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

170

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476,890

SSRN CITATIONS
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in Total Papers Citations

5,289

CROSSREF CITATIONS

6,728

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

Scholarly Papers (170)

1.

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: 10 Sep 2020
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 28,707 (92)
Citation 1

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Referee Report, Cover Letter, Conflicts of Interest

2.
Downloads 26,226 ( 103)
Citation 22

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 25,983 (103)
Citation 6

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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

Number of pages: 49 Posted: 18 Jan 2013 Last Revised: 13 Aug 2021
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 243 (160,313)
Citation 14

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3.

The Best Strategies for Inflationary Times

Number of pages: 32 Posted: 29 Mar 2021 Last Revised: 25 May 2021
Man Group, Man Group, Man Group, Duke University - Fuqua School of Business and Man AHL
Downloads 20,463 (154)

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Inflation hedge, inflation surprises, inflation shocks, temporary inflation, permanent inflation, inflation betas, portfolio management, asset allocation, risk management, commodities, gold, factor investing, bitcoin, cryptocurrency

4.

…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 19,632 (173)
Citation 135

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

5.

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

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 15,339 (280)
Citation 255

Abstract:

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

6.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 12,730 (410)
Citation 3

Abstract:

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Referee report, Cover letter, Ethics, Conflicts of Interest

7.

DeFi and the Future of Finance

Number of pages: 39 Posted: 15 Dec 2020 Last Revised: 15 Sep 2021
Campbell R. Harvey, Ashwin Ramachandran and Joey Santoro
Duke University - Fuqua School of Business, Independent and Fei Protocol
Downloads 12,391 (434)
Citation 13

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Decentralized finance, DeFi; Fintech, Flash loans, Flash swaps, Automatic Market Maker, Cryptocurrency, Uniswap, MakerDAO, Compound, Ethereum, Aave, Yield protocol, ERC-20, Initial DeFi Offering, dYdX, Synthetix, Keeper, Set protocol

8.
Downloads 10,710 ( 566)
Citation 39

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 10,257 (604)
Citation 10

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

Number of pages: 46 Posted: 29 Apr 2005 Last Revised: 01 Sep 2021
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 453 (80,882)
Citation 15

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9.

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 9,786 (661)
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

10.

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 8,962 (776)
Citation 1

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

11.
Downloads 8,798 ( 805)
Citation 186

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 The University of Hong Kong
Downloads 8,379 (859)
Citation 60

Abstract:

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Payout, Dividend policy, Share repurchases, Lintner model

Payout Policy in the 21st Century

Number of pages: 59 Posted: 23 May 2003 Last Revised: 23 May 2021
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 The University of Hong Kong
Downloads 419 (88,672)
Citation 41

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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 8,496 (838)
Citation 98

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

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earnings quality, FASB, sustainable earnings, earnings management

13.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 04 Feb 2021
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 8,232 (895)
Citation 11

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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

14.
Downloads 7,815 ( 985)
Citation 1,196

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 7,634 (1,019)
Citation 36

Abstract:

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

The Economic Implications of Corporate Financial Reporting

Number of pages: 72 Posted: 22 Jun 2004 Last Revised: 31 Oct 2021
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 181 (211,325)
Citation 257

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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

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

15.

Cryptofinance

Number of pages: 141 Posted: 19 May 2014 Last Revised: 16 Jan 2016
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 7,588 (1,042)
Citation 47

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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

16.

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 7,565 (1,047)
Citation 16

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

17.

Lucky Factors

Number of pages: 99 Posted: 22 Nov 2014 Last Revised: 08 Apr 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 7,160 (1,153)
Citation 21

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

18.

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 Global Advisors and Dartmouth College - Tuck School of Business
Downloads 7,090 (1,177)
Citation 6

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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

19.
Downloads 6,747 ( 1,285)
Citation 10

Corporate Culture: Evidence from the Field

27th Annual Conference on Financial Economics and Accounting Paper, Columbia Business School Research Paper No. 16-49, Duke I&E Research Paper No. 2016-33
Number of pages: 116 Posted: 09 Jul 2016 Last Revised: 17 May 2021
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 6,594 (1,320)
Citation 10

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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

Number of pages: 79 Posted: 20 Mar 2017 Last Revised: 18 Jul 2021
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 153 (244,076)
Citation 1

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20.

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 6,438 (1,386)
Citation 21

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

21.

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 6,173 (1,483)
Citation 16

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

22.

Political Risk, Economic Risk and Financial Risk

Fuqua School of Business Working Paper No. 9606
Number of pages: 41 Posted: 08 May 2000 Last Revised: 07 Aug 2020
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 5,604 (1,742)
Citation 13

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

23.

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 5,487 (1,790)
Citation 12

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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

24.
Downloads 4,935 ( 2,178)
Citation 15

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 4,721 (2,345)
Citation 19

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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 214 (181,284)
Citation 15

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25.

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 4,836 (2,278)
Citation 11

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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

26.

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 4,827 (2,284)
Citation 4

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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

27.
Downloads 4,457 ( 2,634)
Citation 103

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 4,392 (2,664)
Citation 41

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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

Number of pages: 39 Posted: 26 Jul 2010 Last Revised: 23 Oct 2021
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 65 (434,325)
Citation 17

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28.

Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 22 Aug 2021
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 4,406 (2,687)
Citation 2

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Gold, Golden constant, Real gold, ETF holdings, Inflation, Hyperinflation, GLD, Fundamental value, Inflation hedge, COVID-19

29.

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 4,398 (2,698)
Citation 41

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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 3,519 (3,862)
Citation 94

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 587 (58,618)
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

Number of pages: 38 Posted: 08 Dec 2009 Last Revised: 01 Jul 2021
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 91 (356,733)

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31.

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 4,193 (2,905)
Citation 98

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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

32.

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 4,126 (3,003)
Citation 32

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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

33.

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 4,100 (3,036)
Citation 7

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

34.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 16 Oct 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 3,701 (3,617)
Citation 23

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

35.

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 3,582 (3,812)
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 3,391 (4,103)
Citation 17

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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

Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 09 Sep 2021
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 102 (331,204)
Citation 22

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Liquidity and Expected Returns: Lessons from Emerging Markets

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 (654,821)
Citation 27
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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

37.

Momentum Turning Points

Number of pages: 80 Posted: 05 Dec 2019 Last Revised: 29 Jul 2021
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 3,500 (3,974)
Citation 2

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

38.

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 3,378 (4,215)
Citation 7

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39.

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 3,304 (4,385)
Citation 8

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

40.

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 3,251 (4,529)
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

41.

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
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 3,207 (4,627)
Citation 5

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Referee report, Cover letter, Ethics, Conflicts of Interest

42.

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 3,176 (4,702)
Citation 61

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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

43.

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 3,111 (4,876)
Citation 3

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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

44.

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 3,098 (4,909)
Citation 12

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

45.

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 3,021 (5,122)
Citation 94

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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

46.
Downloads 3,013 ( 5,150)
Citation 20

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 2,941 (5,260)
Citation 22

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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

Number of pages: 25 Posted: 19 Apr 2010 Last Revised: 03 Sep 2021
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 72 (410,754)

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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 2,995 (5,106)
Citation 16

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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

48.

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 2,946 (5,349)
Citation 17

Abstract:

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Corporate risk management, Global survey

49.

Breaking Bad Trends

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 11 Dec 2020
Research Affiliates LLC, Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 2,917 (5,422)
Citation 1

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Time-Series Momentum, Volatility Timing, Market Timing, Asset Pricing, Trend Following, Turning Points, Momentum Speed, Mean Reversion, Behavioral Finance

50.

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 2,813 (5,770)
Citation 3

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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

51.

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 2,765 (5,929)
Citation 4

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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

52.

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 2,724 (6,077)
Citation 3

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

53.

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 2,690 (6,204)
Citation 20

Abstract:

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

54.

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 2,537 (6,810)
Citation 32

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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

55.

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 2,476 (7,095)
Citation 10

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, Implied cost of capital

56.
Downloads 2,466 ( 7,136)
Citation 10

Detecting Repeatable Performance

Number of pages: 107 Posted: 19 Nov 2015 Last Revised: 05 Aug 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 2,421 (7,212)
Citation 9

Abstract:

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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

Number of pages: 65 Posted: 04 Apr 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 45 (516,021)
Citation 1

Abstract:

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57.

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 2,445 (7,224)
Citation 9

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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

58.

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 2,396 (7,466)
Citation 9

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

59.

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 2,278 (8,106)
Citation 4

Abstract:

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

60.

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 2,261 (8,193)
Citation 9

Abstract:

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

61.

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 2,240 (8,303)
Citation 12

Abstract:

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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

62.
Downloads 2,223 ( 8,405)
Citation 85

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 2,155 (8,680)
Citation 2

Abstract:

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What Segments Equity Markets?

Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 13 Jun 2021
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 62 (445,208)

Abstract:

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What Segments Equity Markets?

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 (787,479)
Citation 34
  • Add to Cart

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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

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 2,070 (9,251)
Citation 56

Abstract:

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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

Number of pages: 45 Posted: 30 Aug 2010 Last Revised: 30 Aug 2021
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 104 (326,869)
Citation 1

Abstract:

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64.

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 The University of Hong Kong
Downloads 2,173 (8,725)

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

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 2,047 (9,463)
Citation 7

Abstract:

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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

Number of pages: 40 Posted: 20 Dec 2001 Last Revised: 19 Sep 2021
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 83 (377,942)

Abstract:

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66.

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 2,093 (9,273)
Citation 2

Abstract:

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

67.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005 Last Revised: 07 Aug 2020
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 2,060 (9,521)
Citation 12

Abstract:

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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

68.

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 2,036 (9,721)
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

69.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 22 Sep 2020
Wolfgang K. Härdle, Campbell R. Harvey and Raphael C. G. Reule
Blockchain Research Center, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 1,842 (11,430)
Citation 18

Abstract:

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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

70.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 1,803 (11,833)
Citation 4

Abstract:

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Trading strategies, alpha, outperformance, crowding, downside risk, skewness, hitting time, allocation, redemption, Type I error, Type II error, drawdown, Sharpe ratio, structural breaks, Corona crash, COVID-19 crash

71.

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 1,793 (11,942)
Citation 14

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

72.

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 1,753 (12,373)
Citation 14

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

73.

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 1,730 (12,645)

Abstract:

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74.

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 1,684 (13,178)
Citation 10

Abstract:

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

The Effect of Capital Structure When Expected Agency Costs are Extreme

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 1,585 (14,229)
Citation 15

Abstract:

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

The Effect of Capital Structure When Expected Agency Costs are Extreme

Number of pages: 45 Posted: 03 Sep 2001 Last Revised: 07 Aug 2021
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 88 (364,436)
Citation 1

Abstract:

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76.

False (and Missed) Discoveries in Financial Economics

Number of pages: 61 Posted: 21 Nov 2017 Last Revised: 08 Jun 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,670 (13,378)
Citation 12

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

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 1,503 (15,505)

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

Dynamic Trading Strategies and Portfolio Choice

Number of pages: 28 Posted: 19 Oct 2004 Last Revised: 26 Jul 2021
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 163 (231,398)

Abstract:

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78.

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 1,635 (13,814)
Citation 4

Abstract:

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

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 1,561 (14,579)
Citation 43

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

Number of pages: 53 Posted: 30 Aug 2011 Last Revised: 19 Jun 2021
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 55 (472,153)

Abstract:

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80.

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 1,601 (14,265)
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

81.
Downloads 1,541 ( 15,165)
Citation 274

Does Financial Liberalization Spur Growth?

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 1,407 (17,133)
Citation 53

Abstract:

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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?

Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 14 Jul 2021
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 134 (271,865)
Citation 31

Abstract:

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82.
Downloads 1,517 ( 15,551)
Citation 120

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 1,357 (18,111)
Citation 8

Abstract:

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

Investor Competence, Trading Frequency, and Home Bias

Number of pages: 41 Posted: 07 Jul 2005 Last Revised: 22 Sep 2021
John R. Graham, Campbell R. Harvey and Hai Huang
Duke University, Duke University - Fuqua School of Business and Duke University - Finance
Downloads 160 (235,096)
Citation 29

Abstract:

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83.

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 1,423 (17,172)
Citation 1

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

84.
Downloads 1,382 ( 17,948)
Citation 282

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 1,294 (19,443)
Citation 12

Abstract:

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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

Number of pages: 57 Posted: 17 Jul 2000 Last Revised: 19 Aug 2021
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 88 (364,436)
Citation 17

Abstract:

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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

Abstract:

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85.

Be Skeptical of Asset Management Research

Number of pages: 6 Posted: 03 Sep 2021
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 1,239 (21,123)

Abstract:

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Backtesting, overfitting, p-hacking, research misconduct, research culture, performance fees, trading strategies, alpha

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 1,190 (22,038)
Citation 25

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

Number of pages: 50 Posted: 06 Dec 2010 Last Revised: 25 Apr 2021
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 31 (591,533)
Citation 3

Abstract:

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87.

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 1,217 (21,694)
Citation 35

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

88.
Downloads 1,206 ( 21,989)
Citation 189

Market Integration and Contagion

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 1,135 (23,638)
Citation 8

Abstract:

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Market Integration and Contagion

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 71 (413,992)
Citation 24

Abstract:

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89.
Downloads 1,181 ( 22,666)
Citation 49

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 1,019 (27,701)
Citation 47

Abstract:

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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

Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 04 Jul 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 162 (232,618)

Abstract:

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90.

Decoding Systematic Relative Investing: A Pairs Approach

Number of pages: 32 Posted: 02 Oct 2020 Last Revised: 11 Dec 2020
Christian L. Goulding, Campbell R. Harvey and Alex J. Pickard
Research Affiliates, LLC, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 1,166 (23,105)

Abstract:

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cross-sectional strategies, trading strategies, long-short strategies, relative value, momentum, portfolio construction, alpha, outperformance, anomalies, market timing, asset pricing, zero-cost portfolios, pair trades

91.

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 1,149 (23,592)
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

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 1,051 (26,453)
Citation 45

Abstract:

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Conditioning Variables and the Cross-Section of Stock Returns

Number of pages: 60 Posted: 28 Jun 2000 Last Revised: 28 Aug 2021
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 65 (434,325)
Citation 7

Abstract:

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93.
Downloads 1,114 ( 24,706)
Citation 88

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 1,035 (27,066)
Citation 3

Abstract:

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

Global Growth Opportunities and Market Integration

Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 14 Jul 2021
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 79 (389,357)
Citation 11

Abstract:

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94.
Downloads 1,100 ( 25,175)
Citation 15

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 750 (42,429)
Citation 5

Abstract:

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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 350 (109,055)
Citation 15

Abstract:

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95.

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 1,088 (25,574)
Citation 61

Abstract:

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

96.

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 Imperial College London - Business School
Downloads 1,077 (25,960)
Citation 7

Abstract:

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

97.
Downloads 1,063 ( 26,428)
Citation 60

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 1,014 (27,880)
Citation 2

Abstract:

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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

Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 10 Nov 2021
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 49 (497,414)
Citation 3

Abstract:

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98.
Downloads 1,053 ( 26,786)
Citation 21

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 1,007 (28,158)
Citation 3

Abstract:

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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

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 46 (511,337)
Citation 9

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99.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Campbell R. Harvey, Edward Hoyle, Sandy Rattray and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 1,040 (27,279)
Citation 1

Abstract:

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Systemic risk, COVID-19, Pandemic, Drawdowns, Rebalancing, Tail risk, Hedging, Risk management, Volatility targeting, Trend following, Moving-average crossover

100.
Downloads 1,020 ( 28,081)
Citation 32

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 878 (34,136)
Citation 7

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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 87 (367,071)
Citation 10

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Financial Openness and Productivity

Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 24 Jul 2021
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 55 (472,153)

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101.

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 1,003 (28,735)
Citation 1

Abstract:

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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.

102.

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 967 (30,291)
Citation 1

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

103.

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 954 (30,871)
Citation 5

Abstract:

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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

104.

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 939 (31,554)
Citation 10

Abstract:

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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

105.
Downloads 931 ( 31,958)
Citation 30

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 884 (33,795)

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The Dynamics of Emerging Market Equity Flows

Number of pages: 62 Posted: 26 Jun 2000 Last Revised: 24 Sep 2021
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 47 (506,668)

Abstract:

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106.

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 902 (33,413)
Citation 20

Abstract:

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

107.

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 901 (33,466)

Abstract:

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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

108.

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 883 (34,348)
Citation 67

Abstract:

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

109.

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 879 (34,579)
Citation 3

Abstract:

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

110.
Downloads 833 ( 37,254)
Citation 495

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 761 (41,589)
Citation 404

Abstract:

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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

Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 28 Mar 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 72 (410,754)
Citation 18

Abstract:

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Time-Varying World Market Integration

Posted: 03 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business

Abstract:

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111.

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 809 (38,803)
Citation 4

Abstract:

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

112.

Decreasing Returns to Scale, Fund Flows, and Performance

Number of pages: 60 Posted: 22 Jun 2017 Last Revised: 21 Jun 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 784 (40,497)
Citation 9

Abstract:

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

113.

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 777 (41,033)
Citation 35

Abstract:

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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

114.

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 747 (43,266)
Citation 4

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

115.
Downloads 745 ( 43,420)
Citation 5

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 745 (42,817)

Abstract:

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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

116.

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 735 (44,222)

Abstract:

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

117.

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 The University of Hong Kong
Downloads 716 (45,775)
Citation 16

Abstract:

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

118.

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

Number of pages: 30 Posted: 25 Oct 2005 Last Revised: 07 Aug 2020
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 706 (46,662)
Citation 1

Abstract:

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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

119.

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 697 (47,549)
Citation 3

Abstract:

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

120.
Downloads 683 ( 48,792)
Citation 79

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 621 (54,580)
Citation 81

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

Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 07 Oct 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 62 (445,208)

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121.
Downloads 681 ( 48,981)
Citation 80

Emerging Equity Markets and Economic Development

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 616 (55,120)

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Emerging Equity Markets and Economic Development

Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 19 Sep 2021
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 65 (434,325)
Citation 11

Abstract:

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122.

Up or Out: Resetting Norms for Peer Reviewed Publishing in the Social Sciences

Number of pages: 15 Posted: 15 Dec 2020
Campbell R. Harvey, David A. Hirshleifer and David A. Hirshleifer
Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 617 (55,698)

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Editing, Editorial process, Peer review, Research, Academic publishing, Innovation, Turnaround time, Refereeing, Union Heuristic, Intersection Heuristic, Up-or-out

123.

Quantifying Long-Term Market Impact

Number of pages: 23 Posted: 01 Jul 2021 Last Revised: 21 Sep 2021
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 591 (58,795)

Abstract:

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Impact costs, slippage, square-root law, implementation shortfall, metaorders, child orders, changepoints, systematic strategies, alpha, trading strategies, optimal execution, stitching, propagator

124.

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 588 (59,188)
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

125.

Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence

Number of pages: 95 Posted: 02 Jul 2020 Last Revised: 18 Oct 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 566 (62,047)
Citation 2

Abstract:

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Performance evaluation, alpha, active management, bootstrapping, market efficiency, fund management, oversampling, undersampling, Type I errors, Type II errors

126.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005 Last Revised: 07 Aug 2020
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 Ritholtz Wealth Management
Downloads 546 (64,907)
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

127.

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 532 (67,080)
Citation 4

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

128.
Downloads 529 ( 67,582)
Citation 35

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 487 (74,072)
Citation 42

Abstract:

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Dating the Integration of World Equity Markets

Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 17 Nov 2021
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 42 (530,529)

Abstract:

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129.

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 522 (68,718)
Citation 5

Abstract:

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

130.
Downloads 517 ( 69,545)

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 517 (68,784)
Citation 9

Abstract:

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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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131.

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 516 (69,724)

Abstract:

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

132.

Managerial Overconfidence and Corporate Policies

Number of pages: 57 Posted: 31 Dec 2007 Last Revised: 20 Jun 2021
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 498 (72,810)
Citation 6

Abstract:

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133.

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 497 (72,976)
Citation 12

Abstract:

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Newsletter performance, market timing

134.

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 486 (75,015)
Citation 18

Abstract:

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Financial Crisis, Investment Spending, Lines of Credit

135.
Downloads 473 ( 77,521)

The Persistence of Miscalibration

10th Miami Behavioral Finance Conference
Number of pages: 57 Posted: 28 Jul 2020 Last Revised: 28 Oct 2020
Duke University, Ohio State University (OSU) - Department of Finance, Duke University, Duke University - Fuqua School of Business and Duke University - Marketing
Downloads 464 (78,562)

Abstract:

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

The Persistence of Miscalibration

Number of pages: 58 Posted: 02 Nov 2020 Last Revised: 18 Nov 2021
Duke University, Ohio State University (OSU) - Department of Finance, Duke University, Duke University - Fuqua School of Business and Duke University - Marketing
Downloads 9 (761,632)
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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 369 (102,691)
Citation 17

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

Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 23 Sep 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 96 (344,655)

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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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 440 (84,485)
Citation 4

Abstract:

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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.

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 440 (84,485)
Citation 3

Abstract:

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139.

Crowding: Evidence from Fund Managerial Structure

Number of pages: 60 Posted: 09 Apr 2020 Last Revised: 10 Apr 2021
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 430 (86,809)
Citation 2

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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.

140.

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 412 (91,207)
Citation 14

Abstract:

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

141.

Demographics and International Investment

Number of pages: 30 Posted: 31 Oct 2005 Last Revised: 07 Aug 2020
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 387 (98,084)
Citation 2

Abstract:

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

142.

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 387 (98,084)
Citation 3

Abstract:

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structure, yield curve, forecasting GDP, predicting GDP

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 345 (110,849)
Citation 3

Abstract:

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

Number of pages: 53 Posted: 09 Mar 1999 Last Revised: 17 Jul 2021
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 41 (535,586)

Abstract:

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144.

Why Is Systematic Investing Important?

Forthcoming, Journal of Systematic Investing, 2021
Number of pages: 6 Posted: 19 Mar 2021
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 382 (99,531)

Abstract:

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Systematic investing, quantitative investing, algorithmic investing, alpha, backtest, machine learning, overfitting, behavioral bias, big data, tech-washing

145.

Uncovering the Iceberg from Its Tip: A Model of Publication Bias and p-Hacking

Number of pages: 32 Posted: 22 Jun 2021 Last Revised: 30 Jun 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 369 (103,476)

Abstract:

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p-hacking, Data mining, Anomalies, Simulations, Publication bias, Multiple testing

146.

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 367 (104,109)
Citation 8

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

147.

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 329 (117,621)
Citation 13

Abstract:

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

148.

Is Sector-neutrality in Factor Investing a Mistake?

Number of pages: 31 Posted: 10 Nov 2021
Sina Ehsani, Campbell R. Harvey and Feifei Li
Northern Illinois University, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 313 (124,031)

Abstract:

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Sector neutralization, industry factors, equity factors, sector neutral, sector bet, sector tilt, factor zoo, portfolio management, smart beta

149.

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 310 (125,344)
Citation 7

Abstract:

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

150.

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 304 (127,969)
Citation 188

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

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 257 (151,649)
Citation 2

Abstract:

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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&Apos;S Open Market Operations

Number of pages: 33 Posted: 19 Jun 2000 Last Revised: 07 Oct 2021
Roger D. Huang and Campbell R. Harvey
University of Notre Dame and Duke University - Fuqua School of Business
Downloads 35 (567,913)
Citation 2

Abstract:

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152.

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 272 (143,779)
Citation 3

Abstract:

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

153.

Unpatented Innovation and Merger Synergies

Review of Accounting Studies, forthcoming
Number of pages: 56 Posted: 22 Sep 2020 Last Revised: 11 Dec 2020
Messod D. Beneish, Campbell R. Harvey, Ayung Tseng and Patrick Vorst
Indiana University - Kelley School of Business - Department of Accounting, Duke University - Fuqua School of Business, Georgetown University - Department of Accounting and Business Law and Maastricht University School of Business and Economics
Downloads 260 (150,434)
Citation 1

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Acquisitions, Mergers, Synergies, Intellectual Property, Intangibles, R&D, Technology, Trade secrets, Innovation, Purchase Price Allocations

154.

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 248 (157,706)
Citation 2

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

155.

The Specification of Conditional Expectations

Number of pages: 71 Posted: 28 Apr 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 215 (180,752)
Citation 57

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

156.

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 201 (192,492)
Citation 149

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

157.

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 188 (204,407)
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

158.

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 169 (224,069)
Citation 8

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

159.

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 167 (226,356)
Citation 27

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

160.

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 155 (240,984)
Citation 1

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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

161.

. . . And the Cross-Section of Expected Returns

Number of pages: 101 Posted: 22 Oct 2014 Last Revised: 08 Oct 2021
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 113 (306,734)
Citation 226

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162.

Sources of Risk and Expected Returns in Global Equity Markets

Number of pages: 45 Posted: 10 Jul 2000 Last Revised: 20 Aug 2021
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 111 (310,548)
Citation 5

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163.

What Determines Expected International Asset Returns?

Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 28 Mar 2021
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 88 (361,313)

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164.

Conditional Asset Allocation in Emerging Markets

Number of pages: 48 Posted: 01 Aug 2000 Last Revised: 21 Aug 2021
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 77 (391,150)

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165.

Market Timing Ability and Volatility Implied in Investment Newletters&Apos; Asset Allocation Recommendations

Number of pages: 51 Posted: 09 Jun 2004 Last Revised: 13 Nov 2021
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 72 (406,064)
Citation 1

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166.

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

Number of pages: 68 Posted: 13 Jul 2000 Last Revised: 24 Jul 2021
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 55 (464,784)

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167.

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

Number of pages: 53 Posted: 15 Jul 2000 Last Revised: 08 Jul 2021
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 48 (493,137)

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168.

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

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

169.

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

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170.

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

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