Posted: 25 May 2006
Last Revised: 31 Jul 2006
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
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41
(529,504)
Abstract:
CEPR Discussion Paper No. 5947
Number of pages: 57
Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
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35
(561,501)
Risk, Uncertainty and Asset Prices
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Abstract:
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Abstract:
Number of pages: 46
Posted: 25 Oct 2005
Last Revised: 07 Aug 2020
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
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545
(64,165)
Abstract:
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
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527
( 66,954)
Citation
35
EFA 2001 Barcelona Meetings
Number of pages: 61
Posted: 06 Oct 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
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486
(73,236)
Abstract:
NBER Working Paper No. w6724
Number of pages: 65
Posted: 17 Jul 2000
Last Revised: 17 May 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
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41
(529,504)
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
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526
(67,092)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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516
( 68,768)
Citation
9
Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79
Posted: 28 Aug 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
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516
(68,010)
Abstract:
Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements
Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016
Posted: 18 Nov 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Abstract:
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465
( 78,058)
Citation
13
Fuqua School of Business Working Paper No. 9807
Number of pages: 51
Posted: 08 May 2000
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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369
(101,379)
Abstract:
Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth
NBER Working Paper No. w6669
Number of pages: 77
Posted: 14 Jul 2000
Last Revised: 23 Sep 2021
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
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96
(340,545)
Abstract:
Number of pages: 80
Posted: 15 May 2020
Last Revised: 19 Aug 2021
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Managementaffiliation not provided to SSRN
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441
(83,331)
Abstract:
Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate
Number of pages: 71
Posted: 07 Jun 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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440
(83,331)
Abstract:
Columbia Business School Research Paper Forthcoming
Number of pages: 60
Posted: 16 May 2019
Last Revised: 18 Nov 2020
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Directorate General Economics
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295
(129,759)
Abstract:
Corporate bond markets; CAPM; international market integration; asset class integration; bond ratings; risk; return; market efficiency tests; comovement.
ECB Working Paper No. 20202452
Number of pages: 173
Posted: 11 Aug 2020
European Central Bank (ECB) - Directorate General Economics and Columbia Business School - Finance and Economics
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119
(293,522)
Abstract:
asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk
Number of pages: 39
Posted: 09 Sep 2005
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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410
(90,541)
Abstract:
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
Downloads
338
(112,700)
Citation
34
FEDS Working Paper No. 2015-53
Number of pages: 65
Posted: 08 Oct 2015
Last Revised: 25 Oct 2015
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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313
(121,746)
Abstract:
Number of pages: 82
Posted: 26 Aug 2015
Last Revised: 29 Apr 2019
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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25
(625,264)
Abstract:
habit, volatility premium, non-Gaussian distribution, consumption
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301
(127,705)
Citation
2
Number of pages: 54
Posted: 27 Oct 2012
Last Revised: 28 Feb 2018
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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249
(154,565)
Abstract:
Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles
Columbia Business School Research Paper Forthcoming
Number of pages: 64
Posted: 24 Oct 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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45
(510,053)
Abstract:
Volatility, Skewness, Development, Financial frictions, Growth spurts, Business cycles
NBER Working Paper No. w18556
Number of pages: 43
Posted: 22 Nov 2012
Last Revised: 15 Sep 2021
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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7
(771,068)
Abstract:
Economic Policy, Vol. 25, No. 64, pp. 757-806, October 2010, Columbia Business School Research Paper No. 11-28
Number of pages: 49
Posted: 21 Oct 2011
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
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275
(140,343)
Abstract:
Columbia Business School Research Paper No. 15-71
Number of pages: 81
Posted: 29 Jul 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Frankfurt School of Finance & Management
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266
(145,202)
Abstract:
Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice
Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 102
Posted: 19 Jun 2019
Last Revised: 29 Jun 2021
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
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260
(147,957)
Abstract:
sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium
CEPR Discussion Paper No. DP16365
Number of pages: 105
Posted: 22 Sep 2021
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
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0
International Yield Co-Movements
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Abstract:
cross-country co-movement, Expected inflation, Inflation Risk Premium, liquidity premium, real yield, Sovereign bonds, Treasuries
Columbia Business School Research Paper No. 17-17
Number of pages: 41
Posted: 24 Jan 2017
Last Revised: 12 May 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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255
(151,376)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
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238
(162,008)
Citation
2
Number of pages: 66
Posted: 03 Apr 2020
Last Revised: 18 Oct 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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235
(163,548)
Abstract:
variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics, bad volatility
NBER Working Paper No. w27108
Number of pages: 70
Posted: 12 May 2020
Last Revised: 28 Jul 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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3
(805,436)
The Variance Risk Premium in Equilibrium Models
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Abstract:
Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 72
Posted: 11 Jan 2019
Last Revised: 11 Oct 2021
Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
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223
(172,476)
Abstract:
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables
Columbia Business School Research Paper Forthcoming
Number of pages: 63
Posted: 29 Aug 2019
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
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207
(184,890)
Abstract:
variance risk, asset pricing, emerging market returns, currency returns
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206
(185,730)
Citation
18
Number of pages: 44
Posted: 09 Oct 2001
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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178
(211,762)
Abstract:
NBER Working Paper No. w6880
Number of pages: 41
Posted: 08 Feb 1999
Last Revised: 21 Oct 2021
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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28
(604,333)
Abstract:
Columbia Business School Research Paper Forthcoming
Number of pages: 48
Posted: 24 Aug 2019
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Financial Research
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164
(226,945)
Abstract:
bank risk, security holdings, portfolio rebalancing
Number of pages: 101
Posted: 05 Mar 2021
Last Revised: 08 Sep 2021
Columbia Business School - Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
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163
(228,114)
Abstract:
Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading
DIW Berlin Discussion Paper No. 1352, Columbia Business School Research Paper No. 14-26
Number of pages: 64
Posted: 30 Jan 2014
Last Revised: 15 Sep 2014
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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134
(267,498)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
NBER Working Paper No. w6022
Number of pages: 60
Posted: 25 May 2006
Last Revised: 17 Jun 2021
Columbia Business School - Finance and Economics and University of Houston
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126
(280,118)
Abstract:
NBER Working Paper No. w4990
Number of pages: 62
Posted: 11 Aug 2000
Last Revised: 22 Aug 2021
Columbia Business School - Finance and Economics and Morgan Stanley
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89
(357,439)
Abstract:
Posted: 07 Jul 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
Number of pages: 64
Posted: 15 Jan 2021
Last Revised: 29 Sep 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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85
(364,608)
Abstract:
uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk
NBER Working Paper No. w3790
Number of pages: 48
Posted: 28 Dec 2006
Last Revised: 12 May 2021
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
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79
(380,762)
Abstract:
NBER Working Paper No. w15024
Number of pages: 41
Posted: 03 Jun 2009
Last Revised: 22 Jul 2021
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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73
(398,235)
Abstract:
NBER Working Paper No. t0191
Number of pages: 41
Posted: 20 Jul 2000
Last Revised: 12 Jul 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
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65
(423,730)
Abstract:
NBER Working Paper No. w3861
Number of pages: 39
Posted: 10 Jul 2007
Last Revised: 22 Jul 2021
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
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50
(479,153)
Abstract:
Number of pages: 15
Posted: 13 May 2020
Last Revised: 21 Jan 2021
Neoma Business School and Columbia Business School - Finance and Economics
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38
(533,177)
Abstract:
Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels
NBER Working Paper No. w4624
Number of pages: 50
Posted: 19 Dec 2000
Last Revised: 22 Aug 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
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38
(544,958)
Abstract:
Posted: 15 Sep 1999
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Abstract:
NBER Working Paper No. w6147
Number of pages: 65
Posted: 01 Jul 2000
Last Revised: 20 Oct 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
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34
(567,240)
Abstract:
Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Abstract:
Number of pages: 46
Posted: 11 Jun 2021
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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31
(570,348)
Abstract:
business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19
NBER Working Paper No. w5445
Number of pages: 52
Posted: 01 Jul 2000
Last Revised: 20 May 2021
Columbia Business School - Finance and Economics and affiliation not provided to SSRN
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28
(588,152)
Abstract:
NBER Working Paper No. w23124
Number of pages: 73
Posted: 07 Feb 2017
Last Revised: 08 Sep 2021
Columbia Business School - Finance and Economics and European Central Bank (ECB)
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17
(663,506)
Abstract:
NBER Working Paper No. w21236
Number of pages: 79
Posted: 08 Jun 2015
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
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16
(670,729)
Abstract:
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13
(693,726)
Citation
5
NBER Working Paper No. w4818
Number of pages: 54
Posted: 20 Sep 2010
Last Revised: 02 Sep 2021
Geert Bekaert
Columbia Business School - Finance and Economics
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13
(719,814)
Abstract:
REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics
Abstract:
FEDS Working Paper No. 2014-46
Posted: 09 Jul 2021
affiliation not provided to SSRN , Columbia Business School - Finance and Economics, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System
Abstract:
FEDS Working Paper No. 2006-15
Posted: 08 Jul 2021
affiliation not provided to SSRN , Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Abstract:
Posted: 07 May 2004
Columbia Business School - Finance and Economics and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
Posted: 15 Aug 1998
Columbia Business School - Finance and Economics and Morgan Stanley
Abstract:
Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
