Maria Vassalou

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 3,730

SSRN RANKINGS

Top 3,730

in Total Papers Downloads

10,229

CITATIONS
Rank 2,367

SSRN RANKINGS

Top 2,367

in Total Papers Citations

325

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 1,921 (7,501)
Citation 11

Abstract:

Loading...

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)

Abstract:

Loading...

2.
Downloads 1,894 ( 7,853)

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 1,894 (7,687)
Citation 21

Abstract:

Loading...

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

Abstract:

Loading...

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 961 (22,744)
Citation 19

Abstract:

Loading...

4.
Downloads 936 ( 23,642)
Citation 6

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 908 (24,327)
Citation 6

Abstract:

Loading...

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 (487,679)
  • Add to Cart

Abstract:

Loading...

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 736 (33,120)
Citation 14

Abstract:

Loading...

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 (33,221)
Citation 1

Abstract:

Loading...

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)

Abstract:

Loading...

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 668 (37,758)
Citation 11

Abstract:

Loading...

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 (40,090)
Citation 1

Abstract:

Loading...

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)

Abstract:

Loading...

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 (45,365)
Citation 3

Abstract:

Loading...

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 483 (57,485)
Citation 4

Abstract:

Loading...

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 321 (93,005)
Citation 1

Abstract:

Loading...

12.
Downloads 308 ( 97,338)

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 308 (96,792)

Abstract:

Loading...

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)

Abstract:

Loading...

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 (471,792)
Citation 2
  • Add to Cart

Abstract:

Loading...

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)

Abstract:

Loading...

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 (464,700)
Citation 1
  • Add to Cart

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...