Geert Bekaert

Columbia University - Columbia Business School, Finance

NY

United States

SCHOLARLY PAPERS

97

DOWNLOADS
Rank 217

SSRN RANKINGS

Top 217

in Total Papers Downloads

91,452

SSRN CITATIONS
Rank 28

SSRN RANKINGS

Top 28

in Total Papers Citations

4,520

CROSSREF CITATIONS

6,214

Scholarly Papers (97)

1.
Downloads 5,188 ( 2,286)
Citation 9

Emerging Equity Markets in a Globalizing World

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 09 Apr 2017
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 4,952 (2,475)
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 Globalizing World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 29 Posted: 08 Jul 2014
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 236 (180,736)
Citation 2

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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 3,410 (4,659)
Citation 17

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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: 10 Mar 2022
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 118 (325,647)
Citation 22

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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 (707,999)
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 3,408 ( 4,764)
Citation 125

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 3,359 (4,774)
Citation 21

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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: 14 Mar 2021
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 49 (538,714)
Citation 19

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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 3,210 (5,270)
Citation 61

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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

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 2,854 (6,284)
Citation 2

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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 191 (220,368)
Citation 25

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

6.
Downloads 2,988 ( 5,949)
Citation 100

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 2,461 (7,927)
Citation 92

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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: 06 Jun 2021
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 527 (74,364)

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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 2,279 (8,954)
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 Apr 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 384 (108,381)
Citation 3

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8.
Downloads 2,479 ( 7,987)
Citation 32

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 2,145 (9,897)
Citation 33

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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 Apr 2022
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads 334 (126,747)

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9.
Downloads 2,390 ( 8,450)
Citation 122

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 1,791 (13,257)
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 348 (121,077)
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 207 (204,903)
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 2022
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 44 (563,596)
Citation 37

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10.
Downloads 2,363 ( 8,569)
Citation 230

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 2,095 (10,277)
Citation 8

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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 96 (375,041)
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

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 82 (413,753)
Citation 12

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

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (490,632)
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 2022
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 26 (675,683)

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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 (887,028)
Citation 70
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

11.
Downloads 2,326 ( 8,796)
Citation 85

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 2,188 (9,550)
Citation 2

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 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
Downloads 132 (299,604)

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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 (863,426)
Citation 34
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

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 1,878 (12,268)
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 173 (240,291)

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Downloads 2,002 ( 11,337)
Citation 13

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 1,870 (12,364)
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 123 (316,061)
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 2022
Geert Bekaert and George Panayotov
Columbia University - Columbia Business School, Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 8 (841,349)

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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 (931,525)
Citation 5
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currency carry trade, currency risk factors, predictability

14.
Downloads 1,936 ( 11,920)
Citation 156

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 1,515 (17,162)
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: 02 May 2021
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 399 (103,681)
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 (707,999)
Citation 17
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15.
Downloads 1,912 ( 12,160)
Citation 41

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 1,870 (12,364)
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 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 39 (590,586)
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 (900,127)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

16.

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

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
Downloads 1,667 (15,127)
Citation 3

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ESG, SDG, asset management, fiduciary duty, alpha, sustainable investing, risk factors

17.
Downloads 1,660 ( 15,221)
Citation 1

Currency Factors

Management Science forthcoming
Number of pages: 47 Posted: 23 Aug 2017 Last Revised: 10 Jun 2021
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia University - Columbia Business School, Finance
Downloads 1,634 (15,309)
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 2022
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia University - Columbia Business School, Finance
Downloads 26 (675,683)

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Currency Factors

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

18.
Downloads 1,644 ( 15,452)
Citation 136

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 1,533 (16,875)
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 75 (435,916)
Citation 22

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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 (608,000)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

19.
Downloads 1,604 ( 16,015)
Citation 36

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 1,264 (22,545)
Citation 3

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

Flights to Safety

Columbia Business School Research Paper No. 18-58
Number of pages: 75 Posted: 19 Jul 2018 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 139 (287,977)
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 104 (355,841)
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 78 (426,204)
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 19 (733,493)
Citation 8

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20.
Downloads 1,602 ( 16,044)
Citation 29

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 1,219 (23,816)
Citation 20

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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 383 (108,711)
Citation 2

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21.
Downloads 1,574 ( 16,487)
Citation 274

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 1,429 (18,712)
Citation 53

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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 145 (278,456)
Citation 31

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22.

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 1,566 (16,609)
Citation 40

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

23.
Downloads 1,438 ( 18,890)
Citation 28

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 1,196 (24,474)
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 88 (396,387)

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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 70 (452,908)
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 43 (568,835)
Citation 1

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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 2022
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 36 (608,000)
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)
Downloads 5 (874,764)
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contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration

24.
Downloads 1,426 ( 19,143)
Citation 17

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 1,377 (19,790)
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 Jun 2022
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 49 (538,714)
Citation 10

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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 1,215 (23,933)
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: 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
Downloads 42 (574,161)
Citation 3

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26.

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 1,235 (23,743)
Citation 35

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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

27.
Downloads 1,230 ( 23,879)
Citation 189

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 1,146 (26,013)
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: 27 Jun 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 84 (407,852)
Citation 24

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28.
Downloads 1,222 ( 24,132)
Citation 49

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 1,049 (29,631)
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 173 (240,291)

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29.
Downloads 1,146 ( 26,428)
Citation 13

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 1,060 (29,197)
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 86 (402,108)
Citation 1

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30.
Downloads 1,142 ( 26,580)
Citation 88

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 1,051 (29,553)
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 91 (388,132)
Citation 11

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31.
Downloads 1,104 ( 27,975)
Citation 21

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 1,046 (29,767)
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: 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
Downloads 58 (498,748)
Citation 9

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32.
Downloads 1,084 ( 28,673)
Citation 60

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 1,024 (30,664)
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: 11 May 2022
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 60 (490,632)
Citation 3

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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 991 (32,105)
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 63 (478,621)
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: 06 Aug 2022
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 24 (691,437)

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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

CEPR Discussion Paper No. DP8150
Number of pages: 52 Posted: 27 Dec 2010
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 2 (914,864)
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

34.
Downloads 1,065 ( 29,401)
Citation 32

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 901 (36,747)
Citation 8

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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 98 (370,226)
Citation 10

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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 66 (467,198)

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35.
Downloads 1,021 ( 31,255)
Citation 77

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 843 (40,303)
Citation 21

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 09 Apr 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 178 (234,375)
Citation 7

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36.
Downloads 957 ( 34,245)
Citation 30

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 898 (36,928)

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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: 25 Mar 2022
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 59 (494,648)

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37.
Downloads 868 ( 39,297)
Citation 495

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 780 (44,729)
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: 28 Mar 2021
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 88 (396,387)
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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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 853 (40,212)
Citation 4

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

39.
Downloads 848 ( 40,516)
Citation 40

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 766 (45,817)
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: 30 May 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 52 (524,717)
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 (646,573)
Citation 5
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

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 448 (90,588)
Citation 3

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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 391 (106,117)
Citation 23

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

41.

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 830 (41,742)
Citation 8

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

42.

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 782 (45,200)
Citation 6

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

43.
Downloads 758 ( 47,135)
Citation 7

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 685 (53,230)
Citation 1

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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 50 (534,039)
Citation 6

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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: 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
Downloads 23 (699,479)

Abstract:

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44.
Downloads 757 ( 47,212)
Citation 5

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 518 (76,005)

Abstract:

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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 85 (404,907)

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

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 79 (422,967)

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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 75 (435,916)
Citation 2

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

45.
Downloads 720 ( 50,431)
Citation 79

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 646 (57,368)
Citation 82

Abstract:

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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 Apr 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 74 (439,250)

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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 719 (50,533)
Citation 3

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

47.
Downloads 705 ( 51,902)
Citation 80

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 625 (59,889)

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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 80 (419,860)
Citation 11

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48.
Downloads 689 ( 53,506)
Citation 87

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 633 (58,876)
Citation 3

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Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000 Last Revised: 18 Apr 2021
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 56 (507,097)
Citation 7

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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 566 (67,981)
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 64 (474,773)
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 6 (863,426)
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 527 (74,364)
Citation 1

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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 90 (390,871)
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 371 (112,644)
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 234 (182,233)
Citation 34

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52.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 80 Posted: 15 May 2020 Last Revised: 19 Aug 2021
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 602 (63,739)
Citation 24

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

53.
Downloads 590 ( 65,230)
Citation 69

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 461 (87,627)

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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 55 (511,340)

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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: 27 Jun 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 44 (563,596)

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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 (646,573)
Citation 13
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Monetary policy, inflation target, term structure of interest rates, Phillips curve

54.
Downloads 566 ( 68,757)
Citation 94

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 490 (81,426)
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: 20 Jun 2022
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 41 (579,593)
Citation 2

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Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Rice University
Downloads 35 (614,075)
Citation 27
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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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55.
Downloads 563 ( 69,196)
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 563 (68,418)
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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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
Downloads 563 (69,196)
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.
Downloads 560 ( 69,655)
Citation 24

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 500 (79,424)

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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 60 (490,632)
Citation 3

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58.
Downloads 552 ( 70,971)
Citation 35

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 498 (79,846)
Citation 42

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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: 18 May 2022
Columbia University - Columbia Business School, Finance, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 54 (515,688)

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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 544 (72,232)
Citation 8

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

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 383 (108,711)
Citation 17

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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: 24 Mar 2022
Geert Bekaert and Campbell R. Harvey
Columbia University - Columbia Business School, Finance and Duke University - Fuqua School of Business
Downloads 120 (321,767)

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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 320 (132,532)

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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 138 (289,566)

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

62.

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 454 (89,993)
Citation 3

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63.

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 430 (95,872)
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 338 (125,094)
Citation 34

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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 31 (639,698)
Citation 1

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habit, volatility premium, non-Gaussian distribution, consumption

65.
Downloads 361 (117,045)

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 361 (116,209)
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

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 255 (167,566)

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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 53 (520,190)
Citation 2

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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 2022
Geert Bekaert and Alexander A. Popov
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 27 (668,095)

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67.
Downloads 316 (135,013)
Citation 2

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 311 (136,612)

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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: 28 Jul 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 5 (874,764)
Citation 2

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68.

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 312 (136,825)
Citation 4

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69.

An Anatomy of Central and Eastern European Equity Markets

Columbia Business School Research Paper No. 15-71
Number of pages: 81 Posted: 29 Jul 2015
Lieven Baele, Geert Bekaert and Larissa Schäfer
Tilburg University - Department of Finance, Columbia University - Columbia Business School, Finance and Frankfurt School of Finance & Management
Downloads 281 (152,529)
Citation 2

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

70.

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

Columbia Business School Research Paper No. 17-17
Number of pages: 41 Posted: 24 Jan 2017 Last Revised: 12 May 2019
Geert Bekaert and Arnaud Mehl
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 271 (158,270)
Citation 4

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

71.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 71 Posted: 11 Jan 2019 Last Revised: 21 Jun 2022
Geert Bekaert, Xue Wang and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 270 (158,854)

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return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, economic uncertainty, return on equity

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 269 (159,394)

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

73.

The China-U.S. Equity Valuation Gap

Number of pages: 101 Posted: 05 Mar 2021 Last Revised: 08 Sep 2021
Geert Bekaert, Shuojia Ke and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 259 (165,655)
Citation 1

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Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading

Conditioning Information and Variance Bounds on Pricing Kernels

Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 179 (233,189)
Citation 19

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Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999 Last Revised: 21 Apr 2022
Geert Bekaert and Jun Liu
Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads 33 (626,660)

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75.

The (Re)allocation of Bank Risk

Columbia Business School Research Paper Forthcoming
Number of pages: 48 Posted: 24 Aug 2019
Geert Bekaert and Johannes Breckenfelder
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Financial Research
Downloads 198 (213,475)
Citation 4

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bank risk, security holdings, portfolio rebalancing

76.

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

Number of pages: 57 Posted: 15 Jan 2021 Last Revised: 09 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 156 (261,780)

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

77.

The Global Crisis and Equity Market Contagion

DIW Berlin Discussion Paper No. 1352, Columbia Business School Research Paper No. 14-26
Number of pages: 64 Posted: 30 Jan 2014 Last Revised: 15 Sep 2014
Columbia University - Columbia Business School, Finance, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 147 (274,578)
Citation 43

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

78.

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

Columbia Business School Research Paper
Number of pages: 46 Posted: 11 Jun 2021
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 145 (277,565)

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business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19

79.

Asymmetric Volatility and Risk in Equity Markets

NBER Working Paper No. w6022
Number of pages: 60 Posted: 25 May 2006 Last Revised: 17 Jun 2022
Geert Bekaert and Guojun Wu
Columbia University - Columbia Business School, Finance and University of Houston
Downloads 134 (295,044)
Citation 18

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Diversification, Integration and Emerging Market Closed-End Funds

NBER Working Paper No. w4990
Number of pages: 62 Posted: 11 Aug 2000 Last Revised: 17 Apr 2022
Geert Bekaert and Michael S. Urias
Columbia University - Columbia Business School, Finance and Morgan Stanley
Downloads 93 (382,813)
Citation 3

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Diversification, Integration and Emerging Market Closed-End Funds

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

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81.

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

NBER Working Paper No. w3790
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 12 May 2022
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 82 (409,600)
Citation 7

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82.

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

NBER Working Paper No. w15024
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 22 Jul 2022
Geert Bekaert and Eric Engstrom
Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
Downloads 77 (424,743)

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83.

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

NBER Working Paper No. t0191
Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 12 Jul 2010
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago
Downloads 68 (454,117)
Citation 9

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84.

On Biases in the Measurement of Foreign Exchange Risk Premiums

NBER Working Paper No. w3861
Number of pages: 39 Posted: 10 Jul 2007 Last Revised: 22 Jul 2022
Geert Bekaert and Robert J. Hodrick
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 52 (515,803)
Citation 2

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85.

Online Appendix for 'Currency Factors'

Number of pages: 15 Posted: 13 May 2020 Last Revised: 21 Jan 2021
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia University - Columbia Business School, Finance
Downloads 47 (538,145)

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Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

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
Downloads 38 (596,198)

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The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

Posted: 15 Sep 1999
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

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"Peso Problem" Explanations for Term Structure Anomalies

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
Downloads 35 (614,075)
Citation 10

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'Peso Problem' Explanations for Term Structure Anomalies

Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

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88.

Target Zones and Exchange Rates: An Empirical Investigation

NBER Working Paper No. w5445
Number of pages: 52 Posted: 01 Jul 2000 Last Revised: 20 May 2022
Geert Bekaert and Stephen Gray
Columbia University - Columbia Business School, Finance and affiliation not provided to SSRN
Downloads 29 (636,362)
Citation 1

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89.

On the Global Financial Market Integration “Swoosh” and the Trilemma

NBER Working Paper No. w23124
Number of pages: 73 Posted: 07 Feb 2017 Last Revised: 09 Mar 2022
Geert Bekaert and Arnaud Mehl
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 17 (726,544)
Citation 4

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90.

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

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
Downloads 17 (726,544)

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The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

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
Downloads 16 (760,430)
Citation 5

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The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia University - Columbia Business School, Finance

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92.

Flights to Safety

FEDS Working Paper No. 2014-46
Posted: 09 Jul 2021
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
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

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93.

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

FEDS Working Paper No. 2006-15
Posted: 08 Jul 2021
Andrew Ang, Geert Bekaert and Min Wei
affiliation not provided to SSRN, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System

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94.

How Regimes Affect Asset Allocation?

Posted: 07 May 2004
Geert Bekaert and Andrew Ang
Columbia University - Columbia Business School, Finance and BlackRock, Inc

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Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation

95.

Is There a Free Lunch in Emerging Market Equities?

Posted: 15 Aug 1998
Geert Bekaert and Michael S. Urias
Columbia University - Columbia Business School, Finance and Morgan Stanley

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96.

The Contribution of Speculators to Effective Financial Markets

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

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97.

The Role of Capital Markets in Economic Growth

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

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