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

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CITATIONS
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1,123

Scholarly Papers (41)

1.
Downloads 3,667 ( 2,556)
Citation 20

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 University of Chicago - Booth School of Business
Downloads 3,204 (3,144)
Citation 8

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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 294 (101,788)
Citation 4

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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 136 (210,854)

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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 33 (461,653)

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2.
Downloads 2,427 ( 5,146)
Citation 6

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 2,294 (5,543)
Citation 5

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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 Last Revised: 14 Apr 2007
Jules H. van Binsbergen and Michael W. Brandt
University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 133 (214,759)

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3.
Downloads 2,319 ( 5,565)
Citation 6

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 Independentaffiliation not provided to SSRN
Downloads 2,293 (5,549)
Citation 1

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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 Independentaffiliation not provided to SSRN
Downloads 19 (542,970)

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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 Independentaffiliation not provided to SSRN
Downloads 7 (623,646)
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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 Independentaffiliation not provided to SSRN
Downloads 2,014 (6,900)
Citation 2

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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 Independentaffiliation not provided to SSRN
Downloads 11 (595,939)
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macroeconomic uncertainty, state of the economy, stock market predictability

5.
Downloads 1,596 ( 10,394)
Citation 40

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 University of Chicago - Booth School of Business
Downloads 1,486 (11,425)

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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 110 (247,865)
Citation 1

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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 1,447 (12,165)
Citation 5

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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 affiliation not provided to SSRN
Downloads 565 (46,507)
Citation 1

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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 affiliation not provided to SSRN
Downloads 386 (74,641)
Citation 2

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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, affiliation not provided to SSRN and Duke University - Fuqua School of Business
Downloads 116 (238,587)
Citation 2

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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 affiliation not provided to SSRN
Downloads 38 (439,304)

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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 1,008 (20,832)
Citation 32

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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

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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 Independentaffiliation not provided to SSRN
Downloads 698 (35,020)
Citation 1

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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 Independentaffiliation not provided to SSRN
Downloads 6 (630,785)
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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 695 (35,798)
Citation 6

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11.
Downloads 631 ( 40,743)
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 631 (40,153)
Citation 4

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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

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12.
Downloads 590 ( 44,542)
Citation 21

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 533 (50,095)
Citation 20

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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 57 (368,856)

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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 affiliation not provided to SSRN
Downloads 466 (59,417)
Citation 9

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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 affiliation not provided to SSRN
Downloads 43 (418,571)
Citation 2

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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 affiliation not provided to SSRN

Abstract:

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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 420 (67,494)
Citation 2

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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 64 (347,523)
Citation 2

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15.

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 421 (67,921)

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nowcasting, business cycle, hedge funds, market timing

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 381 (75,756)

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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 (456,976)
Citation 1

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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

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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 341 (86,311)
Citation 1

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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 69 (333,631)
Citation 10

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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:

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G11, G12

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 344 (85,452)
Citation 1

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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 (439,304)

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19.
Downloads 379 ( 76,875)
Citation 1

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 Essex - Essex Business School
Downloads 379 (76,201)
Citation 1

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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 Essex - Essex Business School
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currency risk premia, FX correlation, risk-off

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 364 (80,641)
Citation 6

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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 affiliation not provided to SSRN
Downloads 324 (91,998)
Citation 7

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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 232 (130,333)

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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 52 (385,505)

Abstract:

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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 30 (481,957)

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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 279 (108,222)
Citation 5

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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 272 (111,197)
Citation 11

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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 265 (114,258)
Citation 10

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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 affiliation not provided to SSRN
Downloads 217 (139,284)
Citation 1

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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 affiliation not provided to SSRN
Downloads 44 (414,634)
Citation 3

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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 260 (116,527)
Citation 1

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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 244 (124,415)
Citation 1

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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 (179,337)

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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 (481,957)
Citation 2

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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, 张橹
Duke University - Fuqua School of Business, University of Melbourne - Department of Finance and Ohio State University - Fisher College of Business
Downloads 184 (162,776)
Citation 10

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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 139 (207,123)
Citation 1

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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 41 (426,508)
Citation 2

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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 Essex - Essex Business School and affiliation not provided to SSRN
Downloads 95 (274,372)

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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 affiliation not provided to SSRN
Downloads 10 (602,791)
Citation 1

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portfolio choice, investment decisions

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 88 (288,312)
Citation 10

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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

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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 53 (382,143)
Citation 1

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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 (481,957)

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35.

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 75 (314,853)

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Crude Oil, News Analytics, Sentiment, Information

36.

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 61 (351,557)

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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 58 (365,585)
Citation 8

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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

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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 43 (410,477)
Citation 25

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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 38 (429,864)
Citation 5

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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:

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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:

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