Jacob Boudoukh

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 2,787

SSRN RANKINGS

Top 2,787

in Total Papers Downloads

12,015

CITATIONS
Rank 1,732

SSRN RANKINGS

Top 1,732

in Total Papers Citations

323

Scholarly Papers (30)

1.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 2,903 (3,495)
Citation 7

Abstract:

Loading...

2.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 2,480 (4,565)

Abstract:

Loading...

Long Horizon Regressions, Predictability, T-Statistics, CAPE

Information, Trading, and Volatility: Evidence from Firm-Specific News

Number of pages: 54 Posted: 25 Dec 2012 Last Revised: 01 Dec 2017
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University (NYU) - Department of Finance
Downloads 739 (30,119)
Citation 3

Abstract:

Loading...

text analysis, excess volatility, roll R2, information and asset prices.

Which News Moves Stock Prices? A Textual Analysis

NBER Working Paper No. w18725
Number of pages: 46 Posted: 26 Jan 2013
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University (NYU) - Department of Finance
Downloads 109 (234,498)
Citation 3

Abstract:

Loading...

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 684 (33,523)
Citation 1

Abstract:

Loading...

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 78 (292,230)
Citation 1

Abstract:

Loading...

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NBER Working Paper No. w7214
Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 13 Oct 2010
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 49 (372,645)
Citation 1

Abstract:

Loading...

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Number of pages: 37 Posted: 27 Dec 2003
Interdisciplinary Center (IDC) Herzliyah, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 673 (34,378)
Citation 118

Abstract:

Loading...

Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

NBER Working Paper No. w10651
Number of pages: 75 Posted: 25 May 2006 Last Revised: 10 Aug 2010
Interdisciplinary Center (IDC) Herzliyah, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 106 (239,212)
Citation 118

Abstract:

Loading...

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Journal of Finance, Forthcoming
Posted: 07 Feb 2006
Interdisciplinary Center (IDC) Herzliyah, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

Abstract:

Loading...

Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 555 (44,273)
Citation 6

Abstract:

Loading...

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NBER Working Paper No. w7213
Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 13 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 40 (405,238)
Citation 6

Abstract:

Loading...

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 33 (434,772)
Citation 6

Abstract:

Loading...

Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 623 (38,063)
Citation 2

Abstract:

Loading...

Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

Abstract:

Loading...

8.
Downloads 571 ( 43,238)
Citation 74

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 417 (63,429)
Citation 73

Abstract:

Loading...

long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NYU Working Paper No. SC-AM-05-11
Number of pages: 40 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 73 (303,952)
Citation 74

Abstract:

Loading...

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841
Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 01 Aug 2009
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 55 (353,114)
Citation 74

Abstract:

Loading...

The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031
Number of pages: 39 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 26 (469,907)
Citation 74

Abstract:

Loading...

The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008
Posted: 08 Aug 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

Loading...

G12, G14, C12

9.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

EFMA 2001 Lugano Meetings
Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 411 (65,164)
Citation 16

Abstract:

Loading...

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011
Number of pages: 54 Posted: 10 Jun 2003
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 259 (108,998)
Citation 7

Abstract:

Loading...

excess volatility, nonlinear, state dependence

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05
Number of pages: 25 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 27 (464,285)
Citation 7

Abstract:

Loading...

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NBER Working Paper No. w9515
Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 24 (481,480)
Citation 7

Abstract:

Loading...

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011
Number of pages: 55 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 21 (499,505)
Citation 7

Abstract:

Loading...

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04
Number of pages: 54 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 16 (529,862)
Citation 7

Abstract:

Loading...

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Number of pages: 48 Posted: 23 Aug 2016 Last Revised: 25 Aug 2016
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 229 (123,684)

Abstract:

Loading...

Liquidity, International Bond Pricing, Financial Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

NBER Working Paper No. w22576
Number of pages: 49 Posted: 31 Aug 2016
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 23 (487,303)

Abstract:

Loading...

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NBER Working Paper No. w11840
Number of pages: 33 Posted: 27 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 61 (335,199)
Citation 12

Abstract:

Loading...

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032
Number of pages: 33 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 55 (353,114)
Citation 12

Abstract:

Loading...

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 32 (439,230)
Citation 12

Abstract:

Loading...

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. SC-AM-05-12
Number of pages: 34 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 26 (469,907)
Citation 12

Abstract:

Loading...

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 16 (529,862)
Citation 12

Abstract:

Loading...

13.
Downloads 188 (149,696)
Citation 18

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 121 (217,091)
Citation 18

Abstract:

Loading...

Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 67 (318,907)
Citation 18

Abstract:

Loading...

Optimal Risk Management Using Options

Journal of Finance, Vol. LIV, Issue No. 1
Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

Loading...

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 99 (251,149)
Citation 3

Abstract:

Loading...

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, New York University - Stern School of Business and New York University
Downloads 63 (329,680)
Citation 3

Abstract:

Loading...

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 100 (249,327)
Citation 25

Abstract:

Loading...

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013
Number of pages: 52 Posted: 11 Nov 2008
Jacob Boudoukh, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University
Downloads 46 (382,981)
Citation 25

Abstract:

Loading...

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

Abstract:

Loading...

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

Abstract:

Loading...

16.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950
Number of pages: 48 Posted: 09 Sep 2011
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 116 (223,017)

Abstract:

Loading...

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 112 (229,943)
Citation 4

Abstract:

Loading...

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

Abstract:

Loading...

18.

Optimal Currency Hedging for International Equity Portfolios

Number of pages: 35 Posted: 16 Oct 2018
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 98 (265,259)

Abstract:

Loading...

International equity portfolio, Currency risk, Optimal hedging, Carry, Value, Momentum

19.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019
Number of pages: 32 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 82 (280,876)
Citation 1

Abstract:

Loading...

20.
Downloads 78 (289,412)
Citation 7

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 54 (356,307)
Citation 7

Abstract:

Loading...

Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 24 (481,480)
Citation 7

Abstract:

Loading...

21.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 61 (330,779)
Citation 1

Abstract:

Loading...

22.

Do Asset Prices Reflect Fundamentals?

NYU Working Paper No. FIN-02-043
Number of pages: 51 Posted: 03 Nov 2008
Jacob Boudoukh, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University
Downloads 55 (347,825)
Citation 7

Abstract:

Loading...

23.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07
Number of pages: 51 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 49 (366,391)
Citation 7

Abstract:

Loading...

24.

The Financial Crisis: Whence and Whither?

Israel Economic Review, Vol. 8, No. 2, 2010
Number of pages: 6 Posted: 20 Dec 2012
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah
Downloads 19 (494,501)

Abstract:

Loading...

25.

Is there a Dollar Risk Factor?

Number of pages: 23
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 6

Abstract:

Loading...

Exchange rates, Dollar, Carry, Factor

26.

Stale Prices and Strategies for Trading Mutual Funds

Financial Analysts Journal, Vol. 58, No. 4, 2002
Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University - Stern School of Business

Abstract:

Loading...

Portfolio Management: trading and execution, Portfolio Management: private client focus

27.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

Loading...

28.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University

Abstract:

Loading...

29.

Can Market-Timers Time Markets? Evidence on the Predictability of Stock Returns from Asset Allocation Funds

Posted: 26 Apr 1998
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah

Abstract:

Loading...

30.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

Abstract:

Loading...