Chris Downing

BlackRock

Head of Fixed Income Beta Analytics

400 Howard Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 8,194

SSRN RANKINGS

Top 8,194

in Total Papers Downloads

4,738

CITATIONS
Rank 6,512

SSRN RANKINGS

Top 6,512

in Total Papers Citations

76

Scholarly Papers (10)

1.

Information Asymmetries in the Mortgage-Backed Securities Market

AFA 2006 Boston Meetings Paper
Number of pages: 34 Posted: 13 May 2005
Chris Downing, Dwight M. Jaffee and Nancy Wallace
BlackRock, University of California, Berkeley - Finance Group and University of California, Berkeley - Real Estate Group
Downloads 756 (25,527)
Citation 5

Abstract:

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Asymmetric Information, Mortgage-Backed Securities

2.

A Real Options Approach to Housing Investment

AFA 2002 Atlanta Mtgs; FEDS Working Paper No. 2000-30
Number of pages: 38 Posted: 21 Dec 2001
Chris Downing and Nancy Wallace
BlackRock and University of California, Berkeley - Real Estate Group
Downloads 731 (27,046)
Citation 4

Abstract:

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3.

Portfolio Construction and Tail Risk

Number of pages: 27 Posted: 25 Jan 2015 Last Revised: 17 Mar 2015
BlackRock, BlackRock, Inc., United Nations and BlackRock
Downloads 577 (20,856)

Abstract:

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tail risk, portfolio construction, mean-variance optimization, conditional value at risk

4.

An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?

FEDS Working Paper No. 2003-42
Number of pages: 40 Posted: 17 Oct 2003
Chris Downing, Richard Stanton and Nancy Wallace
BlackRock, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Real Estate Group
Downloads 516 (43,158)
Citation 26

Abstract:

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Prepayment, default, mortgage, valuation, house price, transaction cost, heterogeneity

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

Number of pages: 37 Posted: 05 Oct 2006
Chris Downing, Shane Underwood and Yuhang Xing
BlackRock, Baylor University and Rice University
Downloads 470 (50,034)
Citation 16

Abstract:

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Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 06 Feb 2008
Chris Downing, Shane Underwood and Yuhang Xing
BlackRock, Baylor University and Rice University

Abstract:

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Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency

6.

Trading Activity and Price Volatility in the Municipal Bond Market

FEDS Working Paper No. 2002-39, Journal of Finance, Vol. 59, No. 2, pp. 899-931
Number of pages: 38 Posted: 18 Oct 2002 Last Revised: 31 Jan 2008
Chris Downing and Frank Xiaoling Zhang
BlackRock and Morgan Stanley
Downloads 462 (48,152)
Citation 14

Abstract:

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Municipal, bond, price, volatility, volume

7.

Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads

FEDS Working Paper No. 2002-45
Number of pages: 42 Posted: 09 Jan 2003
Daniel M. Covitz and Chris Downing
Federal Reserve Board - Division of Research & Statistics and BlackRock
Downloads 253 (98,840)
Citation 4

Abstract:

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Yields, spreads, default, insolvency, liquidity

8.

Getting Bad News Out Early: Does it Really Help Stock Prices?

FEDS Research Paper
Number of pages: 42 Posted: 13 Jan 2004
Chris Downing and Steven A. Sharpe
BlackRock and Federal Reserve Board - Research & Statistics
Downloads 249 (101,739)

Abstract:

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Analyst forecasts, earnings management, expectations management

9.

The Term Structure of Commercial Paper Rates

FEDS Working Paper No. 2004-18
Number of pages: 54 Posted: 29 Jun 2004
Stephen D. Oliner and Chris Downing
American Enterprise Institute and BlackRock
Downloads 213 (120,235)
Citation 7

Abstract:

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Term structure, expectations hypothesis, commercial paper

10.

Inflation Tracking Portfolios

NBER Working Paper No. w18135
Number of pages: 23 Posted: 08 Jun 2012
Chris Downing, Francis A. Longstaff and Mike Rierson
BlackRock, University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN
Downloads 37 (323,842)

Abstract:

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