Maria Vassalou

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

16

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10,412

SSRN CITATIONS
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SSRN RANKINGS

Top 2,945

in Total Papers Citations

231

CROSSREF CITATIONS

180

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 1,956 (8,322)
Citation 24

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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 1,923 ( 8,734)

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 1,923 (8,560)
Citation 205

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

Default Risk in Equity Returns

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

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 994 (24,263)
Citation 24

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4.
Downloads 947 ( 25,984)
Citation 9

An Investment-Growth Asset Pricing Model

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 919 (26,751)
Citation 10

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Asset pricing, Investment growth

An Investment-Growth Asset Pricing Model

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 (533,658)
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GMM

5.

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

Number of pages: 50 Posted: 22 Jul 2003
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University
Downloads 757 (35,612)
Citation 17

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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 731 (36,782)
Citation 5

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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 678 (41,311)
Citation 12

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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 643 (43,757)
Citation 6

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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 592 (49,434)
Citation 6

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Liquidity, Default, Equity Returns

10.

Corporate Innovation, Price Momentum, and Equity Returns

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 491 (62,628)
Citation 9

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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 325 (101,611)
Citation 2

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12.
Downloads 314 (105,495)

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 314 (104,879)

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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

Number of pages: 39 Posted: 30 Nov 2001
Maria Vassalou
Centre for Economic Policy Research (CEPR)
Downloads 31 (516,142)
Citation 9
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Asset pricing, news, future GDP, GMM

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

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?

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 (508,508)
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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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