Author Page for Jacob Boudoukh

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University

Downloads 4,440 (4,772)

Citation 14

Abstract:

2.

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

Number of pages: 12 Posted: 07 Jan 1998

Matthew P. Richardson, Jacob Boudoukh and Robert Whitelaw

Department of Finance, Leonard N. Stern School of Business, New York University, Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 4,063 (5,526)

Citation 11

Abstract:

3.

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

Downloads 1,742 (21,474)

Citation 56

2

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

Number of pages: 54 Posted: 25 Dec 2012 Last Revised: 01 Dec 2017

Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson

Reichman University - 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 1,319 (31,957)

Citation 49

Abstract:

Which News Moves Stock Prices? A Textual Analysis

NBER Working Paper No. w18725

Number of pages: 46 Posted: 26 Jan 2013 Last Revised: 02 Mar 2023

Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson

Reichman University - 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 423 (144,367)

Citation 7

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Ashwin K Thapar and Franklin Wang

Reichman University - 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 1,313 (32,727)

Citation 8

Abstract:

5.

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

Downloads 1,068 (44,045)

Citation 120

3

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

Number of pages: 37 Posted: 27 Dec 2003

Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts

Reichman University - 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 886 (56,387)

Citation 1

Abstract:

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

Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts

Reichman University - 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 182 (345,700)

Citation 119

Abstract:

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

Journal of Finance, Forthcoming

Posted: 07 Feb 2006

Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts

Reichman University - 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)

Abstract:

6.

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

Downloads 926 (53,900)

3

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

Number of pages: 41 Posted: 11 Aug 1999

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 727 (73,478)

Abstract:

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

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 113 (514,146)

Abstract:

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

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 86 (621,605)

Abstract:

7.

A Unified Framework for Value and Momentum

Number of pages: 44 Posted: 23 Sep 2024

Jacob Boudoukh, Tobias J. Moskowitz, Tobias J. Moskowitz, Matthew P. Richardson and Lei Xie

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale University, Yale SOMAQR Capital, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC

Downloads 908 (55,351)

Abstract:

8.

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

Downloads 902 (55,890)

Citation 6

2

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

Number of pages: 9 Posted: 26 Mar 2004

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - 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 902 (55,024)

Citation 6

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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

Abstract:

9.

The Myth of Long-Horizon Predictability

Downloads 793 (66,554)

Citation 60

5

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 476 (125,315)

Citation 1

Abstract:

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841

Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2022

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 131 (457,470)

Citation 58

Abstract:

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 98 (571,304)

Abstract:

The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031

Number of pages: 39 Posted: 03 Nov 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 88 (612,555)

Citation 1

Abstract:

The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008

Posted: 08 Aug 2008

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

10.

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

Downloads 753 (71,330)

3

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

Number of pages: 43 Posted: 13 Aug 1999

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - 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 586 (96,977)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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 110 (524,824)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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 57 (779,398)

Abstract:

11.

Biases in Long-Horizon Predictive Regressions

Downloads 598 (95,784)

Citation 7

2

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University

Downloads 497 (118,971)

Citation 4

Abstract:

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410

Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 25 May 2023

Jacob Boudoukh, Ronen Israel and Matthew P. Richardson

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University

Downloads 101 (559,397)

Citation 3

Abstract:

12.

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

Number of pages: 45 Posted: 11 May 2001

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 577 (100,162)

Citation 17

Abstract:

13.

Is There a Dollar Risk Factor?

Number of pages: 23 Posted: 04 Nov 2018

Jacob Boudoukh, Matthew P. Richardson, Ashwin K Thapar and Franklin Wang

Reichman University - 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 569 (102,009)

Citation 2

Abstract:

14.

Sovereign Credit Quality and Violations of the Law of One Price

Downloads 567 (102,437)

Citation 1

2

Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 25 Aug 2024

Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu

Reichman University - 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 482 (123,471)

Citation 1

Abstract:

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: 10 Mar 2023

Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu

Reichman University - 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 85 (626,110)

Abstract:

15.

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

Downloads 511 (116,531)

Citation 6

5

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

Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw

Reichman University - 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 294 (215,795)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - 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 59 (765,993)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw

Reichman University - 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 57 (779,398)

Citation 4

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - 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 54 (800,149)

Citation 2

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - 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 47 (853,707)

Abstract:

16.

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

Downloads 388 (160,966)

Citation 1

5

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 124 (478,061)

Citation 1

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 99 (567,368)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 66 (722,839)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 50 (829,844)

Abstract:

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University

Downloads 49 (837,619)

Abstract:

17.

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 336 (188,603)

Abstract:

18.

Optimal Risk Management Using Options

Downloads 316 (201,320)

Citation 2

3

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001

Number of pages: 24 Posted: 07 Nov 2008

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 208 (305,096)

Citation 1

Abstract:

Optimal Risk Management Using Options

NBER Working Paper No. w6158

Number of pages: 45 Posted: 25 May 2006 Last Revised: 01 May 2022

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 108 (532,139)

Citation 1

Abstract:

Optimal Risk Management Using Options

Posted: 21 Dec 1997

Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

University of North Carolina at Chapel Hill, Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

19.

Identifying Shocks to Systematic Risk in Times of Crisis

Number of pages: 68 Posted: 06 Jun 2022 Last Revised: 03 Jul 2024

Jacob Boudoukh, Yukun Liu, Tobias J. Moskowitz, Tobias J. Moskowitz and Matthew P. Richardson

Reichman University - 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 307 (207,752)

Abstract:

20.

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

Downloads 250 (256,609)

2

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

Jacob Boudoukh, Matthew P. Richardson and Marti G. Subrahmanyam

Reichman University - 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 141 (430,839)

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Marti G. Subrahmanyam and Robert Whitelaw

Reichman University - 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 109 (528,385)

Abstract:

21.

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

Downloads 249 (257,593)

Citation 19

4

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

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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 161 (385,375)

Citation 14

Abstract:

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University

Downloads 88 (612,555)

Citation 5

Abstract:

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

Posted: 21 Apr 1995

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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

Abstract:

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

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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

Abstract:

22.

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

Jacob Boudoukh, Patrick McAllister, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Downloads 246 (260,737)

Citation 1

Abstract:

23.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09

Number of pages: 48 Posted: 04 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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 215 (296,831)

Abstract:

24.

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

Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw

Reichman University - 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 198 (320,772)

Citation 2

Abstract:

25.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 195 (325,240)

2

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019

Number of pages: 34 Posted: 11 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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 195 (324,180)

Abstract:

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998

Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw

Reichman University - 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

Abstract:

26.

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

Reichman University - Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University

Downloads 191 (331,569)

Abstract:

27.

The Financial Crisis: Whence and Whither?

Israel Economic Review, Vol. 8, No. 2, 2010

Number of pages: 6 Posted: 20 Dec 2012

Jacob Boudoukh

Reichman University - Interdisciplinary Center (IDC) Herzliyah

Downloads 184 (343,086)

Abstract:

28.

Regime Shifts and Bond Returns

Downloads 167 (373,658)

2

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12

Number of pages: 41 Posted: 12 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw

Reichman University - 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 106 (539,717)

Abstract:

Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010

Number of pages: 41 Posted: 07 Nov 2008

Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw

Reichman University - 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 61 (753,116)

Abstract:

29.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003

Matthew P. Richardson, Robert Whitelaw, Jacob Boudoukh and Marti G. Subrahmanyam

Department of Finance, Leonard N. Stern School of Business, New York University, New York University, Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

Abstract:

30.

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

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

31.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4

Posted: 25 May 1998

Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw

Reichman University - 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

Abstract:

32.

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

Posted: 26 Apr 1998

Jacob Boudoukh

Reichman University - Interdisciplinary Center (IDC) Herzliyah

Abstract:

33.

Hedging the Interest Rate Risk of Brady Bonds

96-50

Posted: 22 Jan 1997

Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Jacob Boudoukh

Reichman University - Interdisciplinary Center (IDC) Herzliyah

33

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