Michael W. Brandt

Duke University - Fuqua School of Business

1 Towerview Drive

Durham, NC 27708-0120

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 1,090

SSRN RANKINGS

Top 1,090

in Total Papers Downloads

25,850

SSRN CITATIONS
Rank 438

SSRN RANKINGS

Top 438

in Total Papers Citations

686

CROSSREF CITATIONS

1,244

Scholarly Papers (41)

1.
Downloads 3,778 ( 2,751)
Citation 36

On the Timing and Pricing of Dividends

CRSP Working Paper
Number of pages: 38 Posted: 12 Feb 2010 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 3,307 (3,381)
Citation 13

Abstract:

Loading...

Equity Risk Premium, Pricing Dividends, Trading Dividends, Return Predictability

On the Timing and Pricing of Dividends

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 16 Mar 2011 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 298 (110,063)
Citation 41

Abstract:

Loading...

Dividend Strips, Equity Risk Premium, Term Structure of Equity

On the Timing and Pricing of Dividends

MFI Working Paper No. 210-010
Number of pages: 49 Posted: 17 Nov 2010 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 139 (225,940)
Citation 1

Abstract:

Loading...

Equity risk premium, dividend strips, excess volatility

On the Timing and Pricing of Dividends

NBER Working Paper No. w16455
Number of pages: 52 Posted: 18 Oct 2010
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 34 (496,122)

Abstract:

Loading...

2.
Downloads 2,484 ( 5,603)
Citation 11

Distilling the Macroeconomic News Flow

Number of pages: 48 Posted: 20 Feb 2013 Last Revised: 21 Mar 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 2,454 (5,609)
Citation 1

Abstract:

Loading...

macroeconomic news, nowcasting, disagreement

Distilling the Macroeconomic News Flow

NBER Working Paper No. w19650
Number of pages: 47 Posted: 16 Nov 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 23 (561,412)

Abstract:

Loading...

Distilling the Macroeconomic News Flow

CEPR Discussion Paper No. DP9360
Number of pages: 46 Posted: 26 Feb 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 7 (677,589)
Citation 5
  • Add to Cart

Abstract:

Loading...

disagreement., macroeconomic news, nowcasting

3.
Downloads 2,460 ( 5,694)
Citation 7

Optimal Asset Allocation in Asset Liability Management

EFA 2007 Ljubljana Meetings Paper
Number of pages: 37 Posted: 15 Mar 2006
Jules H. van Binsbergen and Michael W. Brandt
University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 2,318 (6,174)
Citation 5

Abstract:

Loading...

Dynamic portfolio choice, pension plans

NBER Working Paper No. w12970
Number of pages: 38 Posted: 15 Mar 2007 Last Revised: 15 Jun 2020
Jules H. van Binsbergen and Michael W. Brandt
University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 142 (222,007)
Citation 1

Abstract:

Loading...

Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns

Number of pages: 48 Posted: 05 Mar 2013 Last Revised: 21 Nov 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 2,177 (6,849)
Citation 2

Abstract:

Loading...

stock market predictability, state of the economy, macroeconomic uncertainty

Economic Cycles and Expected Stock Returns

CEPR Discussion Paper No. DP9528
Number of pages: 50 Posted: 02 Jul 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 11 (647,336)
  • Add to Cart

Abstract:

Loading...

macroeconomic uncertainty, state of the economy, stock market predictability

5.
Downloads 1,638 ( 11,232)
Citation 45

Optimal Decentralized Investment Management

EFA 2006 Zurich Meetings
Number of pages: 68 Posted: 02 Mar 2006
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 1,523 (12,288)
Citation 3

Abstract:

Loading...

Decentralized investment management, performance benchmark

Optimal Decentralized Investment Management

NBER Working Paper No. w12144
Number of pages: 61 Posted: 18 May 2006 Last Revised: 08 Sep 2010
Duke University - Fuqua School of Business, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 115 (261,361)
Citation 4

Abstract:

Loading...

6.

Earnings Announcements are Full of Surprises

Number of pages: 37 Posted: 19 Jun 2006 Last Revised: 25 Feb 2008
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 1,543 (12,268)
Citation 10

Abstract:

Loading...

post-earnings announcement drift, market efficiency, under-reaction, non-earnings accounting information

What Does Equity Sector Orderflow Tell Us About the Economy?

Number of pages: 44 Posted: 21 Jun 2008
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 573 (50,441)
Citation 1

Abstract:

Loading...

orderflow, macroeconomy, sector rotation, style investing, asset allocation

What Does Equity Sector Orderflow Tell Us About the Economy?

AFA 2010 Atlanta Meetings Paper
Number of pages: 61 Posted: 23 Mar 2009 Last Revised: 05 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 387 (81,787)
Citation 7

Abstract:

Loading...

What Does Equity Sector Orderflow Tell Us about the Economy?

EFA 2009 Bergen Meetings Paper
Number of pages: 51 Posted: 17 Feb 2009
Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt
Cass Business School, Phoenix Rising Advisory and Duke University - Fuqua School of Business
Downloads 120 (253,243)
Citation 2

Abstract:

Loading...

What Does Equity Sector Orderflow Tell Us About the Economy?

NBER Working Paper No. w16534
Number of pages: 62 Posted: 22 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 40 (467,640)

Abstract:

Loading...

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

McCombs Research Paper Series No. FIN-02-09
Number of pages: 57 Posted: 09 Jun 2008 Last Revised: 18 Jan 2009
Michael W. Brandt, Alon Brav, John R. Graham and Alok Kumar
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Miami - Miami Herbert Business School
Downloads 1,025 (22,561)
Citation 75

Abstract:

Loading...

Idiosyncratic volatility, stock market bubbles, retail investors, speculation, stock splits

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

The Review of Financial Studies, Vol. 23, Issue 2, pp. 863-899, 2009
Posted: 01 Feb 2010
Michael W. Brandt, Alon Brav, John R. Graham and Alok Kumar
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Miami - Miami Herbert Business School

Abstract:

Loading...

G11, G12, G14

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

Number of pages: 39 Posted: 20 Jun 2013 Last Revised: 23 Nov 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 704 (38,345)
Citation 1

Abstract:

Loading...

sovereign yield spread, real-time economic growth

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

CEPR Discussion Paper No. DP9538
Number of pages: 47 Posted: 09 Jul 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 6 (685,288)
  • Add to Cart

Abstract:

Loading...

real-time economic growth, sovereign yield spread

10.

Dynamic Portfolio Choice: A Simulation Approach

Number of pages: 43 Posted: 05 Jun 2001
Michael W. Brandt, Amit Goyal and Pedro Santa-Clara
Duke University - Fuqua School of Business, University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 699 (39,282)
Citation 8

Abstract:

Loading...

11.
Downloads 650 ( 43,329)
Citation 4

Range-Based Estimation of Stochastic Volatility Models

PIER Working Paper No. 01-007
Number of pages: 65 Posted: 02 May 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 650 (42,701)
Citation 4

Abstract:

Loading...

Range-Based Estimation of Stochastic Volatility Models

Journal of Finance, Vol. 57, pp. 1047-1091, 2002
Posted: 04 Sep 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Abstract:

Loading...

12.
Downloads 607 ( 47,410)
Citation 29

Variable Selection for Portfolio Choice

Rodney L. White Center for Financial Research Working Paper No. 21-00
Number of pages: 71 Posted: 12 Mar 2001
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 547 (53,463)
Citation 29

Abstract:

Loading...

Variable Selection for Portfolio Choice

NBER Working Paper No. w8127
Number of pages: 70 Posted: 18 Feb 2001 Last Revised: 21 Oct 2010
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 60 (390,433)

Abstract:

Loading...

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Number of pages: 37 Posted: 17 Mar 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 476 (63,839)
Citation 60

Abstract:

Loading...

flight-to-quality, flight-to-liquidity, net order flow

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

NBER Working Paper No. w12376
Number of pages: 38 Posted: 26 Jul 2006 Last Revised: 28 Sep 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 46 (441,853)
Citation 7

Abstract:

Loading...

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

The Review of Financial Studies, Vol. 22, Issue 3, pp. 925-957, 2009
Posted: 17 Mar 2009
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory

Abstract:

Loading...

G10, G12

Dynamic Portfolio Selection by Augmenting the Asset Space

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 07 Mar 2004
Michael W. Brandt and Pedro Santa-Clara
Duke University - Fuqua School of Business and New University of Lisbon - Nova School of Business and Economics
Downloads 424 (73,514)
Citation 6

Abstract:

Loading...

Dynamic portfolio choice, asset allocation, mean variance, Markowitz

Dynamic Portfolio Selection by Augmenting the Asset Space

NBER Working Paper No. w10372
Number of pages: 39 Posted: 30 Mar 2004
Pedro Santa-Clara and Michael W. Brandt
New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 69 (362,571)
Citation 4

Abstract:

Loading...

15.
Downloads 448 ( 69,396)

Can Hedge Funds Time the Market?

Number of pages: 11 Posted: 19 Jun 2017 Last Revised: 19 Oct 2017
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 448 (68,735)

Abstract:

Loading...

nowcasting, business cycle, hedge funds, market timing

Can Hedge Funds Time the Market?

International Review of Finance, Vol. 19, Issue 2, pp. 459-469, 2019
Number of pages: 11 Posted: 26 May 2020
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 0
  • Add to Cart

Abstract:

Loading...

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

EFA 2005 Moscow Meetings Paper
Number of pages: 49 Posted: 23 Jun 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 350 (92,055)
Citation 1

Abstract:

Loading...

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

NBER Working Paper No. w10996
Number of pages: 50 Posted: 19 Jan 2005 Last Revised: 20 Jul 2010
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 76 (343,208)
Citation 28

Abstract:

Loading...

Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3411-3447, 2009
Posted: 08 Sep 2009
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

Loading...

G11, G12

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

AFA 2007 Chicago Meetings Paper
Number of pages: 36 Posted: 14 Mar 2006
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 385 (82,304)

Abstract:

Loading...

Macroeconomic uncertainty, implied volatility

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

NBER Working Paper No. w12270
Number of pages: 37 Posted: 08 Jun 2006 Last Revised: 13 Jul 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 34 (496,122)
Citation 2

Abstract:

Loading...

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Review of Finance, Vol. 13, No. 1, pp. 1-45, 2009
Posted: 17 Jan 2009
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business

Abstract:

Loading...

18.
Downloads 392 ( 81,272)
Citation 2

Switching Risk Off: FX Correlations and Risk Premia

Number of pages: 69 Posted: 12 Oct 2014
Alessandro Beber, Michael W. Brandt and Jason Cen
Cass Business School, Duke University - Fuqua School of Business and University of Exeter Business School
Downloads 392 (80,548)
Citation 3

Abstract:

Loading...

Risk-Off, Correlation, Currency Risk Premia

Switching Risk Off: FX Correlations and Risk Premia

CEPR Discussion Paper No. DP10214
Number of pages: 72 Posted: 21 Oct 2014
Alessandro Beber, Michael W. Brandt and Jason Cen
Cass Business School, Duke University - Fuqua School of Business and University of Exeter Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

currency risk premia, FX correlation, risk-off

Time-Consistent No-Arbitrage Models of the Term Structure

Eleventh Annual Utah Winter Conference
Number of pages: 48 Posted: 27 Feb 2001
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 345 (93,542)
Citation 4

Abstract:

Loading...

Time-Consistent No-Arbitrage Models of the Term Structure

NBER Working Paper No. w9458
Number of pages: 38 Posted: 31 Jan 2003 Last Revised: 10 Feb 2003
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 38 (476,710)

Abstract:

Loading...

20.

Asset Allocation and Managerial Assumptions in Corporate Pension Plans

Number of pages: 60 Posted: 18 Nov 2010
Jawad M. Addoum, Jules H. van Binsbergen and Michael W. Brandt
Cornell University, University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 374 (85,951)
Citation 9

Abstract:

Loading...

Asset Allocation, Managerial Assumptions, Pensions, Regulations

21.

Price Discovery in the Treasury Futures Market

Number of pages: 36 Posted: 19 Nov 2006
Michael W. Brandt, Shane Underwood and Kenneth A. Kavajecz
Duke University - Fuqua School of Business, Baylor University and Phoenix Rising Advisory
Downloads 335 (97,321)
Citation 12

Abstract:

Loading...

price discovery, futures, order flow

Consumption and Portfolio Choice with Option-Implied State Prices

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 26 Feb 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 234 (141,519)

Abstract:

Loading...

Portfolio problem, martingale representation

Consumption and Portfolio Choice with Option-Implied State Prices

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 1 Posted: 13 Oct 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 54 (411,295)

Abstract:

Loading...

Consumption and Portfolio Choice with Option-Implied State Prices

NBER Working Paper No. w13854
Number of pages: 48 Posted: 19 Mar 2008 Last Revised: 01 Apr 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 35 (491,082)

Abstract:

Loading...

23.

Time-Varying Risk Aversion and Unexpected Inflation

Journal of Monetary Economics, Vol. 50, 2003
Number of pages: 42 Posted: 08 Feb 2009 Last Revised: 10 Feb 2009
Michael W. Brandt and Kevin Q. Wang
Duke University - Fuqua School of Business and University of Toronto - Joseph L. Rotman School of Management
Downloads 291 (113,517)
Citation 12

Abstract:

Loading...

24.

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think

Wharton FIC Working Paper No. 00-28
Number of pages: 50 Posted: 20 Nov 2000
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 275 (120,542)
Citation 52

Abstract:

Loading...

25.

Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data

Number of pages: 36 Posted: 23 Feb 2006
Michael W. Brandt and Ping He
Duke University - Fuqua School of Business and Tsinghua University, SEM
Downloads 270 (122,800)
Citation 11

Abstract:

Loading...

Term Structure, State-Space Representation, Importance Sampling, Simulated Likelihood

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

Rodney L. White Center for Financial Research Working Paper No. 14-02
Number of pages: 38 Posted: 02 Dec 2002
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 219 (151,087)
Citation 2

Abstract:

Loading...

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

NBER Working Paper No. w9529
Number of pages: 39 Posted: 03 Mar 2003 Last Revised: 31 Oct 2010
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 49 (429,889)
Citation 5

Abstract:

Loading...

27.

On the Timing and Pricing of Dividends: Web Appendix

Number of pages: 17 Posted: 09 Oct 2011
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 264 (125,812)
Citation 1

Abstract:

Loading...

28.

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (Second Version)

PIER Working Paper No. 03-013
Number of pages: 21 Posted: 04 Jun 2003
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 245 (135,761)
Citation 18

Abstract:

Loading...

Range-based Estimation, Volatility, Covariance, Correlation, Absence of Arbitrage, Exchange Rates, Stock Returns, Bond returns, Bid-ask Bounce, Asynchronous Trading

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

EFA 2003 Annual Conference Paper No. 614, Rodney L. White Center for Financial Research Working Paper No. 10-03
Number of pages: 43 Posted: 24 Jul 2003
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 165 (195,706)

Abstract:

Loading...

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

NBER Working Paper No. w9914
Number of pages: 42 Posted: 29 Aug 2003 Last Revised: 04 Nov 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 29 (523,273)
Citation 6

Abstract:

Loading...

30.

Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States

Simon Business School Working Paper No. FR 03-24
Number of pages: 38 Posted: 22 Aug 2003
Michael W. Brandt, Qi Zeng and Lu Zhang
Duke University - Fuqua School of Business, University of Melbourne - Department of Finance and Ohio State University - Fisher College of Business
Downloads 186 (176,097)
Citation 21

Abstract:

Loading...

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

CFS Working Paper No. 2004/07
Number of pages: 37 Posted: 26 Jan 2005
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 141 (223,321)
Citation 1

Abstract:

Loading...

Range-based estimation, volatility, covariance, correlation, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

NBER Working Paper No. w9664
Number of pages: 16 Posted: 04 May 2003
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 42 (458,706)
Citation 3

Abstract:

Loading...

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 47 Posted: 31 Jul 2018 Last Revised: 09 Feb 2019
Cass Business School, Duke University - Fuqua School of Business, University of Exeter Business School and Phoenix Rising Advisory
Downloads 129 (239,765)
Citation 1

Abstract:

Loading...

mutual funds, performance evaluation, benchmarks, constraints, active manager skill

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 23 Posted: 22 Jul 2013
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 12 (639,835)

Abstract:

Loading...

portfolio choice, investment decisions

33.

Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil

Journal of Empirical Finance, vol. 51, pp.64-94, 2019
Number of pages: 61 Posted: 21 Feb 2019 Last Revised: 07 Mar 2019
Michael W. Brandt and Lin Gao
Duke University - Fuqua School of Business and Universite du Luxembourg
Downloads 124 (246,029)
Citation 1

Abstract:

Loading...

Crude Oil, News Analytics, Sentiment, Information

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934
Number of pages: 50 Posted: 15 Dec 2004 Last Revised: 14 Aug 2009
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 94 (300,599)
Citation 20

Abstract:

Loading...

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005
Posted: 29 Feb 2008
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

Loading...

time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

Linear Approximations and Tests of Conditional Pricing Models

Number of pages: 57 Posted: 09 Mar 2006 Last Revised: 22 Jun 2017
Michael W. Brandt and David A. Chapman
Duke University - Fuqua School of Business and McIntire School, University of Virginia
Downloads 57 (400,646)
Citation 1

Abstract:

Loading...

Linear Approximations and Tests of Conditional Pricing Models

NBER Working Paper No. w12513
Number of pages: 51 Posted: 21 Sep 2006 Last Revised: 11 Sep 2010
Michael W. Brandt and David A. Chapman
Duke University - Fuqua School of Business and McIntire School, University of Virginia
Downloads 29 (523,273)

Abstract:

Loading...

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

NBER Working Paper No. w9056
Number of pages: 51 Posted: 11 Jul 2002 Last Revised: 19 Jul 2002
Qiang Kang and Michael W. Brandt
The University of Hong Kong - School of Economics and Finance and Duke University - Fuqua School of Business
Downloads 64 (377,546)
Citation 15

Abstract:

Loading...

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

Rodney L. White Center for Financial Research Working Paper No. 12-02
Posted: 10 Aug 2002
Qiang Kang and Michael W. Brandt
The University of Hong Kong - School of Economics and Finance and Duke University - Fuqua School of Business

Abstract:

Loading...

37.

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

NBER Working Paper No. w8162
Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 05 Oct 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 62 (378,843)

Abstract:

Loading...

38.

International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)

NBER Working Paper No. w8404
Number of pages: 34 Posted: 29 Jul 2001 Last Revised: 09 Sep 2002
Michael W. Brandt, John H. Cochrane and Pedro Santa-Clara
Duke University - Fuqua School of Business, Hoover Institution and New University of Lisbon - Nova School of Business and Economics
Downloads 46 (433,757)
Citation 1

Abstract:

Loading...

39.

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

NBER Working Paper No. t0274
Number of pages: 57 Posted: 26 Aug 2001 Last Revised: 23 Mar 2002
Pedro Santa-Clara and Michael W. Brandt
New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 40 (457,969)
Citation 5

Abstract:

Loading...

40.

When it Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News On Bond Returns in Expansions and Recessions

Review of Finance, Vol. 14, Issue 1, pp. 119-155, 2010
Posted: 25 Jan 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business

Abstract:

Loading...

E43, E44, G12

41.

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

Journal of Finance, Vol. 54, No. 5, October 1999
Posted: 19 Apr 1999
Michael W. Brandt
Duke University - Fuqua School of Business

Abstract:

Loading...