Maria Vassalou

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

16

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CITATIONS
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1,148

Scholarly Papers (16)

Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth?

Number of pages: 46 Posted: 18 Apr 1999
Jim Kyung-Soo Liew and Maria Vassalou
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)
Downloads 1,920 (7,399)
Citation 193

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Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth?

Journal of Financial Economics
Posted: 03 Apr 2000
Jim Kyung-Soo Liew and Maria Vassalou
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)

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2.
Downloads 1,888 ( 7,779)

Default Risk in Equity Returns

Number of pages: 59 Posted: 21 Jan 2002
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University
Downloads 1,888 (7,614)
Citation 303

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default risk, equities, Merton's (1974) model, size and book-to-market effects

Default Risk in Equity Returns

Journal of Finance, Forthcoming
Posted: 20 Jul 2003
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University

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default risk, equities, Merton's (1974) model, size and book-to-market effects

3.

Investing in Size and Book-to-Market Portfolios Using Information About the Macroeconomy: Some New Trading Rules

EFMA 2001 Lugano Meetings
Number of pages: 51 Posted: 16 Apr 2001
Michael J. Cooper, Huseyin Gulen and Maria Vassalou
University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management and Centre for Economic Policy Research (CEPR)
Downloads 955 (22,609)
Citation 10

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4.
Downloads 934 ( 23,356)
Citation 10

An Investment-Growth Asset Pricing Model

AFA 2002 Atlanta Meetings
Number of pages: 58 Posted: 21 Jul 2001
Qing Li, Maria Vassalou and Yuhang Xing
Columbia University - Columbia Business School, Centre for Economic Policy Research (CEPR) and Rice University
Downloads 906 (24,052)
Citation 10

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Asset pricing, Investment growth

An Investment-Growth Asset Pricing Model

CEPR Discussion Paper No. 3058
Number of pages: 61 Posted: 11 Dec 2001
Qing Li, Maria Vassalou and Yuhang Xing
Columbia University - Columbia Business School, Centre for Economic Policy Research (CEPR) and Rice University
Downloads 28 (480,905)
Citation 10
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GMM

5.

Equity Returns Following Changes in Default Risk: New Insights into the Informational Content of Credit Ratings

EFA 2003 Annual Conference Paper No. 326
Number of pages: 50 Posted: 22 Jul 2003
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University
Downloads 731 (32,969)
Citation 86

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default risk, Merton's (1974) model, abnormal equity returns, credit rating downgrades/upgrades, size, book-to-market

Sharpe Ratios and Alphas in Continuous Time

Number of pages: 26 Posted: 15 Jul 2003
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)
Downloads 726 (32,779)
Citation 3

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Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management

Sharpe Ratios and Alphas in Continuous Time

Journal of Financial and Quantitative Analysis, Vol. 39, No. 1, pp. 103-114, March 2004
Posted: 15 Jul 2003 Last Revised: 31 Aug 2009
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)

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Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management

7.

News Related to Future GDP Growth as Risk Factors in Equity Returns

Number of pages: 44 Posted: 26 Apr 2000
Maria Vassalou
Centre for Economic Policy Research (CEPR)
Downloads 666 (37,429)
Citation 160

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Asset Pricing, News, Future GDP, GMM

Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

Number of pages: 55 Posted: 22 Feb 2000
Maria Vassalou
Centre for Economic Policy Research (CEPR)
Downloads 632 (39,507)
Citation 108

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Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

Journal of International Money and Finance
Posted: 22 Feb 2000
Maria Vassalou
Centre for Economic Policy Research (CEPR)

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9.

The Relation between Liquidity Risk and Default Risk in Equity Returns

EFA 2006 Zurich Meetings
Number of pages: 72 Posted: 09 Aug 2006
Maria Vassalou, Jing Chen and Lihong Zhou
Centre for Economic Policy Research (CEPR), Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 582 (44,734)
Citation 77

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Liquidity, Default, Equity Returns

10.

Corporate Innovation, Price Momentum, and Equity Returns

EFA 2005 Moscow Meetings Paper
Number of pages: 54 Posted: 07 Feb 2005
Maria Vassalou and Kodjo Apedjinou
Centre for Economic Policy Research (CEPR) and Columbia University - Graduate School of Business
Downloads 482 (56,873)
Citation 5

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Corporate innovation, earnings surprises, price momentum, reversals

11.

Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?

Number of pages: 25 Posted: 30 Mar 2000
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 320 (92,181)
Citation 5

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12.
Downloads 307 ( 96,437)
Citation 14

The Instantaneous Capital Market Line

Number of pages: 20 Posted: 30 May 2005
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)
Downloads 307 (95,914)
Citation 14

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Portfolio optimization, incomplete markets, capital market line, mutual fund separation.

The Instantaneous Capital Market Line

Economic Theory, Vol. 28, No. 3, pp. 651-664, August 2006
Posted: 11 Mar 2006
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)

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Portfolio optimization, incomplete markets, capital market line, mutual fund separation

News Related to Future GDP Growth as a Risk Factor in Equity Returns

CEPR Discussion Paper No. 3057
Number of pages: 39 Posted: 30 Nov 2001
Maria Vassalou
Centre for Economic Policy Research (CEPR)
Downloads 31 (465,303)
Citation 167
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Asset pricing, news, future GDP, GMM

News Related to Future GDP Growth as a Risk Factor in Equity Returns

Journal of Financial Economics, Forthcoming
Posted: 24 Apr 2002
Maria Vassalou
Centre for Economic Policy Research (CEPR)

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asset pricing, news, future GDP, GMM

14.

Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?

CEPR Discussion Paper No. 3056
Number of pages: 39 Posted: 06 Dec 2001
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 30 (458,409)
Citation 7
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Exchange rates, interest rates, bond returns, multi-country models

15.

Tests of Alternative International Asset Pricing Models

Posted: 13 Jul 1998
Maria Vassalou
Centre for Economic Policy Research (CEPR)

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16.

What Does Foreign Inflation Tell Us About Future Domestic Inflation? Evidence from the G7 Countries

Posted: 21 Oct 1997
Maria Vassalou
Centre for Economic Policy Research (CEPR)

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