Campbell R. Harvey

Duke University - Fuqua School of Business

Professor of Finance

Box 90120

Durham, NC 27708-0120

United States

http://www.duke.edu/~charvey

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

155

DOWNLOADS
Rank 8

SSRN RANKINGS

Top 8

in Total Papers Downloads

366,555

SSRN CITATIONS
Rank 24

SSRN RANKINGS

Top 24

in Total Papers Citations

3,461

CROSSREF CITATIONS

6,641

Ideas:
“  My most recent research includes developing techniques to help investors separate luck from skill in fund management and factor selection.  ”

Scholarly Papers (155)

1.
Downloads 23,939 ( 94)
Citation 15

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 23,772 (92)
Citation 5

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Gold, gold price, inflation hedge, gold value, gold standard, currency hedge, gold beta, safe haven, tail protect, insurance, hyperinflation, central bank holdings, asset allocation, diversification, emerging markets, Warren Buffett, Ray Dalio, Jeffrey Gundlach

The Golden Dilemma

NBER Working Paper No. w18706
Number of pages: 49 Posted: 18 Jan 2013
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 167 (187,361)
Citation 9

Abstract:

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2.

A Checklist for Reviewing a Paper

Duke I&E Research Paper No. 2017-03, Stanford University Graduate School of Business Research Paper No. 17-6
Number of pages: 2 Posted: 21 Dec 2016 Last Revised: 08 Jan 2017
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 18,559 (143)

Abstract:

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Referee Report, Cover Letter, Conflicts of Interest

3.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Campbell R. Harvey, Yan Liu and Caroline Zhu
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads 18,371 (145)
Citation 131

Abstract:

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Risk factors, Multiple tests, Beta, HML, SMB, 3-factor model, Momentum, Volatility, Skewness, Idiosyncratic volatility, Liquidity, Bonferroni, Factor zoo

4.

The Theory and Practice of Corporate Finance: Evidence from the Field

AFA 2001 New Orleans; Duke University Working Paper
Number of pages: 48 Posted: 12 Apr 2000
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 14,711 (221)
Citation 138

Abstract:

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Capital Structure, Cost of Capital, Cost of Equity, Capital Budgeting, Discount Rates, Project Valuation, Survey

5.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 10,497 (436)
Citation 2

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Referee report, Cover letter, Ethics, Conflicts of Interest

6.
Downloads 10,111 ( 470)
Citation 35

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 9,727 (496)
Citation 9

Abstract:

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Strategic asset allocation, Tactical asset allocation, Diversification return, Roll return, Momentum, Market timing, Convenience yield, Contango, Backwardation, Normal backwardation, Commodity correlation, Commodity risk factors, Commodity term structure, Trading strategies, Overlay strategies

The Tactical and Strategic Value of Commodity Futures

NBER Working Paper No. w11222
Number of pages: 46 Posted: 29 Apr 2005 Last Revised: 01 Sep 2010
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 384 (79,576)
Citation 12

Abstract:

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7.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 8,641 (620)
Citation 12

Abstract:

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Sharpe ratio, Multiple tests, Holm, BHY, Bonferroni, Strategy selection, Backtest, Haircut, Haircut Sharpe Ratio, Data Mining, Machine Learning, Higgs Boson, Trading Strategies, Out-of-Sample tests, In-Sample tests, FDR, FWER, Capital IQ, PBO

8.
Downloads 8,457 ( 654)
Citation 180

Payout Policy in the 21st Century

Tuck Contemporary Corporate Finance Issues III Conference Paper
Number of pages: 43 Posted: 03 Aug 2004
Alon Brav, Campbell R. Harvey, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 8,129 (687)
Citation 62

Abstract:

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Payout, Dividend policy, Share repurchases, Lintner model

Payout Policy in the 21st Century

NBER Working Paper No. w9657
Number of pages: 59 Posted: 23 May 2003
Alon Brav, John R. Graham, Campbell R. Harvey and Roni Michaely
Duke University - Fuqua School of Business, Duke University, Duke University - Fuqua School of Business and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 328 (95,487)
Citation 7

Abstract:

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Earnings Quality: Evidence from the Field

Number of pages: 73 Posted: 10 Jul 2012 Last Revised: 21 Feb 2014
Emory University - Department of Accounting, Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 7,702 (750)
Citation 80

Abstract:

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earnings quality, FASB, CFO, survey, earnings management

Earnings Quality: Evidence from the Field

Journal of Accounting & Economics (JAE), Forthcoming
Posted: 07 Jun 2013 Last Revised: 05 Dec 2013
Emory University - Department of Accounting, Duke University, Duke University - Fuqua School of Business and Columbia Business School

Abstract:

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earnings quality, FASB, sustainable earnings, earnings management

10.
Downloads 7,452 ( 806)
Citation 1,057

The Economic Implications of Corporate Financial Reporting

Number of pages: 72 Posted: 25 Jan 2004
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 7,282 (828)
Citation 37

Abstract:

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financial statement, earnings management, earnings benchmark, voluntary disclosure, information risk

The Economic Implications of Corporate Financial Reporting

NBER Working Paper No. w10550
Number of pages: 72 Posted: 22 Jun 2004
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 170 (184,486)
Citation 136

Abstract:

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The Economic Implications of Corporate Financial Reporting

Posted: 14 Sep 2004
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School

Abstract:

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financial statement, earnings management, earnings benchmark, voluntary disclosure, information risk,

The Economic Implications of Corporate Financial Reporting

Journal of Accounting and Economics, 2005
Posted: 12 Jan 2005
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School

Abstract:

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Financial statement, earnings management, earnings benchmark, voluntary disclosure, information risk

11.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads 7,133 (860)
Citation 11

Abstract:

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Value, carry, momentum, time-series, cross-section, Sharpe ratio, trading strategies, skew, commodities, FX, foreign exchange, equity, fixed income, interest rates, multiple testing

12.

Cryptofinance

Number of pages: 141 Posted: 19 May 2014 Last Revised: 16 Jan 2016
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 6,632 (977)
Citation 43

Abstract:

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Cryptofinance, Bitcoin, Bubbles, Block chain, Blockchain, Cryptography, Mining, Proof of Work, Hash, Deflation, Nonce, SHA-256, Merkle tree, DSA, Private Key, Public Key, Key Pair, Wallet, BTC

13.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Robert D. Arnott, Campbell R. Harvey and Harry Markowitz
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 5,783 (1,255)
Citation 9

Abstract:

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Machine Learning, Data Science, Data Mining, Backtesting, Overfitting, Interpretable Classification, Interpretable Policy Design, Trading, Strategies, Anomalies, Selection Bias, Research Protocol

14.

Lucky Factors

Number of pages: 90 Posted: 22 Nov 2014 Last Revised: 17 Oct 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 5,734 (1,272)
Citation 6

Abstract:

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Factors, Variable selection, Bootstrap, Data mining, Orthogonalization, Multiple testing, Predictive regressions, Fama-MacBeth, GRS, Performance evaluation, Return prediction

15.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 5,661 (1,298)
Citation 4

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Overfitting, Backtesting, Crowding, Data Mining, Multiple Testing, Downside Risk, Tail Behavior, Non-Normalities, Trading Costs, Bootstrapping, Resampling, Factor Zoo, Factor Investing, Value Investing, Momentum, Size, Accounting Factors, Investment, Low Beta, Accruals, Factor Portfolios, Behavioral

16.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 5,585 (1,320)
Citation 19

Abstract:

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Sharpe ratio, Multiple tests, Backtest, Haircut, Trading Strategies, Out-of-Sample tests, In-Sample tests

17.

Political Risk, Economic Risk and Financial Risk

Fuqua School of Business Working Paper No. 9606
Number of pages: 41 Posted: 08 May 2000
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 5,420 (1,386)
Citation 12

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Country Risk Assessment, Mean-Reverision of Risk, Country Trading Strategies, Risk Exposure

18.

Global Tactical Asset Allocation

Number of pages: 22 Posted: 09 Sep 2005
Magnus Dahlquist and Campbell R. Harvey
Stockholm School of Economics and Duke University - Fuqua School of Business
Downloads 5,227 (1,473)
Citation 12

Abstract:

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Benchmarks, strategic asset allocation, tactical asset allocation, dynamic trading strategies, return predictability, trading strategies, active management, passive management, business cycle, yield curve, term structure

19.

Bitcoin Myths and Facts

Number of pages: 10 Posted: 16 Aug 2014 Last Revised: 20 Nov 2017
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 5,188 (1,488)
Citation 16

Abstract:

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Cryptofinance, Bitcoin, Bubbles, Block chain, Blockchain, Cryptography, Mining, Wallet, BTC, Satoshi Nakamoto, Mt. Gox, Silk Road

20.
Downloads 4,804 ( 1,721)
Citation 2

Corporate Culture: Evidence from the Field

27th Annual Conference on Financial Economics and Accounting Paper, Duke I&E Research Paper No. 2016-33, Columbia Business School Research Paper No. 16-49
Number of pages: 101 Posted: 09 Jul 2016 Last Revised: 27 Jun 2019
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 4,703 (1,757)
Citation 2

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Corporate Culture, Values, Norms, Leadership, Corporate Governance, Incentive Compensation, Informal Institutions, Intangible Assets, Valuation, Finance, Risk-taking, Short-termism, Myopia, Innovation, Firm Value, Productivity, M&A valuation, Integrity, Trust, Ethics, Compliance, Earnings Management

Corporate Culture: Evidence from the Field

NBER Working Paper No. w23255
Number of pages: 79 Posted: 20 Mar 2017
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 101 (277,662)

Abstract:

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21.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads 4,376 (2,038)
Citation 11

Abstract:

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fixed weights, 60-40, drift weights, constant weights, rebalanced portfolio, rebalancing, negative skewness, negative skew, short straddle, negative gamma, momentum overlay, negative convexity

22.
Downloads 4,301 ( 2,106)
Citation 82

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 30 Oct 2019
Itzhak Ben-David, John R. Graham and Campbell R. Harvey
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business
Downloads 4,246 (2,125)
Citation 20

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Overprecision, Overconfidence, Behavioral Bias, Behavioral Economics, Investment, Leverage, Expected Returns, Survey Methodology, Capital Structure, Executive Compensation, Risk, Volatility Forecasts, Market Forecasts, Debt Policy, Behavioral Finance, Risk Premium

Managerial Miscalibration

NBER Working Paper No. w16215
Number of pages: 39 Posted: 26 Jul 2010 Last Revised: 03 Aug 2010
Itzhak Ben-David, John R. Graham and Campbell R. Harvey
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business
Downloads 55 (395,557)
Citation 8

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23.
Downloads 4,231 ( 2,172)
Citation 12

Emerging Equity Markets in a Globalizing World

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 09 Apr 2017
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 4,057 (2,316)
Citation 12

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Emerging markets, GDP weights, Market integration, Market segmentation, Illiquidity, Liquidity, Portfolio risk, Portfolio correlation, Market capitalization, Risk characteristics, Cross-sectional volatility, Valuation ratios, Asset class

Emerging Equity Markets in a Globalizing World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 29 Posted: 08 Jul 2014
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 174 (180,743)
Citation 13

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24.

How Do Cfos Make Capital Budgeting and Capital Structure Decisions?

Number of pages: 36 Posted: 09 Sep 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 4,091 (2,308)
Citation 36

Abstract:

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Capital structure, Cost of capital, Cost of equity, Capital budgeting, Discount Rates, Project valuation, Survey, Debt policy, Trade-off theory

The Real Effects of Financial Constraints: Evidence from a Financial Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 38 Posted: 22 Dec 2008 Last Revised: 26 Dec 2009
Murillo Campello, John R. Graham and Campbell R. Harvey
Cornell University - Samuel Curtis Johnson Graduate School of Management, Duke University and Duke University - Fuqua School of Business
Downloads 3,436 (3,021)
Citation 42

Abstract:

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Financial crisis, financing constraints, investment spending, liquidity management, matching estimators

The Real Effects of Financial Constraints: Evidence from a Financial Crisis

AFA 2010 Atlanta Meetings Paper
Number of pages: 51 Posted: 11 Mar 2009
Murillo Campello, John R. Graham and Campbell R. Harvey
Cornell University - Samuel Curtis Johnson Graduate School of Management, Duke University and Duke University - Fuqua School of Business
Downloads 569 (49,031)
Citation 12

Abstract:

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Financial crisis, financing constraints, investment spending, liquidity management, matching estimators

The Real Effects of Financial Constraints: Evidence from a Financial Crisis

NBER Working Paper No. w15552
Number of pages: 38 Posted: 08 Dec 2009 Last Revised: 05 Sep 2010
Murillo Campello, John R. Graham and Campbell R. Harvey
Cornell University - Samuel Curtis Johnson Graduate School of Management, Duke University and Duke University - Fuqua School of Business
Downloads 63 (369,215)

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26.

Portfolio Selection with Higher Moments

Number of pages: 50 Posted: 29 Dec 2004 Last Revised: 16 Mar 2010
Campbell R. Harvey, John Liechty, Merrill W. Liechty and Peter Mueller
Duke University - Fuqua School of Business, Pennsylvania State University, University Park, Drexel University - Department of Decision Sciences and The University of Texas M. D. Anderson Cancer Center
Downloads 4,048 (2,359)
Citation 88

Abstract:

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Bayesian decision problem, multivariate skewness, parameter uncertainty, optimal portfolios, utility function maximization, resampling, resampled portfolios, estimation error, mean-variance portfolios, expected returns, Markowitz optimization

27.

An Impressionistic View of the 'Real' Price of Gold Around the World

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 3,920 (2,468)
Citation 7

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Gold value, Gold fundamentals, Inflation, Real gold, Foreign exchange

28.

Country Risk Components, the Cost of Capital, and Returns in Emerging Markets

Number of pages: 30 Posted: 18 Nov 2004
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 3,861 (2,541)
Citation 28

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Political Risk, Quality of Institutions, Law and Order, Financial Risk, Economic Risk, Country Risk Premium, Market Integration, Market Segmentation, Implied Cost of Capital

29.

Managerial Attitudes and Corporate Actions

Number of pages: 43 Posted: 11 Jul 2009 Last Revised: 28 May 2012
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 3,442 (3,076)
Citation 94

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Managers, attitudes, personality traits, risk aversion, capital structure, debt, acquisitions, corporate policies, behavioral corporate finance

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,302 (3,250)
Citation 14

Abstract:

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Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 93 (293,436)
Citation 4

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Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (551,602)
Citation 14
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Abstract:

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Liquidity pricing, emerging markets, return predictability

Liquidity and Expected Returns: Lessons from Emerging Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

Abstract:

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G12, G15, F30

31.

The Theory and Practice of Corporate Finance: The Data

Number of pages: 17 Posted: 12 May 2003
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 3,256 (3,385)
Citation 6

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32.

The Misrepresentation of Earnings

Financial Analysts Journal, Forthcoming
Number of pages: 23 Posted: 09 Jan 2014 Last Revised: 12 Aug 2015
Emory University - Department of Accounting, Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 3,099 (3,678)
Citation 6

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Earnings management, Earnings misrepresentation, Smooth earnings, Accruals, GAAP, Low-balling, Cookie jar reserves, Sustainable earnings, predictable earnings, real earnings management

33.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 3,086 (3,714)

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Crisis hedge, Crisis alpha, Recessions, Flight to quality, Drawdown, Downside risk, Portfolio protection, Portfolio hedging, Insurance, Put options, Option-based hedging, Portfolio insurance, Futures, Trend following, Momentum, Quality, Profitability, Gold, Positive convexity, Safe-haven investments

34.

Emerging Markets Finance

Number of pages: 68 Posted: 22 Jan 2003
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 3,071 (3,750)
Citation 51

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Market liberalization, portfolio flows, market reforms, economic growth, risk sharing, contagion, privatization, capital flows, market microstructure, inequality, productivity, volatility of capital flows, performance of emerging market investments

35.

The Financial Crisis of 2008: What Needs to Happen after TARP

Number of pages: 10 Posted: 29 Sep 2008 Last Revised: 08 Oct 2008
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 3,044 (3,802)
Citation 11

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Financial Crisis, TARP, Bank runs, FDIC, BCF, RTC

36.

The Equity Risk Premium in 2014

Number of pages: 21 Posted: 08 Apr 2014
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,938 (4,050)
Citation 3

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Cost of capital, financial crisis, equity premium, long-term market returns, stock return forecasts, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX, credit spreads

37.
Downloads 2,921 ( 4,091)
Citation 12

A Corporate Beauty Contest

Duke I&E Research Paper No. 16-10
Number of pages: 26 Posted: 15 Mar 2010 Last Revised: 29 Mar 2016
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 2,858 (4,169)
Citation 15

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First impressions, thin slicing, CEO selection, competence, likeable, trustworthy, attractive, facial traits, CEO compensation, CEO performance, behavioral economics, behavioral finance

A Corporate Beauty Contest

NBER Working Paper No. w15906
Number of pages: 25 Posted: 19 Apr 2010 Last Revised: 10 Oct 2010
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 63 (369,215)

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Value Destruction and Financial Reporting Decisions

Number of pages: 23 Posted: 20 Dec 2005
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 2,905 (4,050)
Citation 6

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Earnings management, earnings smoothing, consensus earnings, meeting benchmarks, value destruction, agency problems, real earnings management, unexpected earnings, earnings surprise, net present value

Value Destruction and Financial Reporting Decisions

Financial Analysts Journal, Vol. 62, No. 6, pp. 27-39, November/December 2006
Posted: 20 Jan 2007
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School

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Financial Statement Analysis, Accounting and Financial Reporting Issues; Equity Investments, Fundamental Analysis and Valuation Models; Corporate Governance

39.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 40 Posted: 02 Dec 2019 Last Revised: 31 Jan 2020
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 2,848 (4,284)

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Value investing, value factor, growth investing, value spread, revaluation, migration, profitability, HML, 3-factor model, iHML, intangibles, book value, intrinsic value, financial accounting, behavioral finance, crowding, data mining, structural change, drawdown

40.

Presidential Address: The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 22 Dec 2017
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 2,773 (4,474)
Citation 50

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P-hacking, Multiple testing, Selection, Data mining, Data dredging, Rare incidence, Type I error, Type II error, P-values, Minimum Bayes Factor, MBF, SD-MBF, Bayesian P-values

41.

Managing Risk Management

AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 18 Mar 2011 Last Revised: 20 Dec 2013
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University, Duke University - Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 2,707 (4,646)
Citation 14

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Corporate risk management, Global survey

42.

A Guide to Earnings Quality

Number of pages: 23 Posted: 31 Oct 2013
Emory University - Department of Accounting, Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 2,622 (4,906)
Citation 2

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Earnings management, earnings misrepresentation, real earnings management, earnings fraud, earnings overstatement, earnings distortion, earnings quality, one-time items, sustainable earnings, persistent earnings, accruals, real earnings management, earnings red flags, corporate governance

43.

How to Write an Effective Referee Report and Improve the Scientific Review Process

Duke I&E Research Paper No. 2016-47
Number of pages: 14 Posted: 26 Nov 2016 Last Revised: 13 Dec 2016
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 2,457 (5,457)
Citation 1

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Referee report, Cover letter, Ethics, Conflicts of Interest

44.

The Equity Risk Premium in 2015

Number of pages: 21 Posted: 30 May 2015 Last Revised: 04 Dec 2015
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,456 (5,460)
Citation 2

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Cost of capital, financial crisis, equity premium, WACC, hurdle rate, long-term market returns, stock return forecasts, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, TIPs, VIX, credit spreads

45.

The Equity Risk Premium in 2012

Number of pages: 22 Posted: 13 Mar 2012
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,340 (5,919)
Citation 9

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Cost of capital, financial crisis, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX, Credit spreads, Implied cost of capital

46.

A View Inside Corporate Risk Management

Duke I&E Research Paper No. 16-6
Number of pages: 34 Posted: 20 May 2014 Last Revised: 16 Nov 2016
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 2,336 (5,937)
Citation 8

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Risk Management, Hedging, Managerial Risk Aversion, Behavioral Finance, Manager fixed-effects, Interest rate risk, Credit risk, Commodity risk, Foreign exchange risk

47.

The Equity Risk Premium amid a Global Financial Crisis

Number of pages: 19 Posted: 17 May 2009
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,290 (6,136)
Citation 8

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Cost of capital, financial crisis, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX, Credit spreads

48.

The Equity Risk Premium in 2013

Number of pages: 22 Posted: 25 Jan 2013 Last Revised: 13 Jun 2013
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,187 (6,608)
Citation 11

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Cost of capital, financial crisis, equity premium, long-term market returns, stock return forecasts, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX, credit spreads

49.
Downloads 2,165 ( 6,716)
Citation 71

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 2,102 (6,915)
Citation 3

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 57 (388,579)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 6 (665,366)
Citation 19
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

50.
Downloads 2,146 ( 6,820)
Citation 6

Detecting Repeatable Performance

Number of pages: 107 Posted: 19 Nov 2015 Last Revised: 22 Jan 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 2,116 (6,837)
Citation 5

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Performance evaluation, Mutual funds, Hedge funds, EM algorithm, Fixed effects, Random effects, Regularization, Multiple testing, Bayesian, Rethinking Performance Evaluation

Rethinking Performance Evaluation

NBER Working Paper No. w22134
Number of pages: 65 Posted: 04 Apr 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 30 (502,070)
Citation 1

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Liquidity Management and Corporate Investment During a Financial Crisis

Number of pages: 48 Posted: 07 Aug 2009 Last Revised: 21 Nov 2010
Cornell University - Samuel Curtis Johnson Graduate School of Management, Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 2,031 (7,351)
Citation 32

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Financial crisis, liquidity management, investment spending, credit lines, drawdown activity, cash savings

Liquidity Management and Corporate Investment During a Financial Crisis

NBER Working Paper No. w16309
Number of pages: 45 Posted: 30 Aug 2010
Cornell University - Samuel Curtis Johnson Graduate School of Management, Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 89 (301,738)

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52.

Reflections on Editing the Journal of Finance, 2006-2012

Number of pages: 11 Posted: 20 Dec 2012 Last Revised: 11 Jul 2015
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 2,098 (7,085)
Citation 4

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Journal of Finance, Editor advice, Author advice, Referee guidelines

Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective

Number of pages: 38 Posted: 08 Dec 2001
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,020 (7,421)
Citation 7

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Risk premium, cost of capital, asymmetric volatility, skewness, leverage effect, expectations, risk to reward, momentum, September 11 crisis

Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective

NBER Working Paper No. w8678
Number of pages: 40 Posted: 20 Dec 2001 Last Revised: 25 Oct 2010
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 77 (329,910)

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54.

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 22 May 2019 Last Revised: 24 Jun 2019
Campbell R. Harvey, Sandy Rattray, Andrew Sinclair and Otto Van Hemert
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 2,071 (7,247)
Citation 3

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Hedge Funds, Systematic Trading, Discretionary Trading, Alpha, Market Efficiency, Risk Factors, Asset Allocation, Algorithm Aversion

55.

Payout Policy in the 21th Century: The Data

Johnson School Research Paper Series No. 29-06
Number of pages: 50 Posted: 21 Nov 2005
Alon Brav, Campbell R. Harvey, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 2,049 (7,376)
Citation 1

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Payout, Dividend policy, Share repurchases, Survey, Survey data

56.

Corporate Culture: The Interview Evidence

Duke I&E Research Paper No. 2016-42, Columbia Business School Research Paper No. 16-70
Number of pages: 43 Posted: 24 Sep 2016 Last Revised: 30 Aug 2018
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 2,001 (7,715)
Citation 2

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Corporate culture, Valuation, Finance, Cultural values, Social norms, Leadership, Corporate governance, Incentive compensation, Finance function, Intangible Assets, Risk-taking, Short-termism, Myopia, Innovation, Firm value, Productivity, M&A valuation, Integrity, Trust, Ethics, Compliance, Earnings

57.

The Equity Risk Premium in January 2007: Evidence from the Global Cfo Outlook Survey

Number of pages: 20 Posted: 28 Jan 2007
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,984 (7,840)
Citation 5

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Cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX

58.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 1,917 (8,307)
Citation 30

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International cost of capital, country hurdle rates, forecasting volatility, forecasting correlation, country rate of return, country risk, political risk, credit ratings, risk ratings, hitting time

59.

The Equity Risk Premium in 2018

Number of pages: 21 Posted: 02 Apr 2018
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,906 (8,383)
Citation 27

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cost of capital, financial crisis, equity premium, WACC, hurdle rate, long-term market returns, stock return forecasts, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, TIPs, VIX, credit spreads

60.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Sandy Rattray, Nicolas Granger, Campbell R. Harvey and Otto Van Hemert
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 1,881 (8,560)
Citation 1

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Asset Allocation, Smart Rebalancing, Market Timing, Active Management, Buy and Hold, Overlays, 60–40 Portfolio, Balanced Portfolio, Stock-Bond Portfolio, Rebalancing, Drawdowns, Downside Loss, Skewness, Trend, Momentum, Derivatives, Futures, Behavioral Finance

61.

The Equity Risk Premium in 2010

Number of pages: 21 Posted: 06 Aug 2010 Last Revised: 10 Aug 2010
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,749 (9,629)
Citation 15

Abstract:

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Cost of capital, financial crisis, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX, Credit spreads

62.

The Long-Run Equity Risk Premium

Number of pages: 13 Posted: 09 Sep 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,716 (9,969)
Citation 7

Abstract:

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Cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward

63.

Two Course Abstracts: Tactical Global Asset Allocation and Stock Selection Emerging Markets Finance

Number of pages: 1 Posted: 26 Apr 2000
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 1,711 (10,019)

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64.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,668 (10,438)
Citation 14

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volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

65.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 25 Mar 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,665 (10,465)
Citation 7

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Overfitting, Backtesting, Data Mining, Multiple Testing, Factor Investing, Value Investing, Momentum

The Effect of Capital Structure When Expected Agency Costs are Extreme

AFA 2002 Atlanta Meetings
Number of pages: 40 Posted: 15 Aug 2001
Karl V. Lins, Campbell R. Harvey and Andrew H. Roper
University of Utah - Department of Finance, Duke University - Fuqua School of Business and Compass Lexecon
Downloads 1,574 (11,232)
Citation 9

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capital structure, debt, agency problems, emerging markets, governance

The Effect of Capital Structure When Expected Agency Costs are Extreme

NBER Working Paper No. w8452
Number of pages: 45 Posted: 03 Sep 2001 Last Revised: 23 Oct 2010
Campbell R. Harvey, Karl V. Lins and Andrew H. Roper
Duke University - Fuqua School of Business, University of Utah - Department of Finance and Compass Lexecon
Downloads 83 (315,388)

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67.

The Golden Constant

Duke I&E Research Paper No. 2016-35
Number of pages: 10 Posted: 21 May 2019 Last Revised: 30 May 2019
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 1,652 (10,617)
Citation 1

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Gold, golden constant, real gold, overshoot, gold fundamental value, inflation hedge

Dynamic Trading Strategies and Portfolio Choice

Number of pages: 27 Posted: 24 Sep 2004
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 1,481 (12,315)

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Dynamic strategies, mean-variance optimization, multiperiod choice, efficient frontier, buy-and-hold investment

Dynamic Trading Strategies and Portfolio Choice

NBER Working Paper No. w10820
Number of pages: 28 Posted: 19 Oct 2004 Last Revised: 27 Jul 2010
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 132 (227,952)

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Capital Allocation and Delegation of Decision-Making Authority within Firms

Number of pages: 52 Posted: 17 Mar 2010 Last Revised: 03 Oct 2014
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 1,488 (12,234)
Citation 30

Abstract:

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Delegation, CEOs, executives, capital structure, mergers and acquisitions, payout, corporate investment, capital allocation

Capital Allocation and Delegation of Decision-Making Authority within Firms

NBER Working Paper No. w17370
Number of pages: 53 Posted: 30 Aug 2011 Last Revised: 20 Sep 2011
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 51 (409,637)

Abstract:

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70.

The Equity Risk Premium in 2016

Number of pages: 20 Posted: 04 Aug 2016
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,535 (11,874)
Citation 2

Abstract:

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Cost of capital, financial crisis, equity premium, WACC, hurdle rate, long-term market returns, stock return forecasts, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, TIPs, VIX, credit spreads

71.

Conquering Misperceptions about Commodity Futures Investing

Financial Analysts Journal, Forthcoming
Number of pages: 16 Posted: 21 Aug 2015 Last Revised: 23 May 2016
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 1,505 (12,265)
Citation 2

Abstract:

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Commodity futures, price return, roll return, real return, inflation, backwardation, contango, asset class, inflation hedge, market timing, trading strategies

72.
Downloads 1,496 ( 12,382)
Citation 225

Does Financial Liberalization Spur Growth?

AFA 2002 Atlanta Meetings
Number of pages: 52 Posted: 19 Apr 2001
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,366 (14,026)
Citation 6

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Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 130 (230,768)
Citation 13

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73.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,493 (12,421)
Citation 9

Abstract:

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Multiple tests, Correlation, Incomplete data, Meta-analysis, Data mining, False discoveries, Type I error, Type II error

74.
Downloads 1,422 ( 13,417)
Citation 98

Investor Competence, Trading Frequency, and Home Bias

AFA 2006 Boston Meetings Paper
Number of pages: 33 Posted: 18 Nov 2004
John R. Graham, Campbell R. Harvey and Hai Huang
Duke University, Duke University - Fuqua School of Business and Duke University - Finance
Downloads 1,303 (15,103)
Citation 8

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Behavioral Finance, Investment, Competence, Ambiguity, Stock Trading Frequency, Home Bias

Investor Competence, Trading Frequency, and Home Bias

NBER Working Paper No. w11426
Number of pages: 41 Posted: 07 Jul 2005 Last Revised: 22 Sep 2010
John R. Graham, Campbell R. Harvey and Hai Huang
Duke University, Duke University - Fuqua School of Business and Duke University - Finance
Downloads 119 (246,935)
Citation 8

Abstract:

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75.
Downloads 1,336 ( 14,825)
Citation 280

Predictable Risk and Returns in Emerging Markets

Number of pages: 51 Posted: 12 Sep 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 1,257 (15,926)
Citation 9

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Emerging markets, cost of capital, performance evaluation, non-normality, market integration, market segmentation, capital market reforms, market liberalization, financial openness, predictable returns

Predictable Risk and Returns in Emerging Markets

NBER Working Paper No. w4621
Number of pages: 57 Posted: 17 Jul 2000 Last Revised: 19 Aug 2010
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 79 (325,107)
Citation 16

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Predictable Risk and Returns in Emerging Markets

THE REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 3
Posted: 22 Aug 1998
Campbell R. Harvey
Duke University - Fuqua School of Business

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76.

The Scientific Outlook in Financial Economics: Transcript of the Presidential Address and Presentation Slides

Duke I&E Research Paper No. 2017-06
Number of pages: 16 Posted: 10 Jan 2017
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 1,261 (16,174)

Abstract:

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P-hacking, Multiple testing, Selection, Data mining, Data dredging, Rare incidence, Type I error, Type II error, P-values, Minimum Bayes Factor, MBF, SD-MBF, Bayesian P-values

77.

Research in Emerging Markets Finance: Looking to the Future

Number of pages: 27 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 1,191 (17,639)
Citation 30

Abstract:

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Emerging markets, International Cost of Capital, Financial openness, dating integration, market segmentation, market integration, capital flows, contagion, market correlations, emerging market volatility, emerging return skewness, emerging return kurtosis

78.
Downloads 1,185 ( 17,778)
Citation 173

Market Integration and Contagion

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39 Posted: 22 Mar 2002
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,125 (18,837)
Citation 8

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Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 60 (378,746)
Citation 9

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The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,147 (18,317)
Citation 18

Abstract:

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 27 (519,439)

Abstract:

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80.

The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey

Number of pages: 20 Posted: 19 Jul 2008 Last Revised: 25 Jul 2008
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,113 (19,503)
Citation 5

Abstract:

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cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX

81.
Downloads 1,111 ( 19,558)
Citation 34

Emerging Equity Market Volatility

Number of pages: 78 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 959 (23,898)
Citation 33

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Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation

Emerging Equity Market Volatility

NBER Working Paper No. w5307
Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 24 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 152 (203,142)

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82.
Downloads 1,103 ( 19,778)
Citation 84

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,025 (21,671)
Citation 3

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Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 78 (327,499)
Citation 8

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Conditioning Variables and the Cross-Section of Stock Returns

Fuqua School of Business Working Paper No. 9902
Number of pages: 56 Posted: 20 Apr 1999
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 1,024 (21,701)
Citation 29

Abstract:

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Conditioning Variables and the Cross-Section of Stock Returns

NBER Working Paper No. w7009
Number of pages: 60 Posted: 28 Jun 2000 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 64 (366,103)

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84.
Downloads 1,073 ( 20,600)
Citation 12

The Asian Bet

Number of pages: 102 Posted: 23 Sep 1999
Andrew H. Roper and Campbell R. Harvey
Compass Lexecon and Duke University - Fuqua School of Business
Downloads 730 (35,135)
Citation 16

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The Asian Bet

The World Bank and Brookings Institute
Number of pages: 68 Posted: 23 Sep 1999
Andrew H. Roper and Campbell R. Harvey
Compass Lexecon and Duke University - Fuqua School of Business
Downloads 343 (90,850)
Citation 14

Abstract:

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85.
Downloads 1,050 ( 21,241)
Citation 58

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,002 (22,429)
Citation 1

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Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 48 (420,829)
Citation 2

Abstract:

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86.

Time-Varying Conditional Covariances in Tests of Asset Pricing Models

Number of pages: 36 Posted: 08 Oct 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 1,042 (21,500)
Citation 49

Abstract:

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CAPM, asset pricing tests, market efficiency, time-varying risk, dynamic risk, predicting returns, forecasting stock returns

87.
Downloads 974 ( 23,772)
Citation 22

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 842 (28,823)
Citation 3

Abstract:

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financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 80 (322,588)
Citation 2

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Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 52 (405,963)

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88.
Downloads 970 ( 23,915)
Citation 19

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 932 (24,904)
Citation 2

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Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary

Political Risk Spreads

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 38 (462,725)
Citation 7

Abstract:

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89.

Bayes vs. Resampling: A Rematch

Journal of Investment Management, Vol. 6 No. 1, First Quarter 2008
Number of pages: 36 Posted: 26 Apr 2006
John Liechty, Campbell R. Harvey and Merrill W. Liechty
Pennsylvania State University, University Park, Duke University - Fuqua School of Business and Drexel University - Department of Decision Sciences
Downloads 936 (25,173)
Citation 1

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Bayesian decision problem, parameter uncertainty, optimal portfolios, utility function maximization, resampling

90.

False (and Missed) Discoveries in Financial Economics

Number of pages: 89 Posted: 21 Nov 2017 Last Revised: 15 Aug 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 932 (25,325)
Citation 15

Abstract:

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Type I, Type II, Multiple testing, False discoveries, Odds ratio, Power, Mutual funds, Smart beta, Anomalies, Bayesian, Factors, Backtesting, Factor Zoo

91.
Downloads 924 ( 25,642)
Citation 25

The Dynamics of Emerging Market Equity Flows

Number of pages: 61 Posted: 24 Sep 1999
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 878 (27,157)

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The Dynamics of Emerging Market Equity Flows

NBER Working Paper No. w7219
Number of pages: 62 Posted: 26 Jun 2000
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 46 (428,735)
Citation 3

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92.

Momentum Turning Points

Number of pages: 68 Posted: 05 Dec 2019 Last Revised: 10 Dec 2019
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 920 (25,813)

Abstract:

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time-series momentum, volatility timing, market timing, asset pricing, trend following, turning points, momentum speed, mean reversion, behavioral finance

93.

A Guide to Corporate Risk Management

Number of pages: 35 Posted: 13 Aug 2014
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 920 (25,813)
Citation 1

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Risk Management, Hedging, Managerial Risk Aversion, Behavioral Finance, Manager fixed-effects, Interest rate risk, Credit risk, Commodity risk, Foreign exchange risk.

94.

Autoregressive Conditional Skewness

Fuqua School of Business Working Paper No. 9604
Number of pages: 34 Posted: 08 May 2000
Akhtar R. Siddique and Campbell R. Harvey
Government of the United States of America - Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 879 (27,552)
Citation 12

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Time-varying skewness, GARCH, non-central t-distribution, leverage effect

95.

The Long-Term Cost of the Financial Crisis

Number of pages: 6 Posted: 12 Mar 2009
Murillo Campello, John R. Graham and Campbell R. Harvey
Cornell University - Samuel Curtis Johnson Graduate School of Management, Duke University and Duke University - Fuqua School of Business
Downloads 863 (28,249)
Citation 3

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Financial crisis, financing constraints, investment spending, liquidity management, matching estimators

96.

The Real Term Structure and Consumption Growth

Number of pages: 32 Posted: 08 Oct 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 816 (30,589)
Citation 44

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Term structure, yield curve, forecasting economic growth, predicting consumption growth

97.
Downloads 813 ( 30,729)
Citation 481

Time-Varying World Market Integration

Number of pages: 49 Posted: 12 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 747 (34,027)
Citation 412

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Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching

Time-Varying World Market Integration

NBER Working Paper No. w4843
Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 30 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 66 (360,221)
Citation 10

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Time-Varying World Market Integration

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 03 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business

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98.

Cross-Sectional Alpha Dispersion and Performance Evaluation

Mays Business School Research Paper No. 3143806
Number of pages: 70 Posted: 24 Mar 2018 Last Revised: 14 Jan 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 725 (35,991)
Citation 3

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Alpha, Investor behavior, Hedge funds, Mutual funds, Performance evaluation, Portfolio management, Risk, Type I errors, Type II errors, Bayesian decision-making, Appraisal ratio, Flow-performance sensitivity, Idiosyncratic risk

99.

Political Risk and International Valuation

Columbia Business School Research Paper No. 15-83
Number of pages: 54 Posted: 11 Sep 2015 Last Revised: 09 Dec 2015
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 716 (36,580)
Citation 2

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Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation

100.

The Drivers of Expected Returns in International Markets

Number of pages: 27 Posted: 09 Sep 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 712 (36,826)
Citation 32

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Global risk factors, beta, cross-section of returns, systematic risk, idiosyncratic risk, size, semi-variance, downside betas, value-at-risk, skewness, coskewness, kurtosis, political risk, country risk

101.

The Equity Risk Premium in January 2006: Evidence from the Global Cfo Outlook Survey

Number of pages: 51 Posted: 19 Dec 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 701 (37,626)
Citation 4

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Cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX

102.

Managerial Response to the May 2003 Dividend Tax Cut

Number of pages: 34 Posted: 23 Jan 2007
Campbell R. Harvey, Alon Brav, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 684 (38,914)
Citation 16

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Payout, Dividend policy, Share repurchases, Tax cut, Press Release

103.

Modeling Analysts’ Recommendations via Bayesian Machine Learning

Number of pages: 30 Posted: 13 Nov 2018 Last Revised: 04 Oct 2019
Man AHL, Duke University - Fuqua School of Business, Man AHL, quantPORT and Realindex Investments
Downloads 676 (39,559)
Citation 1

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Variational Bayes, VB, IBCC, Machine Learning, Data Science, Analysts’ Forecasts, IBES, Analysts’ Recommendations, Forecast Fatigue, Forecast Combination, Dirichlet Distributed Prior, Galaxy Zoo

104.
Downloads 670 ( 40,008)
Citation 76

Emerging Equity Markets and Economic Development

AFA 2001 New Orleans Meetings; EFA 0711; Fuqua Working Paper No. 49
Number of pages: 41 Posted: 14 Aug 2000
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 609 (44,838)

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Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 61 (375,590)
Citation 7

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105.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 05 Aug 2019
Wolfgang K. Härdle, Campbell R. Harvey and Raphael C. G. Reule
Humboldt University of Berlin - Institute for Statistics and Econometrics, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 669 (40,250)
Citation 5

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Cryptocurrency, Blockchain, Bitcoin, Economic Bubble, Microstructure, Exchange-Based Trading, Peer-to-Peer, Finance, Cryptographic Hashing, Consensus, Proof-of-Work, Proof-of-Stake, Volatility, Gold, S&P 500, Bitcoin Futures, Derivatives, Hedging, Cryptocurrency Valuation

106.

Where Are the World's Best Analysts?

Number of pages: 10 Posted: 08 Oct 2013 Last Revised: 29 Nov 2013
Campbell R. Harvey, Sam Radnor, Khalil Mohammed and William Ferreira
Duke University - Fuqua School of Business, quantPORT, AHL Man Systematic Strategies and AHL Man Systematic Strategies
Downloads 668 (40,150)

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Analyst forecasts, analyst recommendations, earnings forecasts, Japanese analysts, Asian analysts, sell recommendations, buy recommendations, IBES recommendations

107.
Downloads 666 ( 40,341)
Citation 47

Foreign Speculators and Emerging Equity Markets

Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 605 (45,246)
Citation 45

Abstract:

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Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility

Foreign Speculators and Emerging Equity Markets

NBER Working Paper No. w6312
Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 04 Apr 2008
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 61 (375,505)

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108.
Downloads 656 ( 41,165)
Citation 3

The Management of Political Risk

Duke I&E Research Paper No. 2016-32
Number of pages: 21 Posted: 29 Jun 2016 Last Revised: 12 Jul 2016
Erasmo Giambona, John R. Graham and Campbell R. Harvey
Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 656 (40,565)

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Political risk, Risk management, Hedging, Real options, Cost of capital, Derivatives, Investment, Foreign direct investment, Risk aversion, Behavioral theory, Agency theory, Economic growth, FDI, ISDA, GARP

109.

The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns

Number of pages: 30 Posted: 25 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 655 (41,251)

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global bond strategies, predicting bond returns, trading strategies, interest rates, political risk, economic risk, financial risk, country risk, trading strategies, active management

110.

Decreasing Returns to Scale, Fund Flows, and Performance

Duke I&E Research Paper No. 2017-13, Mays Business School Research Paper No. 2990737
Number of pages: 59 Posted: 22 Jun 2017 Last Revised: 05 Nov 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 647 (41,963)
Citation 9

Abstract:

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Performance Evaluation, Mutual Funds, Hedge Funds, EM Algorithm, Fixed Effects, Random Effects, Scale, AUM, Alpha

111.

Economic and Financial Integration in Europe

Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13 Posted: 17 Apr 2017
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 644 (42,239)
Citation 2

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis

112.

The Equity Risk Premium in June 2005: Evidence from the Global Cfo Outlook Survey

Number of pages: 44 Posted: 15 Jun 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 584 (48,032)
Citation 3

Abstract:

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Cost of capital, equity premium, hurdle rate, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward

113.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005
Geert Bekaert, Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 514 (56,603)
Citation 15

Abstract:

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emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration

114.
Downloads 513 ( 56,603)
Citation 19

Dating the Integration of World Equity Markets

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Oct 2001
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 476 (61,480)
Citation 22

Abstract:

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Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 20 Apr 2008
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 37 (467,098)

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115.

The Theory and Practice of Corporate Risk Management: Evidence from the Field

Number of pages: 56 Posted: 22 Mar 2018 Last Revised: 03 Aug 2018
Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University, Duke University - Fuqua School of Business and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)
Downloads 505 (57,735)
Citation 10

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Corporate risk management, Expected cash flows, Risk aversion, Agency theory, Credit rationing, Information uncertainty, Financial distress, Dodd-Frank, Regulations, Operational/financial hedging methods

116.

Time-Varying Conditional Skewness and the Market Risk Premium

Number of pages: 34 Posted: 09 Sep 2005
Akhtar R. Siddique and Campbell R. Harvey
Government of the United States of America - Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 499 (58,591)
Citation 4

Abstract:

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Risk premium, reward to risk, volatility, skewness, risk premium puzzle, reward for skewness

117.

Parameter Uncertainty in Asset Allocation

Number of pages: 46 Posted: 18 Dec 2009 Last Revised: 18 Mar 2010
Campbell R. Harvey, John Liechty and Merrill W. Liechty
Duke University - Fuqua School of Business, Pennsylvania State University, University Park and Drexel University - Department of Decision Sciences
Downloads 492 (59,634)

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Bayesian decision problem, parameter uncertainty, optimal portfolios, utility function maximization, resampling

118.

Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations

Number of pages: 47 Posted: 03 Sep 1999
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 474 (62,438)
Citation 8

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Newsletter performance, market timing

119.

Access to Liquidity and Corporate Investment in Europe During the Financial Crisis

Number of pages: 38 Posted: 25 Nov 2010 Last Revised: 23 Aug 2011
Cornell University - Samuel Curtis Johnson Graduate School of Management, Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 463 (64,279)
Citation 8

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Financial Crisis, Investment Spending, Lines of Credit

120.
Downloads 448 ( 66,849)

Globalization and Asset Returns

Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79 Posted: 28 Aug 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads 448 (66,222)
Citation 4

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Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements

Globalization and Asset Returns

Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016
Posted: 18 Nov 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services

Abstract:

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121.

Managerial Overconfidence and Corporate Policies

NBER Working Paper No. w13711
Number of pages: 57 Posted: 31 Dec 2007 Last Revised: 21 Feb 2008
Itzhak Ben-David, Campbell R. Harvey and John R. Graham
Ohio State University (OSU) - Department of Finance, Duke University - Fuqua School of Business and Duke University
Downloads 448 (66,849)
Citation 3

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122.

How Blockchain Will Change Marketing As We Know It

Number of pages: 6 Posted: 12 Oct 2018
Campbell R. Harvey, Christine Moorman and Marc Toledo
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 441 (68,133)
Citation 2

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Martech, Fintech, Blockchain, Distributed Ledger, Social Media, Microtransactions, Machine-to-Machine Payments, Advertising, Incentives, Tailored Pricing

Capital Flows and the Behavior of Emerging Market Equity Returns

Fuqua School of Business Working Paper No. 9807
Number of pages: 51 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 355 (87,298)
Citation 11

Abstract:

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Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth

Capital Flows and the Behavior of Emerging Market Equity Returns

NBER Working Paper No. w6669
Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 10 Oct 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 80 (322,516)

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124.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 431 (70,101)
Citation 3

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125.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 399 (76,849)
Citation 9

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Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility

Economic, Financial and Fundamental Global Risk in and Out of the Emu

Fuqua School of Business Working Paper No. 9901
Number of pages: 52 Posted: 28 Apr 1999
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 343 (90,850)
Citation 2

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Economic, Financial, and Fundamental Global Risk in and Out of the Emu

NBER Working Paper No. w6967
Number of pages: 53 Posted: 09 Mar 1999 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 36 (471,705)

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127.

Demographics and International Investment

Number of pages: 30 Posted: 31 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 372 (83,316)
Citation 2

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global investment, population, international stock returns, asset allocation, active management, risk premium

128.

Does the Bond Market Do Better than the Stock Market in Predicting Economic Growth?

Number of pages: 18 Posted: 09 Oct 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 368 (84,391)
Citation 3

Abstract:

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structure, yield curve, forecasting GDP, predicting GDP

129.

The Equity Risk Premium in September 2005: Evidence from the Global Cfo Outlook Survey

Number of pages: 47 Posted: 28 Sep 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 356 (87,613)
Citation 7

Abstract:

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Cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX

130.

Replication in Financial Economics

Number of pages: 8 Posted: 24 Jun 2019 Last Revised: 30 Jul 2019
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 353 (88,516)

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Replication, Research Culture, Hard misconduct, Soft misconduct, Proprietary data, Robustness, P-hacking, Reverse p-hacking, Falsification, Fabrication, Plagiarism

131.

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Number of pages: 60 Posted: 27 Oct 2005
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 319 (99,149)
Citation 9

Abstract:

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International asset pricing, fundamental ratios, country risk, time-varying risk, valuation

132.

Bayesian Inference in Asset Pricing Tests

Number of pages: 44 Posted: 08 Oct 2005
Campbell R. Harvey and Guofu Zhou
Duke University - Fuqua School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 296 (107,646)
Citation 7

Abstract:

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Asset pricing, CAPM, Bayesian finance, CAPM tests, market efficiency

The Impact of the Federal Reserve Bank's Open Market Operations

Number of pages: 40 Posted: 04 May 2005
Campbell R. Harvey and Roger D. Huang
Duke University - Fuqua School of Business and University of Notre Dame
Downloads 245 (130,614)

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Federal Reserve Intervention, Bond market volatility, currency market volality, Reserve-draining operations, Reserve-adding operations, Fed Time

The Impact of the Federal Reserve Bank's Open Market Operations

NBER Working Paper No. w4663
Number of pages: 33 Posted: 19 Jun 2000
Roger D. Huang and Campbell R. Harvey
University of Notre Dame and Duke University - Fuqua School of Business
Downloads 32 (491,516)
Citation 2

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134.

Do European Brokers Add any Value Through Recommendations?

Number of pages: 13 Posted: 18 Mar 2010 Last Revised: 12 Apr 2010
Campbell R. Harvey, Sandy Rattray, Joachim Utans and Yasser Mawji
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 260 (123,360)
Citation 3

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Broker recommendations, Analyst forecasts, Best ideas, European brokers, Long recommendations, Short recommendations, Earnings forecasts, Research salesperson

135.

Do Analyst Experience, Location and Gender Affect the Performance of Broker Recommendations in Europe?

Number of pages: 11 Posted: 24 May 2011
Campbell R. Harvey, Khalil Mohammed and Sandy Rattray
Duke University - Fuqua School of Business, AHL Man Systematic Strategies and Man Group plc
Downloads 221 (145,067)
Citation 1

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Analyst recommendations, female analysts, experienced analysts, junior analysts, local analysts, global analysts, local brokers, global brokers, experienced brokers

136.

The Specification of Conditional Expectations

Number of pages: 71 Posted: 28 Apr 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 204 (156,386)
Citation 54

Abstract:

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nonparametric density estimation, forecasted returns, forecasted volatility, asymmetric volatility, reward to risk, time-varying expected returns

137.

An Evaluation of Alternative Multiple Testing Methods for Finance Applications

Number of pages: 51 Posted: 13 Dec 2019 Last Revised: 02 Feb 2020
Campbell R. Harvey, Yan Liu and Alessio Saretto
Duke University - Fuqua School of Business, Purdue University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 198 (160,839)
Citation 1

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Multiple hypothesis testing, False rejections, False discovery rate, False non-discovery rate, False omission rate, Family-wise error rate, Data mining, Data snooping, Type I error, Type II error, False discovery control, Luck, Test power

138.

The Persistence of Miscalibration

10th Miami Behavioral Finance Conference
Number of pages: 58 Posted: 11 Oct 2019 Last Revised: 10 Mar 2020
Duke University, Ohio State University (OSU) - Department of Finance, Duke University, Duke University - Fuqua School of Business and Duke University - Marketing
Downloads 196 (162,366)

Abstract:

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Learning, Information, Behavioral economics, Volatility forecasts, Market forecasts, Behavioral finance, Bayesian updating, Expectations

139.

When European Analysts Disagree, Who Should You Pay Attention To?

Number of pages: 10 Posted: 28 Mar 2010
Campbell R. Harvey, Sandy Rattray, Joachim Utans and Yasser Mawji
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 179 (176,220)
Citation 1

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Analyst Forecasts, Analyst Recommendations, Sell Recommendations, Buy Recommendations, Analyst Disagreement, Consensus Sell, Consensus Buy, Brave Call, Large Brokers, Small Brokers

140.

International Asset Pricing with Alternative Distributional Specifications

Number of pages: 34 Posted: 31 Oct 2005
Guofu Zhou and Campbell R. Harvey
Washington University in St. Louis - John M. Olin Business School and Duke University - Fuqua School of Business
Downloads 165 (189,124)
Citation 8

Abstract:

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International asset pricing, CAPM, mean-variance efficiency, alternative distributions, mixtures of normals

141.

Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?

Number of pages: 44 Posted: 28 Apr 2005
Bernard Dumas, Campbell R. Harvey and Pierre Ruiz
INSEAD, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 162 (192,054)
Citation 26

Abstract:

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Industry correlations, market integration, market segmentation, stock correlation, output correlation

142.

The Variation of Economic Risk Premiums

This paper is published in The Journal of Political Economy, 99:2, (1991), pp. 385-415
Number of pages: 24 Posted: 13 Nov 2018 Last Revised: 18 Apr 2019
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 156 (198,406)
Citation 158

Abstract:

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Factor timing, Predicting returns, Market timing, Factor premiums, Risk aversion, Risk premiums, Business cycle, Factor investing, Macro factors, Market efficiency

143.

Conditional Skewness in Asset Pricing Tests

Number of pages: 42 Posted: 05 Jun 2017
Campbell R. Harvey and Akhtar R. Siddique
Duke University - Fuqua School of Business and Government of the United States of America - Risk Analysis Division
Downloads 125 (236,908)
Citation 85

Abstract:

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CAPM, Skewness, Downside Risk, Tail Risk, Momentum, Non-Normality, Markowitz, Efficient Frontier, 3 Factor Model, Risk Premia, Time-Varying Risk

144.

Sources of Risk and Expected Returns in Global Equity Markets

NBER Working Paper No. w4622
Number of pages: 45 Posted: 10 Jul 2000 Last Revised: 24 Aug 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 104 (270,330)
Citation 4

Abstract:

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145.

Managerial Miscalibration: Presentation Slides

Number of pages: 15 Posted: 11 Nov 2019
Itzhak Ben-David, John R. Graham and Campbell R. Harvey
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business
Downloads 95 (287,177)
Citation 1

Abstract:

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Overprecision, Overconfidence, Behavioral Bias, Behavioral Economics, Investment, Leverage, Expected Returns, Survey Methodology, Capital Structure, Executive Compensation, Risk, Volatility Forecasts, Market Forecasts, Debt Policy, Behavioral Finance, Risk Premium

146.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 30 Sep 2010
Campbell R. Harvey, Guofu Zhou and Bruno Solnik
Duke University - Fuqua School of Business, Washington University in St. Louis - John M. Olin Business School and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 77 (326,595)

Abstract:

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147.

. . . And the Cross-Section of Expected Returns

NBER Working Paper No. w20592
Number of pages: 101 Posted: 22 Oct 2014
Campbell R. Harvey, Lucy Liu and Caroline Zhu
Duke University - Fuqua School of Business, Texas A&M University - Department of Marketing and University of Oklahoma
Downloads 76 (329,145)
Citation 102

Abstract:

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148.

Conditional Asset Allocation in Emerging Markets

NBER Working Paper No. w4623
Number of pages: 48 Posted: 01 Aug 2000 Last Revised: 24 Aug 2010
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 74 (334,189)

Abstract:

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149.

Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations

NBER Working Paper No. w4890
Number of pages: 51 Posted: 09 Jun 2004 Last Revised: 21 Apr 2008
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 61 (370,415)

Abstract:

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150.

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

NBER Working Paper No. w4595
Number of pages: 68 Posted: 13 Jul 2000 Last Revised: 26 Jul 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 50 (406,303)

Abstract:

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151.

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

NBER Working Paper No. w5860
Number of pages: 53 Posted: 15 Jul 2000 Last Revised: 04 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 41 (440,046)

Abstract:

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152.

Crowding: Evidence from Fund Managerial Structure

Number of pages: 50
Campbell R. Harvey, Yan Liu, Eric K. M. Tan and Min Zhu
Duke University - Fuqua School of Business, Purdue University, University of Queensland - Business School and University of Queensland
Downloads 28

Abstract:

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Mutual funds, managerial structure, diseconomies of scale, crowding, performance evaluation, decreasing returns to scale, alpha, capacity constraints, discretionary management, systematic management.

153.

The Strategic and Tactical Value of Commodity Futures

Financial Analysts Journal, Vol. 62, No. 2, pp. 69-97, April 2006
Posted: 23 May 2006
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business

Abstract:

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Derivative Instruments, Commodity Derivatives, Alternative Investments, Commodities, Portfolio Management, Asset Allocation

154.

The Contribution of Speculators to Effective Financial Markets

Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Geert Bekaert, Campbell R. Harvey and Marcio G. P. Garcia
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

Abstract:

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155.

The Role of Capital Markets in Economic Growth

Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Geert Bekaert, Campbell R. Harvey and Marcio G. P. Garcia
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

Abstract:

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