Jacob Boudoukh

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

SCHOLARLY PAPERS

32

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SSRN CITATIONS
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Top 968

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276

CROSSREF CITATIONS

916

Scholarly Papers (32)

1.

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 Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 3,928 (4,047)
Citation 3

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

2.

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

Number of pages: 12 Posted: 07 Jan 1998
Department of Finance, Leonard N. Stern School of Business, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,699 (4,493)
Citation 5

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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, Reichman University - Arison School of Business and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 1,091 (30,128)
Citation 17

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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 Last Revised: 01 Sep 2022
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Reichman University - Arison School of Business and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 297 (154,163)
Citation 8

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4.

Optimal Currency Hedging for International Equity Portfolios

Financial Analyst Journal - Forthcoming
Number of pages: 30 Posted: 16 Oct 2018 Last Revised: 08 Jun 2019
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,096 (30,397)
Citation 1

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

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

Number of pages: 37 Posted: 27 Dec 2003
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 784 (47,686)
Citation 1

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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 2022
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 141 (307,606)
Citation 42

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

Journal of Finance, Forthcoming
Posted: 07 Feb 2006
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

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

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 702 (55,305)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 89 (427,684)

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

NBER Working Paper No. w7214
Posted: 12 Jul 2000 Last Revised: 04 Apr 2022
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 65 (512,869)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 735 (52,022)
Citation 6

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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8.
Downloads 680 (58,474)
Citation 125

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 451 (96,560)
Citation 1

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long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841
Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2022
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 92 (418,590)
Citation 18

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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 85 (440,059)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 52 (572,531)
Citation 1

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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G12, G14, C12

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 568 (72,698)

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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: 18 Sep 2022
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 52 (572,531)

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 42 (627,173)

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10.

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

Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 546 (77,315)
Citation 13

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11.

Is There a Dollar Risk Factor?

Number of pages: 23 Posted: 04 Nov 2018
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 410 (108,987)
Citation 1

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Exchange Rates, Dollar, Carry, Factor

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, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University
Downloads 273 (168,369)

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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, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 41 (633,188)

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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: 03 Jul 2022
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University
Downloads 33 (685,205)
Citation 1

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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, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 29 (715,035)
Citation 3

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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, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 24 (756,103)

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Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 04 Nov 2019
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 334 (136,209)
Citation 1

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Liquidity, International Bond Pricing, Financial Crisis, Euro 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 Last Revised: 09 Sep 2022
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 50 (582,713)

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14.
Downloads 371 (122,140)
Citation 5

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 338 (134,481)
Citation 2

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410
Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 29 Nov 2022
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 33 (685,205)
Citation 3

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15.

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 284 (162,452)

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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 Last Revised: 09 Nov 2022
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 98 (401,377)
Citation 1

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 69 (496,680)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 45 (609,775)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 35 (671,348)

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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 33 (685,205)

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17.
Downloads 249 (185,501)
Citation 6

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 163 (273,059)
Citation 1

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Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006 Last Revised: 01 May 2022
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 86 (436,861)

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Optimal Risk Management Using Options

Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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18.

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 213 (215,384)

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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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 113 (363,586)

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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, Department of Finance, Leonard N. Stern School of Business, New York University, New York University (NYU) - Leonard N. Stern School of Business and New York University
Downloads 83 (446,398)

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 125 (337,511)
Citation 14

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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 62 (525,750)
Citation 5

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

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

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 183 (246,919)

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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 174 (257,926)

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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, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 171 (261,759)
Citation 1

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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, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 148 (295,890)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

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

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25.

The Systematic Risk of Global Asset Returns in Times of Crisis: (How) is COVID-19 Different?

Number of pages: 72 Posted: 06 Jun 2022 Last Revised: 02 Sep 2022
Interdisciplinary Center (IDC) Herzliyah, University of Rochester - Simon Business School, Yale University, Yale SOMAQR Capital and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 145 (300,197)

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26.

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 120 (346,539)

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27.
Downloads 109 (370,816)

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, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 73 (481,418)

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Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 36 (664,678)

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28.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
Department of Finance, Leonard N. Stern School of Business, New York University, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

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

29.

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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30.

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, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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31.

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

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32.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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