Geert Bekaert

Columbia University - Columbia Business School, Finance

Professor

NY

United States

SCHOLARLY PAPERS

99

DOWNLOADS
Rank 197

SSRN RANKINGS

Top 197

in Total Papers Downloads

101,623

SSRN CITATIONS
Rank 29

SSRN RANKINGS

Top 29

in Total Papers Citations

7,180

CROSSREF CITATIONS

6,199

Scholarly Papers (99)

1.
Downloads 5,839 ( 2,399)
Citation 18

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 5,531 (2,612)
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 308 (168,987)
Citation 24

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

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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,468 (5,763)
Citation 18

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 158 (319,030)
Citation 50

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (890,647)
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
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.
Downloads 3,481 ( 5,844)
Citation 153

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 3,420 (5,910)
Citation 20

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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 61 (610,081)
Citation 59

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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 3,084 (7,005)
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 232 (225,408)
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

5.

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 3,302 (6,384)
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

6.
Downloads 3,199 ( 6,727)
Citation 48

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 2,798 (8,091)
Citation 48

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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 401 (126,417)

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7.
Downloads 3,093 ( 7,090)
Citation 173

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 2,507 (9,626)
Citation 103

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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 586 (79,757)

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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 2,554 (9,345)
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 197 (262,749)

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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 2,317 (10,933)
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 416 (121,058)
Citation 3

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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 2,714 (8,634)
Citation 7

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

11.
Downloads 2,598 ( 9,252)
Citation 184

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 1,929 (14,681)
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 366 (140,209)
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 225 (232,122)
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 78 (532,099)
Citation 48

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12.
Downloads 2,529 ( 9,667)
Citation 302

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 2,184 (12,018)
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 114 (412,529)
Citation 85

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

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 110 (423,611)
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

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 82 (516,119)
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

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 35 (776,899)

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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 4 (1,068,922)
Citation 57
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

13.
Downloads 2,389 (10,603)
Citation 112

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
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 2,250 (11,486)
Citation 3

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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
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 133 (366,984)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
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 (1,052,897)
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.
Downloads 2,118 (12,874)
Citation 21

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 1,968 (14,222)
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 137 (358,585)
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 12 (994,804)

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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 1 (1,093,101)
Citation 5
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currency carry trade, currency risk factors, predictability

15.
Downloads 1,987 (14,260)
Citation 172

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 1,544 (20,669)
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 421 (119,397)
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 22 (890,647)
Citation 17
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16.
Downloads 1,948 (14,729)
Citation 54

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 1,891 (15,156)
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 54 (648,501)
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 (1,076,331)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

17.
Downloads 1,859 (15,817)
Citation 6

Currency Factors

Management Science forthcoming
Number of pages: 47 Posted: 23 Aug 2017 Last Revised: 10 Jun 2021
Arash Aloosh and Geert Bekaert
EMLV Business School Paris and Columbia University - Columbia Business School, Finance
Downloads 1,814 (16,159)
Citation 2

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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
EMLV Business School Paris and Columbia University - Columbia Business School, Finance
Downloads 45 (704,189)

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Currency Factors

CEPR Discussion Paper No. DP13464
Number of pages: 61 Posted: 23 Jan 2019
Arash Aloosh and Geert Bekaert
EMLV Business School Paris and Columbia University - Columbia Business School, Finance
Downloads 0
Citation 4
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clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels

18.
Downloads 1,800 (16,659)
Citation 68

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 1,341 (25,575)
Citation 4

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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 196 (263,946)
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 124 (387,413)
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 94 (473,167)
Citation 3

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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 45 (704,189)
Citation 40

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19.

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 1,773 (17,041)
Citation 40

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

20.
Downloads 1,761 (17,237)
Citation 74

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 1,689 (18,030)
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 72 (557,748)
Citation 10

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21.
Downloads 1,704 (18,132)
Citation 177

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 1,566 (20,249)
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 102 (447,609)
Citation 26

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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 36 (769,180)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

22.
Downloads 1,686 (18,411)
Citation 38

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 1,264 (27,947)
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 422 (119,108)
Citation 12

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23.
Downloads 1,626 (19,455)
Citation 336

Does Financial Liberalization Spur Growth?

Number of pages: 52 Posted: 19 Apr 2001
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,452 (22,717)
Citation 25

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 174 (293,577)
Citation 111

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24.
Downloads 1,572 (20,464)
Citation 31

Global Crises and Equity Market Contagion

Number of pages: 56 Posted: 03 Jun 2011 Last Revised: 26 Jul 2012
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 1,229 (29,084)
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

ECB Working Paper No. 1381
Number of pages: 48 Posted: 13 Sep 2011
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 108 (429,347)
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
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 97 (463,338)
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

Netspar Discussion Paper No. 05/2011-070
Number of pages: 57 Posted: 31 Aug 2011 Last Revised: 23 Nov 2012
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 75 (544,794)
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
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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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
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

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
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 1,253 (28,296)
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
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 71 (562,158)
Citation 8

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26.
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Citation 70

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 1,085 (34,839)
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 198 (261,511)

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27.
Downloads 1,273 (28,124)
Citation 205

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 1,169 (31,349)
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 104 (441,313)
Citation 42

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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 1,268 (28,292)
Citation 47

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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.
Downloads 1,212 (30,177)
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 1,103 (34,005)
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 109 (426,441)
Citation 1

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30.
Downloads 1,189 (31,043)
Citation 33

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
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 1,113 (33,592)
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
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 76 (540,519)
Citation 9

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31.
Downloads 1,178 (31,460)
Citation 107

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
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 1,069 (35,591)
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
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 109 (426,441)
Citation 11

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32.
Downloads 1,137 (33,122)
Citation 34

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 929 (43,391)
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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 120 (397,148)
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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 88 (493,746)
Citation 9

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33.
Downloads 1,132 (33,326)
Citation 69

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,045 (36,779)
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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 87 (497,298)
Citation 11

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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 1,010 (38,590)
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 79 (527,960)
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 32 (801,021)

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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
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

35.
Downloads 1,065 (36,327)
Citation 84

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 866 (47,798)
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 199 (260,316)
Citation 7

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36.
Downloads 1,006 (39,420)
Citation 29

The Dynamics of Emerging Market Equity Flows

Number of pages: 61 Posted: 24 Sep 1999
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 927 (43,539)

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 79 (527,960)

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37.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 71 Posted: 15 May 2020 Last Revised: 02 Aug 2023
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 969 (41,501)
Citation 21

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

38.

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
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 951 (42,677)
Citation 12

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

39.
Downloads 928 (44,113)
Citation 47

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 811 (52,325)
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 87 (497,298)
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 30 (817,860)
Citation 4
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

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 917 (44,834)
Citation 8

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

41.
Downloads 914 (45,035)
Citation 528

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 806 (52,741)
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 108 (429,347)
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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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 466 (105,926)
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 425 (118,073)
Citation 33

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

43.
Downloads 890 (46,740)
Citation 10

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 569 (82,784)

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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 119 (399,622)

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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 111 (420,836)
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 91 (483,402)

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44.
Downloads 815 (52,743)
Citation 8

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
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 724 (60,898)

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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
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 60 (615,212)
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
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 31 (809,418)

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45.

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 798 (54,250)
Citation 6

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

46.

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
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 790 (54,959)
Citation 3

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

47.
Downloads 782 (55,720)
Citation 119

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 686 (65,338)
Citation 120

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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 96 (466,622)

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48.
Downloads 751 (58,821)
Citation 88

Emerging Equity Markets and Economic Development

Number of pages: 41 Posted: 14 Aug 2000
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 644 (70,909)

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 107 (432,280)
Citation 20

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49.
Downloads 738 (60,232)
Citation 90

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 650 (70,046)
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 88 (493,746)
Citation 11

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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 619 (74,511)
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 90 (486,705)
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 20 (910,527)
Citation 1

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

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
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 606 (76,522)
Citation 4

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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
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 121 (394,732)
Citation 10

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International Diversification, Micro Data, 401(k) Plans

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 388 (131,285)
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 259 (202,112)
Citation 34

Abstract:

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53.
Downloads 635 (73,162)
Citation 77

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 479 (102,520)

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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 70 (566,653)

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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 56 (637,103)

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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 30 (817,860)
Citation 9
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Monetary policy, inflation target, term structure of interest rates, Phillips curve

54.
Downloads 616 (75,875)
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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads 616 (74,943)
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
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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55.
Downloads 612 (76,522)
Citation 107

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 506 (95,907)
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
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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
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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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56.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005 Last Revised: 07 Aug 2020
Columbia University - Columbia Business School, Finance, TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
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Citation 15

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

57.
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Citation 46

Dating the Integration of World Equity Markets

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Oct 2001
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 513 (94,314)
Citation 56

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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
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
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58.
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Citation 27

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 515 (93,854)

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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 69 (571,187)
Citation 3

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59.

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 571 (83,394)
Citation 8

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

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 397 (127,918)
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 170 (299,608)
Citation 8

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

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 403 (125,671)
Citation 18

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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
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62.
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Citation 4

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 478 (102,780)
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
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cross-country co-movement, Expected inflation, Inflation Risk Premium, liquidity premium, real yield, Sovereign bonds, Treasuries

63.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 470 (105,925)
Citation 3

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64.

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 458 (109,279)
Citation 1

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

65.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 450 (111,495)
Citation 14

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

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 390 (130,530)
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 43 (717,618)
Citation 36

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habit, volatility premium, non-Gaussian distribution, consumption

67.
Downloads 431 (117,340)
Citation 3

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 403 (125,671)

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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
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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 292 (178,763)

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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 83 (512,207)
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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)
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69.

Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments

Columbia Business School Research Paper
Number of pages: 43 Posted: 11 Jun 2021 Last Revised: 29 Nov 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 394 (130,146)
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business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19

70.

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

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 356 (145,658)
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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 344 (151,176)
Citation 1

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

73.