Campbell R. Harvey

Duke University - Fuqua School of Business

J. Paul Sticht Professor of International Business

Box 90120

Durham, NC 27708-0120

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Duke Innovation & Entrepreneurship Initiative

215 Morris St., Suite 300

Durham, NC 27701

United States

SCHOLARLY PAPERS

149

DOWNLOADS
Rank 8

SSRN RANKINGS

Top 8

in Total Papers Downloads

336,666

CITATIONS
Rank 11

SSRN RANKINGS

Top 11

in Total Papers Citations

2,896

Scholarly Papers (149)

1.
Downloads 23,393 ( 90)
Citation 16

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 23,241 (86)
Citation 21

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

The Golden Dilemma

NBER Working Paper No. w18706
Number of pages: 49 Posted: 18 Jan 2013
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 152 (191,422)
Citation 6

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2.

…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, Texas A&M University, Department of Finance and University of Oklahoma
Downloads 17,775 (139)
Citation 67

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

3.

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

AFA 2001 New Orleans; Duke University Working Paper
Number of pages: 48 Posted: 12 Apr 2000
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 14,468 (209)
Citation 1,136

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

4.

A Checklist for Reviewing a Paper

Duke I&E Research Paper No. 2017-03, Stanford University Graduate School of Business Research Paper No. 17-6
Number of pages: 2 Posted: 21 Dec 2016 Last Revised: 08 Jan 2017
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 11,547 (319)
Citation 1

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Referee Report, Cover Letter, Conflicts of Interest

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 9,587 (457)
Citation 15

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

The Tactical and Strategic Value of Commodity Futures

NBER Working Paper No. w11222
Number of pages: 46 Posted: 29 Apr 2005 Last Revised: 01 Sep 2010
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 366 (79,021)
Citation 31

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6.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 9,654 (462)
Citation 2

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Referee report, Cover letter, Ethics, Conflicts of Interest

7.
Downloads 8,331 ( 610)
Citation 116

Payout Policy in the 21st Century

Tuck Contemporary Corporate Finance Issues III Conference Paper
Number of pages: 43 Posted: 03 Aug 2004
Alon Brav, Campbell R. Harvey, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 8,019 (642)
Citation 5

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Payout, Dividend policy, Share repurchases, Lintner model

Payout Policy in the 21st Century

NBER Working Paper No. w9657
Number of pages: 59 Posted: 23 May 2003
Alon Brav, John R. Graham, Campbell R. Harvey and Roni Michaely
Duke University - Fuqua School of Business, Duke University, Duke University - Fuqua School of Business and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 312 (94,878)
Citation 157

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8.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 8,103 (636)
Citation 15

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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

9.
Downloads 7,409 ( 742)
Citation 123

Earnings Quality: Evidence from the Field

Number of pages: 73 Posted: 10 Jul 2012 Last Revised: 21 Feb 2014
Emory University - Department of Accounting, Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 7,409 (731)
Citation 123

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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

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 7,205 (772)
Citation 17

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

The Economic Implications of Corporate Financial Reporting

NBER Working Paper No. w10550
Number of pages: 72 Posted: 22 Jun 2004
John R. Graham, Campbell R. Harvey and Shivaram Rajgopal
Duke University, Duke University - Fuqua School of Business and Columbia Business School
Downloads 165 (178,409)
Citation 998

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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

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

The Economic Implications of Corporate Financial Reporting

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

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

11.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads 6,361 (972)
Citation 10

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

12.

Cryptofinance

Number of pages: 141 Posted: 19 May 2014 Last Revised: 16 Jan 2016
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 6,257 (996)
Citation 37

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

13.

Political Risk, Economic Risk and Financial Risk

Fuqua School of Business Working Paper No. 9606
Number of pages: 41 Posted: 08 May 2000
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 5,326 (1,316)
Citation 95

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

14.

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 Texas A&M University, Department of Finance
Downloads 5,297 (1,326)
Citation 18

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

15.

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 5,130 (1,405)
Citation 9

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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

16.

Lucky Factors

Number of pages: 98 Posted: 22 Nov 2014 Last Revised: 17 Jan 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 5,071 (1,439)
Citation 11

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

17.

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 4,877 (1,538)
Citation 10

Abstract:

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

18.

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 4,741 (1,614)
Citation 1

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

19.

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

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 4,346 (1,890)
Citation 1

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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

20.

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 4,268 (1,941)
Citation 9

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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

21.
Downloads 4,235 ( 1,966)
Citation 53

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 18 Sep 2013
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 4,182 (1,982)
Citation 21

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

Managerial Miscalibration

NBER Working Paper No. w16215
Number of pages: 39 Posted: 26 Jul 2010 Last Revised: 03 Aug 2010
Itzhak Ben-David, John R. Graham and Campbell R. Harvey
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business
Downloads 53 (379,706)
Citation 69

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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 3,383 (2,841)
Citation 289

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 559 (46,880)
Citation 6

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

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

NBER Working Paper No. w15552
Number of pages: 38 Posted: 08 Dec 2009 Last Revised: 05 Sep 2010
Murillo Campello, John R. Graham and Campbell R. Harvey
Cornell University - Samuel Curtis Johnson Graduate School of Management, Duke University and Duke University - Fuqua School of Business
Downloads 59 (360,240)

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23.

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 3,991 (2,192)
Citation 104

Abstract:

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

24.

How Do Cfos Make Capital Budgeting and Capital Structure Decisions?

Number of pages: 36 Posted: 09 Sep 2005
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 3,986 (2,198)
Citation 38

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

25.
Downloads 3,951 ( 2,289)
Citation 1

Corporate Culture: Evidence from the Field

27th Annual Conference on Financial Economics and Accounting Paper, Duke I&E Research Paper No. 2016-33, Columbia Business School Research Paper No. 16-49
Number of pages: 101 Posted: 09 Jul 2016 Last Revised: 27 Jun 2019
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 3,874 (2,306)
Citation 2

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

Corporate Culture: Evidence from the Field

NBER Working Paper No. w23255
Number of pages: 79 Posted: 20 Mar 2017
Duke University, Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Columbia Business School
Downloads 77 (316,310)

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26.
Downloads 3,872 ( 2,307)
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 3,710 (2,452)
Citation 12

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

Emerging Equity Markets in a Globalizing World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 29 Posted: 08 Jul 2014
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 162 (181,195)
Citation 12

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27.

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

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 3,852 (2,323)
Citation 5

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

28.

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

Number of pages: 30 Posted: 18 Nov 2004
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 3,782 (2,396)
Citation 15

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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

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 3,276 (3,010)
Citation 3

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

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 88 (286,727)

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Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (520,223)
Citation 195
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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

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G12, G15, F30

30.

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 3,385 (2,898)
Citation 182

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

31.

The Theory and Practice of Corporate Finance: The Data

Number of pages: 17 Posted: 12 May 2003
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 3,222 (3,172)
Citation 6

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32.

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 3,028 (3,520)
Citation 117

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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

33.

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 3,024 (3,530)
Citation 9

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

34.

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 2,957 (3,664)
Citation 5

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

35.
Downloads 2,887 ( 3,820)
Citation 10

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 2,826 (3,881)
Citation 15

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

A Corporate Beauty Contest

NBER Working Paper No. w15906
Number of pages: 25 Posted: 19 Apr 2010 Last Revised: 10 Oct 2010
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 61 (354,215)

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36.

The Equity Risk Premium in 2014

Number of pages: 21 Posted: 08 Apr 2014
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 2,857 (3,883)
Citation 17

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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

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 2,856 (3,815)
Citation 45

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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

38.

Presidential Address: The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 22 Dec 2017
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 2,676 (4,346)
Citation 6

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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

39.

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 2,625 (4,491)
Citation 13

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Corporate risk management, Global survey

40.

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 2,551 (4,696)
Citation 2

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

41.

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 2,430 (5,094)
Citation 2

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

42.

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 2,291 (5,634)
Citation 9

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

43.

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 2,272 (5,706)
Citation 5

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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

44.

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

Duke I&E Research Paper No. 2016-47
Number of pages: 14 Posted: 26 Nov 2016 Last Revised: 13 Dec 2016
Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 2,267 (5,731)
Citation 3

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Referee report, Cover letter, Ethics, Conflicts of Interest

45.

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 2,267 (5,731)
Citation 10

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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

46.

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 2,171 (6,151)
Citation 10

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

47.
Downloads 2,137 ( 6,316)
Citation 38

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 2,077 (6,496)
Citation 7

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 54 (376,463)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
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Citation 67
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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 2,018 (6,835)
Citation 109

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

Liquidity Management and Corporate Investment During a Financial Crisis

NBER Working Paper No. w16309
Number of pages: 45 Posted: 30 Aug 2010
Cornell University - Samuel Curtis Johnson Graduate School of Management, Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 86 (291,002)

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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 2,013 (6,863)
Citation 7

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

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

NBER Working Paper No. w8678
Number of pages: 40 Posted: 20 Dec 2001 Last Revised: 25 Oct 2010
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 76 (313,839)
Citation 7

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50.

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 2,061 (6,727)
Citation 3

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

51.
Downloads 2,050 ( 6,788)
Citation 3

Detecting Repeatable Performance

Number of pages: 107 Posted: 19 Nov 2015 Last Revised: 22 Jan 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 2,027 (6,777)
Citation 2

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

Rethinking Performance Evaluation

NBER Working Paper No. w22134
Number of pages: 65 Posted: 04 Apr 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 23 (513,872)

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52.

Payout Policy in the 21th Century: The Data

Johnson School Research Paper Series No. 29-06
Number of pages: 50 Posted: 21 Nov 2005
Alon Brav, Campbell R. Harvey, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 2,005 (7,058)

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

53.

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

Number of pages: 20 Posted: 28 Jan 2007
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,969 (7,289)
Citation 4

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

54.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 1,861 (8,018)
Citation 77

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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

55.

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 1,856 (8,062)
Citation 1

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

56.

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 1,724 (9,110)
Citation 10

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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

57.

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 1,711 (9,264)
Citation 2

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

58.

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 1,707 (9,264)
Citation 1

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59.

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 1,700 (9,327)
Citation 21

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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

The Effect of Capital Structure When Expected Agency Costs are Extreme

AFA 2002 Atlanta Meetings
Number of pages: 40 Posted: 15 Aug 2001
Karl V. Lins, Campbell R. Harvey and Andrew H. Roper
University of Utah - Department of Finance, Duke University - Fuqua School of Business and Compass Lexecon
Downloads 1,569 (10,439)
Citation 95

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

The Effect of Capital Structure When Expected Agency Costs are Extreme

NBER Working Paper No. w8452
Number of pages: 45 Posted: 03 Sep 2001 Last Revised: 23 Oct 2010
Campbell R. Harvey, Karl V. Lins and Andrew H. Roper
Duke University - Fuqua School of Business, University of Utah - Department of Finance and Compass Lexecon
Downloads 79 (306,576)
Citation 17

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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 1,473 (11,509)

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

Dynamic Trading Strategies and Portfolio Choice

NBER Working Paper No. w10820
Number of pages: 28 Posted: 19 Oct 2004 Last Revised: 27 Jul 2010
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 128 (220,148)

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62.

The Equity Risk Premium in 2018

Number of pages: 21 Posted: 02 Apr 2018
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,542 (10,945)
Citation 26

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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

63.

The Golden Constant

Duke I&E Research Paper No. 2016-35
Number of pages: 10 Posted: 21 May 2019 Last Revised: 30 May 2019
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 1,530 (11,051)
Citation 1

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

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 1,466 (11,600)
Citation 46

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

Capital Allocation and Delegation of Decision-Making Authority within Firms

NBER Working Paper No. w17370
Number of pages: 53 Posted: 30 Aug 2011 Last Revised: 20 Sep 2011
John R. Graham, Campbell R. Harvey and Manju Puri
Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 46 (404,495)

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65.

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 1,509 (11,325)
Citation 1

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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

66.
Downloads 1,469 ( 11,794)
Citation 163

Does Financial Liberalization Spur Growth?

AFA 2002 Atlanta Meetings
Number of pages: 52 Posted: 19 Apr 2001
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,346 (13,295)
Citation 107

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

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 123 (226,925)
Citation 238

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67.

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 1,443 (12,134)
Citation 4

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

68.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,441 (12,205)
Citation 5

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

69.
Downloads 1,402 ( 12,744)
Citation 44

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 1,287 (14,232)
Citation 3

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

Investor Competence, Trading Frequency, and Home Bias

NBER Working Paper No. w11426
Number of pages: 41 Posted: 07 Jul 2005 Last Revised: 22 Sep 2010
John R. Graham, Campbell R. Harvey and Hai Huang
Duke University, Duke University - Fuqua School of Business and Duke University - Finance
Downloads 115 (238,807)
Citation 85

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70.

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 Texas A&M University, Department of Finance
Downloads 1,376 (13,157)
Citation 10

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

71.
Downloads 1,328 ( 13,869)
Citation 174

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 1,252 (14,888)
Citation 7

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

Predictable Risk and Returns in Emerging Markets

NBER Working Paper No. w4621
Number of pages: 57 Posted: 17 Jul 2000 Last Revised: 19 Aug 2010
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 76 (313,839)
Citation 284

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Predictable Risk and Returns in Emerging Markets

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

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72.

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 1,228 (16,051)

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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

73.

Strategic Rebalancing

Number of pages: 19 Posted: 17 Feb 2019 Last Revised: 20 Jul 2019
Nicolas Granger, Campbell R. Harvey, Sandy Rattray and Otto Van Hemert
Man AHL, Duke University - Fuqua School of Business, Man Group plc and Man AHL
Downloads 1,196 (16,346)

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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

74.

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 1,194 (16,361)

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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

75.

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 1,177 (16,704)
Citation 58

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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

76.
Downloads 1,175 ( 16,750)
Citation 103

Market Integration and Contagion

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39 Posted: 22 Mar 2002
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,119 (17,688)
Citation 9

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Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 56 (369,832)
Citation 197

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The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,136 (17,281)
Citation 33

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

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 25 (501,689)

Abstract:

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78.
Downloads 1,098 ( 18,564)
Citation 302

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 949 (22,608)
Citation 328

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

Emerging Equity Market Volatility

NBER Working Paper No. w5307
Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 24 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 149 (194,673)

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79.
Downloads 1,096 ( 18,616)
Citation 49

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 1,021 (20,293)
Citation 1

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

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 75 (316,310)
Citation 89

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80.

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

Number of pages: 20 Posted: 19 Jul 2008 Last Revised: 25 Jul 2008
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 1,095 (18,641)
Citation 4

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

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 1,019 (20,357)
Citation 247

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Conditioning Variables and the Cross-Section of Stock Returns

NBER Working Paper No. w7009
Number of pages: 60 Posted: 28 Jun 2000 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 58 (363,413)

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82.
Downloads 1,067 ( 19,348)
Citation 16

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 725 (33,058)
Citation 23

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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 342 (85,583)
Citation 15

Abstract:

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83.
Downloads 1,042 ( 20,020)
Citation 24

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 996 (21,082)

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

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 46 (404,495)
Citation 64

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84.

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 1,023 (20,589)
Citation 226

Abstract:

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

85.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 25 Mar 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,001 (21,421)
Citation 1

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

86.
Downloads 950 ( 23,005)
Citation 16

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 915 (23,919)

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

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 35 (449,633)
Citation 20

Abstract:

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87.
Downloads 950 ( 22,966)
Citation 12

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 824 (27,762)

Abstract:

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financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 75 (316,310)
Citation 17

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Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 51 (386,567)

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88.
Downloads 919 ( 24,119)
Citation 46

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 876 (25,436)

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The Dynamics of Emerging Market Equity Flows

NBER Working Paper No. w7219
Number of pages: 62 Posted: 26 Jun 2000
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 43 (416,036)
Citation 39

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89.

Bayes vs. Resampling: A Rematch

Journal of Investment Management, Vol. 6 No. 1, First Quarter 2008
Number of pages: 36 Posted: 26 Apr 2006
John Liechty, Campbell R. Harvey and Merrill W. Liechty
Pennsylvania State University, University Park, Duke University - Fuqua School of Business and Drexel University - Department of Decision Sciences
Downloads 913 (24,380)
Citation 18

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

90.

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 887 (25,413)
Citation 1

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

91.

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 873 (25,986)
Citation 131

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

92.

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 852 (26,885)
Citation 2

Abstract:

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

93.
Downloads 798 ( 29,499)
Citation 285

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 736 (32,466)
Citation 4

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

Time-Varying World Market Integration

NBER Working Paper No. w4843
Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 30 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 62 (351,203)
Citation 520

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Time-Varying World Market Integration

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

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94.

False (and Missed) Discoveries in Financial Economics

Number of pages: 75 Posted: 21 Nov 2017 Last Revised: 02 Nov 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 729 (33,329)
Citation 6

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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

95.

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 701 (35,154)
Citation 35

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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

96.

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 693 (35,731)
Citation 4

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

97.

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 687 (36,153)
Citation 126

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

98.

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 684 (36,373)
Citation 3

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

99.

Managerial Response to the May 2003 Dividend Tax Cut

Number of pages: 34 Posted: 23 Jan 2007
Campbell R. Harvey, Alon Brav, John R. Graham and Roni Michaely
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 676 (36,976)
Citation 23

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

100.
Downloads 662 ( 37,972)
Citation 38

Emerging Equity Markets and Economic Development

AFA 2001 New Orleans Meetings; EFA 0711; Fuqua Working Paper No. 49
Number of pages: 41 Posted: 14 Aug 2000
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 603 (42,446)
Citation 1

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Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 59 (360,240)
Citation 81

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101.
Downloads 658 ( 38,345)
Citation 252

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 599 (42,898)
Citation 459

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

Foreign Speculators and Emerging Equity Markets

NBER Working Paper No. w6312
Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 04 Apr 2008
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 59 (360,240)

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102.

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 644 (39,381)

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

103.

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

Number of pages: 30 Posted: 25 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 641 (39,641)
Citation 12

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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

104.
Downloads 628 ( 40,751)
Citation 3

The Management of Political Risk

Duke I&E Research Paper No. 2016-32
Number of pages: 21 Posted: 29 Jun 2016 Last Revised: 12 Jul 2016
Erasmo Giambona, John R. Graham and Campbell R. Harvey
Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate, Duke University and Duke University - Fuqua School of Business
Downloads 628 (40,166)

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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

105.

Decreasing Returns to Scale, Fund Flows, and Performance

Duke I&E Research Paper No. 2017-13
Number of pages: 59 Posted: 22 Jun 2017 Last Revised: 06 Jul 2017
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 605 (42,824)
Citation 11

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

106.

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 600 (43,319)
Citation 2

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

107.

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 Texas A&M University, Department of Finance
Downloads 589 (44,419)

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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

108.

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 582 (45,074)
Citation 3

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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

109.

Modeling Analysts’ Recommendations via Bayesian Machine Learning

Number of pages: 30 Posted: 13 Nov 2018 Last Revised: 17 Dec 2018
Man AHL, Duke University - Fuqua School of Business, Man AHL, quantPORT and Realindex Investments
Downloads 572 (46,334)

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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

110.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005
Geert Bekaert, Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 507 (53,728)
Citation 20

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

111.
Downloads 506 ( 53,971)
Citation 82

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 473 (58,185)
Citation 132

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Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 20 Apr 2008
Geert Bekaert, Campbell R. Harvey and Robin L. Lumsdaine
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 33 (458,652)

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112.

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 489 (56,214)
Citation 23

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

113.

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 482 (57,264)

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

114.

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 468 (59,405)
Citation 58

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Newsletter performance, market timing

115.

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 458 (61,179)
Citation 41

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Financial Crisis, Investment Spending, Lines of Credit

116.

Managerial Overconfidence and Corporate Policies

NBER Working Paper No. w13711
Number of pages: 57 Posted: 31 Dec 2007 Last Revised: 21 Feb 2008
Itzhak Ben-David, Campbell R. Harvey and John R. Graham
Ohio State University (OSU) - Department of Finance, Duke University - Fuqua School of Business and Duke University
Downloads 428 (66,245)
Citation 7

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117.

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 425 (66,793)
Citation 3

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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 350 (83,534)
Citation 20

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

Capital Flows and the Behavior of Emerging Market Equity Returns

NBER Working Paper No. w6669
Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 10 Oct 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 74 (318,825)

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119.
Downloads 421 ( 67,548)

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 421 (66,927)
Citation 9

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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

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120.

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 392 (73,550)
Citation 40

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

121.

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 384 (75,364)
Citation 3

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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

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 340 (86,165)
Citation 3

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

NBER Working Paper No. w6967
Number of pages: 53 Posted: 09 Mar 1999 Last Revised: 12 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 35 (449,633)

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123.

Demographics and International Investment

Number of pages: 30 Posted: 31 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 364 (80,187)
Citation 9

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

124.

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 361 (80,964)
Citation 8

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structure, yield curve, forecasting GDP, predicting GDP

125.

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 351 (83,624)
Citation 7

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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

126.

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 312 (95,420)
Citation 34

Abstract:

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

127.

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 286 (104,866)
Citation 45

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

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

Number of pages: 40 Posted: 04 May 2005
Campbell R. Harvey and Roger D. Huang
Duke University - Fuqua School of Business and University of Notre Dame
Downloads 245 (122,709)
Citation 5

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

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

NBER Working Paper No. w4663
Number of pages: 33 Posted: 19 Jun 2000
Roger D. Huang and Campbell R. Harvey
University of Notre Dame and Duke University - Fuqua School of Business
Downloads 31 (468,536)
Citation 13

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129.

How Blockchain Will Change Marketing As We Know It

Number of pages: 6 Posted: 12 Oct 2018
Campbell R. Harvey, Christine Moorman and Marc Toledo
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 267 (112,761)

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

130.

Understanding Cryptocurrencies

Number of pages: 36 Posted: 29 Apr 2019
Wolfgang K. Härdle, Campbell R. Harvey and Raphael C. G. Reule
Humboldt University of Berlin - Institute for Statistics and Econometrics, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 266 (113,661)
Citation 3

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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

131.

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 254 (118,800)
Citation 3

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

132.

Replication in Financial Economics

Number of pages: 8 Posted: 24 Jun 2019 Last Revised: 22 Jul 2019
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 226 (135,881)

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

133.

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 216 (139,503)

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

134.

The Specification of Conditional Expectations

Number of pages: 71 Posted: 28 Apr 2005
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 197 (152,076)
Citation 120

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

135.

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 176 (168,455)
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

136.

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 161 (181,924)
Citation 50

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

137.

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 159 (183,951)
Citation 23

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

138.

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 99 (263,674)
Citation 588

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

139.

Sources of Risk and Expected Returns in Global Equity Markets

NBER Working Paper No. w4622
Number of pages: 45 Posted: 10 Jul 2000 Last Revised: 24 Aug 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 99 (263,674)
Citation 72

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140.

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 85 (290,592)
Citation 399

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

141.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 30 Sep 2010
Campbell R. Harvey, Guofu Zhou and Bruno Solnik
Duke University - Fuqua School of Business, Washington University in St. Louis - John M. Olin Business School and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 74 (315,450)
Citation 15

Abstract:

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142.

Conditional Asset Allocation in Emerging Markets

NBER Working Paper No. w4623
Number of pages: 48 Posted: 01 Aug 2000 Last Revised: 24 Aug 2010
Campbell R. Harvey
Duke University - Fuqua School of Business
Downloads 72 (320,306)
Citation 3

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143.

. . . And the Cross-Section of Expected Returns

NBER Working Paper No. w20592
Number of pages: 101 Posted: 22 Oct 2014
Campbell R. Harvey, Lucy Liu and Caroline Zhu
Duke University - Fuqua School of Business, Texas A&M University - Department of Marketing and University of Oklahoma
Downloads 63 (343,861)
Citation 269

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144.

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

NBER Working Paper No. w4890
Number of pages: 51 Posted: 09 Jun 2004 Last Revised: 21 Apr 2008
John R. Graham and Campbell R. Harvey
Duke University and Duke University - Fuqua School of Business
Downloads 59 (355,216)
Citation 6

Abstract:

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145.

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

NBER Working Paper No. w4595
Number of pages: 68 Posted: 13 Jul 2000 Last Revised: 26 Jul 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 47 (393,747)
Citation 10

Abstract:

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146.

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

NBER Working Paper No. w5860
Number of pages: 53 Posted: 15 Jul 2000 Last Revised: 04 Oct 2010
Wayne E. Ferson and Campbell R. Harvey
University of Southern California and Duke University - Fuqua School of Business
Downloads 40 (419,161)

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147.

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

148.

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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149.

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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