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5,188
( 2,286)
Citation
9
Number of pages: 25
Posted: 26 Oct 2013
Last Revised: 09 Apr 2017
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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4,952
(2,475)
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 University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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236
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Abstract:
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3,550
( 4,416)
Citation
211
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
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3,410
(4,659)
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: 10 Mar 2022
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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118
(325,647)
Abstract:
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
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22
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Liquidity and Expected Returns: Lessons from Emerging Markets
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Liquidity pricing, emerging markets, return predictability
The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Abstract:
G12, G15, F30
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3,408
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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 University - Columbia Business School, Finance and Ghent University - Department of Economics
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3,359
(4,774)
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 University - Columbia Business School, Finance and Ghent University - Department of Economics
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49
(538,714)
Abstract:
Number of pages: 68
Posted: 22 Jan 2003
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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3,210
(5,270)
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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3,045
( 5,757)
Citation
43
Number of pages: 40
Posted: 29 Apr 2008
Last Revised: 28 Jun 2011
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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2,854
(6,284)
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 University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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191
(220,368)
Abstract:
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
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2,988
( 5,949)
Citation
100
Number of pages: 53
Posted: 23 Mar 2001
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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2,461
(7,927)
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 University - Columbia Business School, Finance and BlackRock, Inc
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527
(74,364)
Abstract:
Downloads
2,663
( 7,112)
Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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2,279
(8,954)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 14 Apr 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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384
(108,381)
Abstract:
Downloads
2,479
( 7,987)
Citation
32
Number of pages: 70
Posted: 01 Jun 1998
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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2,145
(9,897)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Apr 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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334
(126,747)
Abstract:
Downloads
2,390
( 8,450)
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 University - Columbia Business School, Finance and European Central Bank (ECB)
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1,791
(13,257)
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 University - Columbia Business School, Finance and European Central Bank (ECB)
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348
(121,077)
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 University - Columbia Business School, Finance and European Central Bank (ECB)
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207
(204,903)
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 2022
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
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44
(563,596)
Abstract:
Downloads
2,363
( 8,569)
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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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2,095
(10,277)
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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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96
(375,041)
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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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82
(413,753)
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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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60
(490,632)
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 Apr 2022
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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26
(675,683)
Abstract:
CEPR Discussion Paper No. DP8154
Number of pages: 44
Posted: 27 Dec 2010
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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4
(887,028)
Risk, Uncertainty and Monetary Policy
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
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2,326
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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 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
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2,188
(9,550)
Abstract:
NBER Working Paper No. w14802
Number of pages: 53
Posted: 24 Mar 2009
Last Revised: 13 Jun 2021
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
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132
(299,604)
Abstract:
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
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6
(863,426)
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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2,051
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Citation
9
Number of pages: 29
Posted: 28 May 2020
Last Revised: 01 Jun 2020
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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1,878
(12,268)
Abstract:
macroeconomic volatility, business cycles, COVID-19
FEDS Working Paper No. 2020-49
Number of pages: 30
Posted: 23 Jun 2020
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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173
(240,291)
Abstract:
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2,002
( 11,337)
Citation
13
Columbia Business School Research Paper No. 15-53
Number of pages: 88
Posted: 30 Apr 2015
Last Revised: 06 Mar 2018
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
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1,870
(12,364)
Abstract:
currency carry trade, currency risk factors
Number of pages: 77
Posted: 04 Jan 2019
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
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123
(316,061)
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 2022
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
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8
(841,349)
Abstract:
CEPR Discussion Paper No. DP13463
Number of pages: 80
Posted: 23 Jan 2019
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
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1
(931,525)
Good Carry, Bad Carry
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currency carry trade, currency risk factors, predictability
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1,936
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Citation
156
Number of pages: 64
Posted: 16 Jul 2003
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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1,515
(17,162)
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 University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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399
(103,681)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia University - Columbia Business School, Finance
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22
(707,999)
The Term Structure of Real Rates and Expected Inflation
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1,912
( 12,160)
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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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1,870
(12,364)
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 2022
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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39
(590,586)
Abstract:
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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3
(900,127)
Aggregate Idiosyncratic Volatility
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
Number of pages: 34
Posted: 11 Jun 2020
Last Revised: 12 Oct 2020
Global AI Corp, Columbia University - Columbia Business School, Finance, Global AI Co and Global AI Corp
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1,667
(15,127)
Abstract:
ESG, SDG, asset management, fiduciary duty, alpha, sustainable investing, risk factors
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1,660
( 15,221)
Citation
1
Management Science forthcoming
Number of pages: 47
Posted: 23 Aug 2017
Last Revised: 10 Jun 2021
Neoma Business School and Columbia University - Columbia Business School, Finance
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1,634
(15,309)
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 2022
Neoma Business School and Columbia University - Columbia Business School, Finance
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26
(675,683)
Abstract:
CEPR Discussion Paper No. DP13464
Number of pages: 61
Posted: 23 Jan 2019
Neoma Business School and Columbia University - Columbia Business School, Finance
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0
Currency Factors
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clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels
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1,644
( 15,452)
Citation
136
ECB Working Paper No. 931
Number of pages: 46
Posted: 19 Mar 2008
Last Revised: 17 Nov 2021
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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1,533
(16,875)
Abstract:
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
NBER Working Paper No. w11906
Number of pages: 57
Posted: 22 Jan 2006
Last Revised: 15 Jul 2022
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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75
(435,916)
Abstract:
CEPR Discussion Paper No. 5955
Number of pages: 59
Posted: 03 Jan 2007
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
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36
(608,000)
International Stock Return Comovements
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International diversification, correlation dynamics, country debate, factor models, comovements
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1,604
( 16,015)
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 University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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1,264
(22,545)
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 University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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139
(287,977)
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 University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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104
(355,841)
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 University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
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78
(426,204)
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: 06 Mar 2022
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
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19
(733,493)
Abstract:
Downloads
1,602
( 16,044)
Citation
29
Number of pages: 35
Posted: 27 May 2002
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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1,219
(23,816)
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: 18 Jul 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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383
(108,711)
Abstract:
Downloads
1,574
( 16,487)
Citation
274
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
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1,429
(18,712)
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 2022
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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145
(278,456)
Abstract:
Number of pages: 62
Posted: 19 Feb 2009
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
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1,566
(16,609)
Abstract:
Home bias, international asset allocation, portfolio choice, international diversification
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1,438
( 18,890)
Citation
28
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)
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1,196
(24,474)
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 University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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88
(396,387)
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 University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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70
(452,908)
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 University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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43
(568,835)
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 Apr 2022
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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36
(608,000)
Abstract:
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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5
(874,764)
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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1,426
( 19,143)
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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
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1,377
(19,790)
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: 24 Jun 2022
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
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49
(538,714)
Abstract:
Downloads
1,257
( 23,111)
Citation
23
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
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1,215
(23,933)
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 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
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42
(574,161)
Abstract:
Number of pages: 27
Posted: 09 Sep 2005
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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1,235
(23,743)
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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1,230
( 23,879)
Citation
189
Number of pages: 39
Posted: 22 Mar 2002
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
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1,146
(26,013)
Abstract:
NBER Working Paper No. w9510
Number of pages: 35
Posted: 26 Feb 2003
Last Revised: 27 Jun 2022
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
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84
(407,852)
Abstract:
Downloads
1,222
( 24,132)
Citation
49
Number of pages: 78
Posted: 09 Sep 2005
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads
1,049
(29,631)
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: 02 Jan 2022
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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173
(240,291)
Abstract:
Downloads
1,146
( 26,428)
Citation
13
EFA 2002 Berlin Meetings
Number of pages: 54
Posted: 21 Feb 2002
Stanford Graduate School of Business and Columbia University - Columbia Business School, Finance
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1,060
(29,197)
Abstract:
NBER Working Paper No. w7346
Number of pages: 52
Posted: 05 Feb 2000
Last Revised: 30 Jul 2022
Stanford Graduate School of Business and Columbia University - Columbia Business School, Finance
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86
(402,108)
Abstract:
Downloads
1,142
( 26,580)
Citation
88
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
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1,051
(29,553)
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 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
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91
(388,132)
Abstract:
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1,104
( 27,975)
Citation
21
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
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1,046
(29,767)
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
Last Revised: 25 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
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58
(498,748)
Abstract:
Downloads
1,084
( 28,673)
Citation
60
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
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1,024
(30,664)
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: 11 May 2022
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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60
(490,632)
Abstract:
Downloads
1,080
( 28,808)
Citation
16
Number of pages: 50
Posted: 31 Jul 2009
Last Revised: 28 Jun 2011
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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991
(32,105)
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 University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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63
(478,621)
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 2022
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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24
(691,437)
Abstract:
CEPR Discussion Paper No. DP8150
Number of pages: 52
Posted: 27 Dec 2010
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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2
(914,864)
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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1,065
( 29,401)
Citation
32
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
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901
(36,747)
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 University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
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98
(370,226)
Abstract:
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
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66
(467,198)
Abstract:
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1,021
( 31,255)
Citation
77
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
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843
(40,303)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 09 Apr 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
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178
(234,375)
Abstract:
Downloads
957
( 34,245)
Citation
30
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
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898
(36,928)
Abstract:
NBER Working Paper No. w7219
Number of pages: 62
Posted: 26 Jun 2000
Last Revised: 25 Mar 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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59
(494,648)
Abstract:
Downloads
868
( 39,297)
Citation
495
Number of pages: 49
Posted: 12 Sep 2005
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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780
(44,729)
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 University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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88
(396,387)
Abstract:
Posted: 03 May 2000
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Abstract:
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
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853
(40,212)
Abstract:
Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation
Downloads
848
( 40,516)
Citation
40
AFA 2006 Boston Meetings Paper
Number of pages: 61
Posted: 17 Mar 2005
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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766
(45,817)
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: 30 May 2022
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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52
(524,717)
Abstract:
CEPR Discussion Paper No. 5951
Number of pages: 65
Posted: 18 Aug 2004
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
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30
(646,573)
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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839
( 41,154)
Citation
21
ECB Working Paper No. 1037
Number of pages: 47
Posted: 15 Apr 2009
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
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448
(90,588)
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 University - Columbia Business School, Finance and European Central Bank (ECB)
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391
(106,117)
Abstract:
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Number of pages: 54
Posted: 06 May 2010
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
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830
(41,742)
Abstract:
Inflation risk, risk premium, hedge, inflation protected bond, term structure model
Number of pages: 97
Posted: 10 Mar 2010
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
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782
(45,200)
Abstract:
globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model
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758
( 47,135)
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 University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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685
(53,230)
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 University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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50
(534,039)
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 University - Columbia Business School, Finance, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
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23
(699,479)
Abstract:
Downloads
757
( 47,212)
Citation
5
Number of pages: 67
Posted: 31 Aug 2016
Last Revised: 13 May 2018
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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518
(76,005)
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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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85
(404,907)
Abstract:
Bond return predictability, Business cycle, Great Moderation, Macroeconomic volatility, Term premium
NBER Working Paper No. w22839
Number of pages: 62
Posted: 21 Nov 2016
Last Revised: 29 May 2022
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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79
(422,967)
Abstract:
Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72
Posted: 05 Jun 2018
Last Revised: 06 Dec 2019
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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75
(435,916)
Abstract:
bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors
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720
( 50,431)
Citation
79
Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56
Posted: 08 May 2000
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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646
(57,368)
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: 02 Apr 2022
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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74
(439,250)
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 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
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719
(50,533)
Abstract:
Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis
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705
( 51,902)
Citation
80
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
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625
(59,889)
Abstract:
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
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80
(419,860)
Abstract:
Downloads
689
( 53,506)
Citation
87
Number of pages: 46
Posted: 03 Jan 2001
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
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633
(58,876)
Abstract:
NBER Working Paper No. w7609
Number of pages: 46
Posted: 25 Apr 2000
Last Revised: 18 Apr 2021
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
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56
(507,097)
Abstract:
Downloads
636
( 59,281)
Citation
20
Number of pages: 58
Posted: 23 Jul 2013
Last Revised: 08 Feb 2016
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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566
(67,981)
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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
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64
(474,773)
Abstract:
Number of pages: 60
Posted: 16 Aug 2014
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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6
(863,426)
Abstract:
non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness
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617
( 61,624)
Citation
8
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
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527
(74,364)
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 University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
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90
(390,871)
Abstract:
International Diversification, Micro Data, 401(k) Plans
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605
( 63,174)
Citation
260
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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371
(112,644)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 13 Jul 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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234
(182,233)
Abstract:
Number of pages: 80
Posted: 15 May 2020
Last Revised: 19 Aug 2021
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Boston College, Carroll School of Management
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602
(63,739)
Abstract:
Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate
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590
( 65,230)
Citation
69
Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49
Posted: 07 Jun 2005
Last Revised: 28 Jun 2011
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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461
(87,627)
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 University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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55
(511,340)
Abstract:
NBER Working Paper No. w11340
Number of pages: 62
Posted: 16 Jun 2005
Last Revised: 27 Jun 2022
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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44
(563,596)
Abstract:
CEPR Discussion Paper No. 5956
Number of pages: 51
Posted: 03 Jan 2007
Columbia University - Columbia Business School, Finance, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
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30
(646,573)
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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566
( 68,757)
Citation
94
FEDS Working Paper No. 2005-40
Posted: 08 Jul 2021
Columbia University - Columbia Business School, Finance, 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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
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490
(81,426)
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: 20 Jun 2022
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
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41
(579,593)
Abstract:
CEPR Discussion Paper No. 5947
Number of pages: 57
Posted: 03 Jan 2007
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
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35
(614,075)
Risk, Uncertainty and Asset Prices
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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 University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Abstract:
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563
( 69,196)
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 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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563
(68,418)
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 University - Columbia Business School, Finance, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Abstract:
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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563
(69,196)
Abstract:
emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
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560
( 69,655)
Citation
24
Number of pages: 57
Posted: 06 Feb 2002
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
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500
(79,424)
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: 15 Jul 2022
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
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60
(490,632)
Abstract:
Downloads
552
( 70,971)
Citation
35
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
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498
(79,846)
Abstract:
NBER Working Paper No. w6724
Number of pages: 65
Posted: 17 Jul 2000
Last Revised: 18 May 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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54
(515,688)
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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544
(72,232)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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503
( 79,628)
Citation
13
Fuqua School of Business Working Paper No. 9807
Number of pages: 51
Posted: 08 May 2000
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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383
(108,711)
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: 24 Mar 2022
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
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120
(321,767)
Abstract:
Columbia Business School Research Paper Forthcoming
Number of pages: 60
Posted: 16 May 2019
Last Revised: 18 Nov 2020
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Directorate General Economics
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320
(132,532)
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 University - Columbia Business School, Finance
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138
(289,566)
Abstract:
asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk
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
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454
(89,993)
Abstract:
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
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430
(95,872)
Abstract:
Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility
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369
(114,224)
Citation
34
FEDS Working Paper No. 2015-53
Number of pages: 65
Posted: 08 Oct 2015
Last Revised: 25 Oct 2015
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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338
(125,094)
Abstract:
VIX, equity premiums, habit, risk aversion, skewness
Number of pages: 82
Posted: 26 Aug 2015
Last Revised: 29 Apr 2019
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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31
(639,698)
Abstract:
habit, volatility premium, non-Gaussian distribution, consumption
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 University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
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361
(116,209)
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 University - Columbia Business School, Finance and Fordham University - Gabelli School of Business
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0
International Yield Co-Movements
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cross-country co-movement, Expected inflation, Inflation Risk Premium, liquidity premium, real yield, Sovereign bonds, Treasuries
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335
(127,022)
Citation
2
Number of pages: 54
Posted: 27 Oct 2012
Last Revised: 28 Feb 2018
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
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255
(167,566)
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 University - Columbia Business School, Finance and European Central Bank (ECB)
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53
(520,190)
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: 16 Mar 2022
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
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27
(668,095)
Abstract:
Downloads
316
(135,013)
Citation
2
Number of pages: 61
Posted: 03 Apr 2020
Last Revised: 17 Mar 2022
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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311
(136,612)
Abstract:
variance risk premium, risk-neutral skewness, non-Gaussian dynamics, bad volatility, VIX, habit
NBER Working Paper No. w27108
Number of pages: 70
Posted: 12 May 2020
Last Revised: 28 Jul 2022
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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5
(874,764)
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 University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
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312
(136,825)
Abstract:
Columbia Business School Research Paper No. 15-71
Number of pages: 81
Posted: 29 Jul 2015
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance and Frankfurt School of Finance & Management
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281
(152,529)
Abstract:
Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice
Columbia Business School Research Paper No. 17-17
Number of pages: 41
Posted: 24 Jan 2017
Last Revised: 12 May 2019
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
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271
(158,270)
Abstract:
Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis
Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 71
Posted: 11 Jan 2019
Last Revised: 21 Jun 2022
Columbia University - Columbia Business School, Finance, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
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270
(158,854)
Abstract:
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, economic uncertainty, return on equity
Columbia Business School Research Paper Forthcoming
Number of pages: 63
Posted: 29 Aug 2019
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School
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269
(159,394)
Abstract:
variance risk, asset pricing, emerging market returns, currency returns
Number of pages: 101
Posted: 05 Mar 2021
Last Revised: 08 Sep 2021
Columbia University - Columbia Business School, Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
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259
(165,655)
Abstract:
Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading
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212
(200,481)
Citation
18
Number of pages: 44
Posted: 09 Oct 2001
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
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179
(233,189)
Abstract:
NBER Working Paper No. w6880
Number of pages: 41
Posted: 08 Feb 1999
Last Revised: 21 Apr 2022
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
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33
(626,660)
Abstract:
Columbia Business School Research Paper Forthcoming
Number of pages: 48
Posted: 24 Aug 2019
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Financial Research
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198
(213,475)
Abstract:
bank risk, security holdings, portfolio rebalancing
Number of pages: 57
Posted: 15 Jan 2021
Last Revised: 09 Mar 2022
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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156
(261,780)
Abstract:
uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk
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 University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
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147
(274,578)
Abstract:
contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account
Columbia Business School Research Paper
Number of pages: 46
Posted: 11 Jun 2021
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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145
(277,565)
Abstract:
business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19
NBER Working Paper No. w6022
Number of pages: 60
Posted: 25 May 2006
Last Revised: 17 Jun 2022
Columbia University - Columbia Business School, Finance and University of Houston
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134
(295,044)
Abstract:
NBER Working Paper No. w4990
Number of pages: 62
Posted: 11 Aug 2000
Last Revised: 17 Apr 2022
Columbia University - Columbia Business School, Finance and Morgan Stanley
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93
(382,813)
Abstract:
Posted: 07 Jul 1998
Geert Bekaert
Columbia University - Columbia Business School, Finance
Abstract:
NBER Working Paper No. w3790
Number of pages: 48
Posted: 28 Dec 2006
Last Revised: 12 May 2022
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
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82
(409,600)
Abstract:
NBER Working Paper No. w15024
Number of pages: 41
Posted: 03 Jun 2009
Last Revised: 22 Jul 2022
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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77
(424,743)
Abstract:
NBER Working Paper No. t0191
Number of pages: 41
Posted: 20 Jul 2000
Last Revised: 12 Jul 2010
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
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68
(454,117)
Abstract:
NBER Working Paper No. w3861
Number of pages: 39
Posted: 10 Jul 2007
Last Revised: 22 Jul 2022
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
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52
(515,803)
Abstract:
Number of pages: 15
Posted: 13 May 2020
Last Revised: 21 Jan 2021
Neoma Business School and Columbia University - Columbia Business School, Finance
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47
(538,145)
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: 20 Feb 2022
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
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38
(596,198)
Abstract:
Posted: 15 Sep 1999
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
Abstract:
NBER Working Paper No. w6147
Number of pages: 65
Posted: 01 Jul 2000
Last Revised: 20 Apr 2022
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
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35
(614,075)
Abstract:
Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
Abstract:
NBER Working Paper No. w5445
Number of pages: 52
Posted: 01 Jul 2000
Last Revised: 20 May 2022
Columbia University - Columbia Business School, Finance and affiliation not provided to SSRN
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29
(636,362)
Abstract:
NBER Working Paper No. w23124
Number of pages: 73
Posted: 07 Feb 2017
Last Revised: 09 Mar 2022
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
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17
(726,544)
Abstract:
NBER Working Paper No. w21236
Number of pages: 79
Posted: 08 Jun 2015
Last Revised: 11 Jul 2022
Columbia University - Columbia Business School, Finance, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
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17
(726,544)
Abstract:
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16
(734,908)
Citation
5
NBER Working Paper No. w4818
Number of pages: 54
Posted: 20 Sep 2010
Last Revised: 03 Mar 2022
Geert Bekaert
Columbia University - Columbia Business School, Finance
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16
(760,430)
Abstract:
REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia University - Columbia Business School, Finance
Abstract:
FEDS Working Paper No. 2014-46
Posted: 09 Jul 2021
affiliation not provided to SSRN , Columbia University - Columbia Business School, Finance, 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 University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Abstract:
Posted: 07 May 2004
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
Posted: 15 Aug 1998
Columbia University - Columbia Business School, Finance and Morgan Stanley
Abstract:
Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics
Abstract:
