Robert J. Hodrick

Columbia Business School - Finance and Economics

Senior Vice Dean and Nomura Professor of International Finance

3022 Broadway

New York, NY 10027

United States

National Bureau of Economic Research (NBER)

365 Fifth Avenue, 5th Floor

New York, NY 10016-4309

United States

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 2,356

SSRN RANKINGS

Top 2,356

in Total Papers Downloads

11,624

CITATIONS
Rank 184

SSRN RANKINGS

Top 184

in Total Papers Citations

1,819

Scholarly Papers (38)

1.
Downloads 4,035 ( 1,504)
Citation 440

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 2,472 (3,528)
Citation 440

Abstract:

Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852
Number of pages: 57 Posted: 27 Oct 2004
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 1,563 (7,804)
Citation 440

Abstract:

2.
Downloads 1,806 ( 6,202)
Citation 16

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 1,775 (6,262)
Citation 16

Abstract:

idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058
Number of pages: 75 Posted: 07 Jun 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 28 (397,645)
Citation 16

Abstract:

Aggregate Idiosyncratic Volatility

CEPR Discussion Paper No. DP8149
Number of pages: 65 Posted: 27 Dec 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 3 (533,926)
Citation 16

Abstract:

contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

NBER Working Paper No. w13739
Number of pages: 52 Posted: 24 Jan 2008
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 666 (28,893)
Citation 149

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 577 (35,038)
Citation 149

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Xiaoyan Zhang, Andrew Ang, Robert J. Hodrick and Yuhang Xing
Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 423 (52,244)
Citation 149

Abstract:

idiosyncratic volatility, Fama-MacBeth regression

4.
Downloads 1,454 ( 8,966)
Citation 64

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 1,368 (9,712)
Citation 64

Abstract:

Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration

International Stock Return Comovements

NBER Working Paper No. w11906
Number of pages: 57 Posted: 22 Jan 2006
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 50 (317,946)
Citation 64

Abstract:

International Stock Return Comovements

CEPR Discussion Paper No. 5955
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 36 (364,243)
Citation 64

Abstract:

International diversification, correlation dynamics, country debate, factor models, comovements

5.
Downloads 653 ( 30,144)
Citation 47

Expectations Hypotheses Tests

EFA 0483; AFA 2001 New Orleans
Number of pages: 46 Posted: 03 Jan 2001
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 612 (32,430)
Citation 47

Abstract:

Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 41 (346,233)
Citation 47

Abstract:

6.
Downloads 308 ( 76,525)
Citation 1

The Carry Trade: Risks and Drawdowns

Columbia Business School Research Paper No. 14-35
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 29 May 2016
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Downloads 290 (81,358)
Citation 1

Abstract:

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433
Number of pages: 65 Posted: 03 Sep 2014
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Downloads 18 (451,730)
Citation 1

Abstract:

7.

Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?

Number of pages: 25 Posted: 30 Mar 2000
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 306 (74,881)
Citation 4

Abstract:

8.

Financial Market Efficiency Tests

NBER Working Paper No. w4108
Number of pages: 73 Posted: 23 Apr 2004
Tim Bollerslev and Robert J. Hodrick
Duke University - Finance and Columbia Business School - Finance and Economics
Downloads 113 (187,176)
Citation 9

Abstract:

9.

An Evaluation of Recent Evidence on Stock Market Bubbles

NBER Working Paper No. w1971
Number of pages: 48 Posted: 10 Feb 2001
Robert P. Flood, Robert J. Hodrick and Paul D. Kaplan
International Monetary Fund (IMF) - Research Department, Columbia Business School - Finance and Economics and Morningstar, Inc.
Downloads 73 (248,574)
Citation 11

Abstract:

10.

Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement

NBER Working Paper No. t0108
Number of pages: 55 Posted: 27 Jun 2007
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 69 (234,122)
Citation 272

Abstract:

11.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 62 (235,765)
Citation 147

Abstract:

12.

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

Netspar Discussion Paper No. 06/2014-022
Number of pages: 58 Posted: 02 Jul 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 56 (182,458)

Abstract:

13.

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

NBER Working Paper No. w3790
Number of pages: 48 Posted: 28 Dec 2006
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 56 (284,666)
Citation 110

Abstract:

14.

Estimating the Conditional CAPM with Overlapping Data Inference

Number of pages: 95 Posted: 12 Oct 2013
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) and Columbia Business School - Finance and Economics
Downloads 52 (287,012)
Citation 1

Abstract:

Conditional CAPM, overlapping data inference

15.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002
Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim and Xiaoyan Zhang
Brinson Partners, Columbia Business School - Finance and Economics, Brinson Partners and Purdue University - Krannert School of Management
Downloads 52 (307,277)
Citation 2

Abstract:

16.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999
Robert J. Hodrick, David T. Ng and Paul Sengmueller
Columbia Business School - Finance and Economics, Cornell University and Tilburg University
Downloads 51 (310,091)
Citation 20

Abstract:

17.

On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates

NBER Working Paper No. t0191
Number of pages: 41 Posted: 20 Jul 2000
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 50 (312,876)
Citation 90

Abstract:

18.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 48 (304,643)
Citation 63

Abstract:

19.

On Biases in the Measurement of Foreign Exchange Risk Premiums

NBER Working Paper No. w3861
Number of pages: 39 Posted: 10 Jul 2007
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 42 (336,475)
Citation 44

Abstract:

20.

An Investigation of Risk and Return in Forward Foreign Exchange

NBER Working Paper No. w1180
Number of pages: 55 Posted: 15 Mar 2004
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 42 (315,649)
Citation 28

Abstract:

21.

Foreign Currency Futures

NBER Working Paper No. w1743
Number of pages: 51 Posted: 03 May 2004
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 41 (327,357)
Citation 5

Abstract:

22.

Asset Price Volatility, Bubbles, and Process Switching

NBER Working Paper No. w1867
Number of pages: 26 Posted: 04 Apr 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 39 (346,031)
Citation 11

Abstract:

23.

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates

NBER Working Paper No. w1749
Number of pages: 37 Posted: 06 Jul 2004
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 37 (336,475)
Citation 36

Abstract:

24.

Estimating the Risk-Return Trade-Off with Overlapping Data Inference

Netspar Discussion Paper No. 06/2014-020
Number of pages: 43 Posted: 02 Jul 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 33 (256,299)

Abstract:

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

NBER Working Paper No. w4624
Number of pages: 50 Posted: 19 Dec 2000
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 32 (379,878)
Citation 37

Abstract:

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

Posted: 15 Sep 1999
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

26.

Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?

CEPR Discussion Paper No. 3056
Number of pages: 39 Posted: 06 Dec 2001
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 30 (378,670)
Citation 6

Abstract:

Exchange rates, interest rates, bond returns, multi-country models

27.

Risk, Uncertainty and Exchange Rates

NBER Working Paper No. w2429
Number of pages: 61 Posted: 06 Apr 2007
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 29 (359,790)
Citation 30

Abstract:

28.

The Variability of Velocity in Cash-in-Advance Models

NBER Working Paper No. w2891
Number of pages: 49 Posted: 16 Jul 2004
Robert J. Hodrick, Narayana Kocherlakota and Deborah J. Lucas
Columbia Business School - Finance and Economics, University of Minnesota - Twin Cities - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 27 (367,171)
Citation 17

Abstract:

"Peso Problem" Explanations for Term Structure Anomalies

NBER Working Paper No. w6147
Number of pages: 65 Posted: 01 Jul 2000
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 25 (412,739)
Citation 66

Abstract:

'Peso Problem' Explanations for Term Structure Anomalies

Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

30.

Estimating the Conditional CAPM with Overlapping Data Inference

Netspar Discussion Paper No. 02/2013-031
Number of pages: 96 Posted: 19 Oct 2013
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 24 (378,670)
Citation 1

Abstract:

31.

Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates

NBER Working Paper No. w1603
Number of pages: 39 Posted: 28 Jun 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 21 (410,631)
Citation 14

Abstract:

32.

Money and the Open Economy Business Cycle: a Flexible Price Model

NBER Working Paper No. w1967
Number of pages: 49 Posted: 19 Jun 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 17 (420,709)

Abstract:

33.

Testable Implications of Indeterminacies in Models with Rational Expectations

NBER Working Paper No. w2903
Number of pages: 33 Posted: 04 Jul 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 16 (436,016)
Citation 1

Abstract:

34.

Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle

NBER Working Paper No. w1089
Number of pages: 64 Posted: 19 Jun 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 13 (451,214)
Citation 3

Abstract:

35.

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

NBER Working Paper No. w20245
Number of pages: 58 Posted: 23 Jun 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 5 (491,246)

Abstract:

36.

U.S. International Capital Flows: Perspectives from Rational Maximizing Models

NBER Working Paper No. w2729
Number of pages: 57 Posted: 18 Dec 2010
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 5 (491,246)
Citation 4

Abstract:

37.

Estimating the Risk-Return Trade-Off with Overlapping Data Inference

NBER Working Paper No. w19969
Number of pages: 41 Posted: 19 Mar 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) and Columbia Business School - Finance and Economics
Downloads 3 (509,069)

Abstract:

38.

Post-War U.S. Business Cycles: An Empirical Investigation

JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4 (February 1997)
Posted: 04 May 2000
Robert J. Hodrick and Edward C. Prescott
Columbia Business School - Finance and Economics and Arizona State University (ASU) - Economics Department

Abstract: