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

39

DOWNLOADS
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Top 882

in Total Papers Downloads

23,269

CITATIONS
Rank 320

SSRN RANKINGS

Top 320

in Total Papers Citations

1,279

Scholarly Papers (39)

1.
Downloads 3,452 ( 2,185)
Citation 13

On the Timing and Pricing of Dividends

CRSP Working Paper, Chicago Booth Research Paper No. 10-30, Swiss Finance Institute Research Paper No. 11-13
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 New York University (NYU) - Department of Finance
Downloads 3,021 (2,750)
Citation 12

Abstract:

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 New York University (NYU) - Department of Finance
Downloads 271 (94,057)
Citation 12

Abstract:

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 New York University (NYU) - Department of Finance
Downloads 133 (183,506)
Citation 13

Abstract:

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 New York University (NYU) - Department of Finance
Downloads 27 (428,133)
Citation 13

Abstract:

2.
Downloads 2,315 ( 4,437)
Citation 14

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 2,194 (4,773)
Citation 14

Abstract:

Dynamic portfolio choice, pension plans

Optimal Asset Allocation in Asset Liability Management

NBER Working Paper No. w12970
Number of pages: 38 Posted: 15 Mar 2007
Jules H. van Binsbergen and Michael W. Brandt
University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 121 (197,884)
Citation 14

Abstract:

3.
Downloads 2,125 ( 5,154)
Citation 3

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 affiliation not provided to SSRN
Downloads 2,106 (5,128)
Citation 3

Abstract:

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 affiliation not provided to SSRN
Downloads 12 (514,315)
Citation 3

Abstract:

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 affiliation not provided to SSRN
Downloads 7 (542,055)
Citation 3
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Abstract:

disagreement., macroeconomic news, nowcasting

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 affiliation not provided to SSRN
Downloads 1,867 (6,270)

Abstract:

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 affiliation not provided to SSRN
Downloads 11 (520,059)
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Abstract:

macroeconomic uncertainty, state of the economy, stock market predictability

5.
Downloads 1,484 ( 9,442)
Citation 18

Optimal Decentralized Investment Management

EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper
Number of pages: 68 Posted: 02 Mar 2006
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and New York University (NYU) - Department of Finance
Downloads 1,387 (10,316)
Citation 18

Abstract:

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 New York University (NYU) - Department of Finance
Downloads 97 (232,446)
Citation 18

Abstract:

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 1,167 (11,763)
Citation 16

Abstract:

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 Syracuse University - Whitman School
Downloads 546 (40,530)
Citation 6

Abstract:

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 Syracuse University - Whitman School
Downloads 379 (63,962)
Citation 6

Abstract:

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, Syracuse University - Whitman School and Duke University - Fuqua School of Business
Downloads 111 (211,138)
Citation 6

Abstract:

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 Syracuse University - Whitman School
Downloads 32 (404,439)
Citation 6

Abstract:

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 - School of Business Administration
Downloads 977 (17,855)
Citation 64

Abstract:

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 - School of Business Administration

Abstract:

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 affiliation not provided to SSRN
Downloads 685 (29,909)
Citation 1

Abstract:

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 affiliation not provided to SSRN
Downloads 6 (547,203)
Citation 1
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Abstract:

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 669 (30,212)
Citation 5

Abstract:

11.
Downloads 606 ( 35,822)
Citation 162

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 606 (35,289)
Citation 162

Abstract:

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:

12.
Downloads 570 ( 38,848)
Citation 81

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 520 (43,157)
Citation 81

Abstract:

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 50 (338,954)
Citation 81

Abstract:

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 Syracuse University - Whitman School
Downloads 457 (50,880)
Citation 63

Abstract:

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
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 40 (372,482)
Citation 63

Abstract:

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 Syracuse University - Whitman School

Abstract:

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 412 (57,854)
Citation 34

Abstract:

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 57 (317,994)
Citation 34

Abstract:

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich 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 375 (64,776)
Citation 15

Abstract:

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
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 33 (400,204)
Citation 15

Abstract:

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:

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 340 (72,753)
Citation 11

Abstract:

Time-Consistent No-Arbitrage Models of the Term Structure

NBER Working Paper No. w9458
Number of pages: 38 Posted: 31 Jan 2003
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 36 (387,844)
Citation 11

Abstract:

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 314 (79,694)
Citation 27

Abstract:

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 61 (307,092)
Citation 27

Abstract:

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:

G11, G12

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 City University London - Sir John Cass Business School
Downloads 348 (70,736)

Abstract:

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 City University London - Sir John Cass Business School
Downloads 0
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Abstract:

currency risk premia, FX correlation, risk-off

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 228 (112,598)
Citation 8

Abstract:

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 49 (342,114)
Citation 8

Abstract:

Consumption and Portfolio Choice with Option-Implied State Prices

NBER Working Paper No. w13854
Number of pages: 48 Posted: 19 Mar 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 24 (444,524)
Citation 8

Abstract:

20.

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 Syracuse University - Whitman School
Downloads 292 (83,155)
Citation 23

Abstract:

price discovery, futures, order flow

21.

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 283 (75,870)
Citation 1

Abstract:

Asset Allocation, Managerial Assumptions, Pensions, Regulations

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 Syracuse University - Whitman School
Downloads 210 (122,284)
Citation 84

Abstract:

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
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 41 (368,777)
Citation 84

Abstract:

23.

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 249 (98,701)
Citation 59

Abstract:

24.

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 New York University (NYU) - Department of Finance
Downloads 247 (101,199)
Citation 10

Abstract:

25.

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 237 (100,353)
Citation 63

Abstract:

26.

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 236 (101,674)
Citation 9

Abstract:

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

27.

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 232 (108,803)
Citation 53

Abstract:

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 161 (156,333)
Citation 21

Abstract:

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 27 (428,133)
Citation 21

Abstract:

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 136 (180,274)
Citation 54

Abstract:

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 38 (379,967)
Citation 54

Abstract:

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 159 (146,711)
Citation 15

Abstract:

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
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 79 (265,445)
Citation 59

Abstract:

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:

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 41 (368,777)
Citation 6

Abstract:

Linear Approximations and Tests of Conditional Pricing Models

NBER Working Paper No. w12513
Number of pages: 51 Posted: 21 Sep 2006
Michael W. Brandt and David A. Chapman
Duke University - Fuqua School of Business and McIntire School, University of Virginia
Downloads 27 (428,133)
Citation 6

Abstract:

33.

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
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 55 (310,918)
Citation 59

Abstract:

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 51 (335,774)
Citation 100

Abstract:

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:

35.

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
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 36 (358,369)
Citation 58

Abstract:

36.

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 32 (375,719)
Citation 54

Abstract:

37.

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, Luiss Guido Carli, Department of Economics and Finance and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 0 (76,384)

Abstract:

nowcasting, business cycle, hedge funds, market timing

38.

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:

E43, E44, G12

39.

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: