Author Page for Robert J. Hodrick

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 1,912 (18,472)

Citation 1

Abstract:

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058

Number of pages: 75 Posted: 07 Jun 2010 Last Revised: 19 May 2023

Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 97 (586,019)

Citation 1

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 3 (1,363,157)

Citation 5

Add to Cart

Abstract:

4.

International Stock Return Comovements

Downloads 1,774 (21,124)

Citation 110

3

International Stock Return Comovements

ECB Working Paper No. 931

Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 17 Nov 2021

Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 1,591 (24,499)

Citation 11

Abstract:

International Stock Return Comovements

NBER Working Paper No. w11906

Number of pages: 57 Posted: 22 Jan 2006 Last Revised: 15 Jul 2022

Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 144 (430,610)

Citation 29

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 39 (950,035)

Citation 70

Add to Cart

Abstract:

5.

The Carry Trade: Risks and Drawdowns

Downloads 863 (60,266)

Citation 35

2

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming

Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017

Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - C. Herman and Mary Virginia Terry College of Business

Downloads 739 (73,083)

Citation 1

Abstract:

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433

Number of pages: 65 Posted: 03 Sep 2014 Last Revised: 01 May 2023

Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - C. Herman and Mary Virginia Terry College of Business

Downloads 124 (486,554)

Citation 34

Abstract:

6.

Expectations Hypotheses Tests

Downloads 821 (64,445)

Citation 16

2

Expectations Hypotheses Tests

Number of pages: 46 Posted: 03 Jan 2001

Geert Bekaert and Robert J. Hodrick

Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance

Downloads 668 (83,164)

Citation 3

Abstract:

Expectations Hypotheses Tests

NBER Working Paper No. w7609

Number of pages: 46 Posted: 25 Apr 2000 Last Revised: 17 Oct 2022

Geert Bekaert and Robert J. Hodrick

Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance

Downloads 153 (409,589)

Citation 13

Abstract:

7.

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 University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance

Downloads 560 (105,453)

Citation 67

Abstract:

8.

Variance Risk in Global Markets

Columbia Business School Research Paper Forthcoming

Number of pages: 63 Posted: 29 Aug 2019

Geert Bekaert, Robert J. Hodrick and Andrea Kiguel

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School

Downloads 466 (132,057)

Citation 1

Abstract:

9.

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 University - Columbia Business School, Finance and Centre for Economic Policy Research (CEPR)

Downloads 362 (176,388)

Citation 8

Abstract:

10.

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 University - Columbia Business School, Finance

Downloads 256 (254,450)

Abstract:

11.

Financial Market Efficiency Tests

NBER Working Paper No. w4108

Number of pages: 73 Posted: 23 Apr 2004 Last Revised: 24 Sep 2022

Tim Bollerslev and Robert J. Hodrick

Duke University - Finance and Columbia University - Columbia Business School, Finance

Downloads 219 (296,436)

Abstract:

12.

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 University - Columbia Business School, Finance

Downloads 212 (305,791)

Abstract:

13.

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 Last Revised: 20 Apr 2023

Robert J. Hodrick

Columbia University - Columbia Business School, Finance

Downloads 182 (352,218)

Citation 58

Abstract:

14.

An Investigation of Risk and Return in Forward Foreign Exchange

NBER Working Paper No. w1180

Number of pages: 55 Posted: 15 Mar 2004 Last Revised: 24 Sep 2022

Robert J. Hodrick and Sanjay Srivastava

Columbia University - Columbia Business School, Finance and Georgia State University-Robinson College of Business

Downloads 146 (425,214)

Citation 2

Abstract:

15.

Risk, Uncertainty and Exchange Rates

NBER Working Paper No. w2429

Number of pages: 61 Posted: 06 Apr 2007 Last Revised: 22 Aug 2022

Robert J. Hodrick

Columbia University - Columbia Business School, Finance

Downloads 128 (472,440)

Citation 10

Abstract:

16.

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 University - Columbia Business School, Finance

Downloads 124 (484,426)

Citation 1

Abstract:

17.

An Evaluation of Recent Evidence on Stock Market Bubbles

NBER Working Paper No. w1971

Number of pages: 48 Posted: 10 Feb 2001 Last Revised: 21 Nov 2022

Robert P. Flood, Robert J. Hodrick and Paul D. Kaplan

International Monetary Fund (IMF) - Research Department, Columbia University - Columbia Business School, Finance and Morningstar Canada

Downloads 123 (487,464)

Citation 2

Abstract:

18.

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 Last Revised: 11 Nov 2022

Geert Bekaert and Robert J. Hodrick

Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance

Downloads 112 (523,460)

Citation 15

Abstract:

19.

"Peso Problem" Explanations for Term Structure Anomalies

Downloads 109 (534,045)

Citation 16

2

"Peso Problem" Explanations for Term Structure Anomalies

NBER Working Paper No. w6147

Number of pages: 65 Posted: 01 Jul 2000 Last Revised: 26 Oct 2022

Geert Bekaert, Robert J. Hodrick and David A. Marshall

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

Downloads 109 (537,896)

Citation 16

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

Abstract:

20.

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 Last Revised: 12 Jul 2023

Geert Bekaert, Robert J. Hodrick and David A. Marshall

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

Downloads 105 (549,094)

Citation 9

Abstract:

21.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157

Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 24 Jul 2022

Robert J. Hodrick, David T. Ng and Paul Sengmueller

Columbia University - Columbia Business School, Finance, Johnson College of Business and Tilburg University

Downloads 105 (549,094)

Abstract:

22.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344

Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 15 Jul 2022

Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim and Xiaoyan Zhang

Brinson Partners, Columbia University - Columbia Business School, Finance, Brinson Partners and Tsinghua University - PBC School of Finance

Downloads 101 (564,844)

Abstract:

23.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661

Number of pages: 55 Posted: 16 May 2000 Last Revised: 09 Dec 2022

Robert J. Hodrick and Xiaoyan Zhang

Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Downloads 96 (584,206)

Citation 10

Abstract:

24.

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

NBER Working Paper No. w1967

Number of pages: 49 Posted: 19 Jun 2004 Last Revised: 18 Nov 2022

Robert P. Flood and Robert J. Hodrick

International Monetary Fund (IMF) - Research Department and Columbia University - Columbia Business School, Finance

Downloads 86 (625,759)

Abstract:

25.

An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data

NBER Working Paper No. w26750

Number of pages: 51 Posted: 18 Feb 2020 Last Revised: 03 Feb 2023

Robert J. Hodrick

Columbia University - Columbia Business School, Finance

Downloads 85 (630,219)

Citation 4

Abstract:

26.

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates

NBER Working Paper No. w1749

Number of pages: 37 Posted: 06 Jul 2004 Last Revised: 14 Oct 2022

Robert J. Hodrick and Sanjay Srivastava

Columbia University - Columbia Business School, Finance and Georgia State University-Robinson College of Business

Downloads 82 (643,652)

Citation 1

Abstract:

27.

Foreign Currency Futures

NBER Working Paper No. w1743

Number of pages: 51 Posted: 03 May 2004 Last Revised: 08 Oct 2022

Robert J. Hodrick and Sanjay Srivastava

Columbia University - Columbia Business School, Finance and Georgia State University-Robinson College of Business

Downloads 82 (643,652)

Citation 1

Abstract:

28.

On Biases in the Measurement of Foreign Exchange Risk Premiums

NBER Working Paper No. w3861

Number of pages: 39 Posted: 10 Jul 2007 Last Revised: 22 Jul 2022

Geert Bekaert and Robert J. Hodrick

Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance

Downloads 75 (677,158)

Citation 5

Abstract:

29.

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

Downloads 68 (714,292)

2

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 Last Revised: 20 Feb 2022

Geert Bekaert, Robert J. Hodrick and David A. Marshall

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Federal Reserve Bank of Chicago

Downloads 68 (726,320)

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance 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 University - Columbia Business School, Finance

Downloads 66 (725,823)

Citation 2

Abstract:

31.

Asset Price Volatility, Bubbles, and Process Switching

NBER Working Paper No. w1867

Number of pages: 26 Posted: 04 Apr 2004 Last Revised: 10 Aug 2022

Robert P. Flood and Robert J. Hodrick

International Monetary Fund (IMF) - Research Department and Columbia University - Columbia Business School, Finance

Downloads 64 (737,388)

Citation 1

Abstract:

32.

The Variability of Velocity in Cash-in-Advance Models

NBER Working Paper No. w2891

Number of pages: 49 Posted: 16 Jul 2004 Last Revised: 27 Nov 2022

Robert J. Hodrick, Narayana Kocherlakota and Deborah J. Lucas

Columbia University - Columbia Business School, Finance, University of Minnesota - Twin Cities - Department of Economics and Northwestern University - Kellogg School of Management

Downloads 63 (743,388)

Citation 3

Abstract:

33.

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications

NBER Working Paper No. w25092

Number of pages: 45 Posted: 01 Oct 2018 Last Revised: 24 Jul 2023

Robert J. Hodrick and Tuomas Tomunen

Columbia University - Columbia Business School, Finance and Boston College - Carroll School of Management

Downloads 49 (840,074)

Citation 2

Abstract:

34.

Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates

NBER Working Paper No. w1603

Number of pages: 39 Posted: 28 Jun 2004 Last Revised: 20 Nov 2022

Robert P. Flood and Robert J. Hodrick

International Monetary Fund (IMF) - Research Department and Columbia University - Columbia Business School, Finance

Downloads 48 (848,062)

Abstract:

35.

Testable Implications of Indeterminacies in Models with Rational Expectations

NBER Working Paper No. w2903

Number of pages: 33 Posted: 04 Jul 2004 Last Revised: 09 Dec 2022

Robert P. Flood and Robert J. Hodrick

International Monetary Fund (IMF) - Research Department and Columbia University - Columbia Business School, Finance

Downloads 39 (926,736)

Abstract:

36.

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

NBER Working Paper No. w19969

Number of pages: 41 Posted: 19 Mar 2014 Last Revised: 26 Jul 2023

Esben Hedegaard and Robert J. Hodrick

Arizona State University (ASU) and Columbia University - Columbia Business School, Finance

Downloads 37 (946,178)

Citation 2

Abstract:

37.

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

NBER Working Paper No. w20245

Number of pages: 58 Posted: 23 Jun 2014 Last Revised: 27 Apr 2023

Esben Hedegaard and Robert J. Hodrick

AQR Capital Management, LLC and Columbia University - Columbia Business School, Finance

Downloads 36 (955,972)

Abstract:

38.

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 Last Revised: 25 Dec 2022

Robert P. Flood and Robert J. Hodrick

International Monetary Fund (IMF) - Research Department and Columbia University - Columbia Business School, Finance

Downloads 33 (986,721)

Abstract:

39.

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

NBER Working Paper No. w2729

Number of pages: 57 Posted: 18 Dec 2010 Last Revised: 18 Dec 2022

Robert J. Hodrick

Columbia University - Columbia Business School, Finance

Downloads 32 (997,356)

Abstract:

40.

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

Number of pages: 39 Posted: 06 Dec 2001

Robert J. Hodrick and Maria Vassalou

Columbia University - Columbia Business School, Finance and Centre for Economic Policy Research (CEPR)

Downloads 31 (1,008,206)

Add to Cart

Abstract:

41.

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 University - Columbia Business School, Finance and Arizona State University (ASU) - Economics Department

Robert J. Hodrick

Columbia University - Columbia Business School, Finance

Nomura Professor of International Finance

National Bureau of Economic Research (NBER)

41

Top 4,182

19,147

Top 167

1,006

Scholarly Papers (41)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Aggregate Idiosyncratic Volatility

Abstract:

Abstract:

Abstract:

International Stock Return Comovements

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

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

Abstract:

Abstract: