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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27,670

SSRN CITATIONS
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959

CROSSREF CITATIONS

1,250

Scholarly Papers (41)

1.
Downloads 3,961 ( 3,158)
Citation 62

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 3,462 (3,897)
Citation 17

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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 310 (122,946)
Citation 41

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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 153 (241,082)

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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 Last Revised: 19 Jun 2021
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 36 (555,675)
Citation 27

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2.
Downloads 2,859 ( 5,512)
Citation 10

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 2,741 (5,809)
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 Last Revised: 11 Sep 2021
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and Square Macro
Downloads 111 (310,362)
Citation 1

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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 Square Macro
Downloads 7 (770,909)
Citation 4
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disagreement., macroeconomic news, nowcasting

3.
Downloads 2,507 ( 6,819)
Citation 8

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 2,356 (7,425)
Citation 6

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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 151 (243,738)
Citation 1

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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 2,449 (6,953)
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 Square Macro
Downloads 11 (736,677)
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macroeconomic uncertainty, state of the economy, stock market predictability

5.

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 1,720 (12,539)
Citation 12

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

6.
Downloads 1,706 ( 12,701)
Citation 50

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 1,583 (14,014)
Citation 4

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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 2021
Duke University - Fuqua School of Business, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 123 (286,373)
Citation 7

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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 Edgewood College
Downloads 579 (58,779)
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 Edgewood College
Downloads 393 (94,149)
Citation 6

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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, Edgewood College and Duke University - Fuqua School of Business
Downloads 128 (277,821)
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 Last Revised: 07 Mar 2021
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Edgewood College
Downloads 43 (519,457)
Citation 1

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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 - Miami Herbert Business School
Downloads 1,045 (26,282)
Citation 86

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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 - Miami Herbert Business School

Abstract:

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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 Square Macro
Downloads 752 (41,628)
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 Square Macro
Downloads 6 (779,588)
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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 715 (45,205)
Citation 8

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11.
Downloads 674 ( 48,951)
Citation 4

Range-Based Estimation of Stochastic Volatility Models

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 674 (48,299)
Citation 4

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Range-Based Estimation of Stochastic Volatility Models

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 634 ( 53,033)
Citation 31

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 572 (59,712)
Citation 32

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Variable Selection for Portfolio Choice

NBER Working Paper No. w8127
Number of pages: 70 Posted: 18 Feb 2001 Last Revised: 17 Sep 2021
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 62 (439,785)

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

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 485 (73,405)
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: 19 Jul 2021
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 90 (354,803)
Citation 48

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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

Dynamic Portfolio Selection by Augmenting the Asset Space

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 432 (84,416)
Citation 3

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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 105 (320,713)
Citation 8

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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 Edgewood College
Downloads 480 (74,361)
Citation 76

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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: 26 Apr 2021
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Edgewood College
Downloads 49 (491,588)
Citation 8

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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 Edgewood College

Abstract:

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G10, G12

16.
Downloads 472 ( 76,670)
Citation 1

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 471 (76,103)

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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 1 (829,046)
Citation 1
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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 392 (94,442)

Abstract:

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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: 12 Jul 2021
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 35 (561,354)
Citation 2

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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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18.
Downloads 414 ( 89,434)
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 414 (88,659)
Citation 3

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

Time-Consistent No-Arbitrage Models of the Term Structure

Number of pages: 48 Posted: 27 Feb 2001
Amir Yaron, Amir Yaron and Michael W. Brandt
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 352 (106,869)
Citation 4

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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: 07 May 2021
Amir Yaron, Amir Yaron and Michael W. Brandt
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 42 (524,353)

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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 SC Johnson College of Business, University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business
Downloads 392 (95,245)
Citation 11

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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 Edgewood College
Downloads 349 (108,695)
Citation 14

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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 240 (160,151)

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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 59 (451,030)

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: 10 May 2021
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 37 (550,151)

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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 303 (126,726)
Citation 13

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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 Edgewood College
Downloads 249 (154,519)
Citation 2

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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: 17 Jul 2021
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and Edgewood College
Downloads 51 (483,028)
Citation 11

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25.

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 286 (134,730)
Citation 71

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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 276 (139,758)
Citation 11

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

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 267 (144,635)
Citation 1

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28.

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

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 250 (154,426)
Citation 17

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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

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 170 (220,378)

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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: 05 Aug 2021
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 33 (572,929)
Citation 9

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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 Exeter Business School and Edgewood College
Downloads 180 (209,607)
Citation 1

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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 Edgewood College
Downloads 14 (711,149)

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portfolio choice, investment decisions

31.

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 191 (198,905)
Citation 21

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

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 147 (249,211)
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 Last Revised: 30 May 2021
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 44 (514,703)
Citation 4

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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, Lin Gao and Lin Gao
Duke University - Fuqua School of Business and Universite du LuxembourgLuxembourg School of Finance
Downloads 158 (234,269)
Citation 2

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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: 19 May 2021
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 119 (293,436)
Citation 23

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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 59 (451,030)
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 2021
Michael W. Brandt and David A. Chapman
Duke University - Fuqua School of Business and McIntire School, University of Virginia
Downloads 30 (591,027)

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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: 07 Oct 2021
Qiang Kang and Michael W. Brandt
The University of Hong Kong - School of Economics and Finance and Duke University - Fuqua School of Business
Downloads 74 (399,462)
Citation 21

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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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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: 22 Oct 2021
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 63 (430,340)

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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: 20 Jun 2021
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 52 (470,846)
Citation 6

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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: 07 Oct 2021
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 47 (491,573)
Citation 6

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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

Posted: 19 Apr 1999
Michael W. Brandt
Duke University - Fuqua School of Business

Abstract:

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