Andrei S. Gonçalves

Ohio State University (OSU) - Fisher College of Business

2100 Neil Avenue

Columbus, OH 43210-1144

United States

SCHOLARLY PAPERS

14

DOWNLOADS

11,329

SSRN CITATIONS

166

CROSSREF CITATIONS

19

Scholarly Papers (14)

1.

The Short Duration Premium

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 90 Posted: 17 Jun 2019 Last Revised: 02 Dec 2020
Andrei S. Gonçalves
Ohio State University (OSU) - Fisher College of Business
Downloads 1,577 (22,610)
Citation 9

Abstract:

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Equity Duration, Term Structure of Risk Premia, Intertemporal CAPM, Reinvestment Risk, Value Premium, Profitability Premium

2.

The Fundamental-to-Market Ratio and the Value Premium Decline

Kenan Institute of Private Enterprise Research Paper
Number of pages: 65 Posted: 13 Apr 2020 Last Revised: 18 Aug 2021
Andrei S. Gonçalves and Gregory Leonard
Ohio State University (OSU) - Fisher College of Business and University of North Carolina at Chapel Hill
Downloads 1,440 (25,867)
Citation 16

Abstract:

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Value Premium, Book-to-Market, Valuation Ratios, The Cross Section of Expected Returns

3.

Reinvestment Risk and the Equity Term Structure

Fisher College of Business Working Paper No. 2017-03-014, Charles A. Dice Center Working Paper No. 2017-14, Kenan Institute of Private Enterprise Research Paper Forthcoming, Journal of Finance, Forthcoming
Number of pages: 118 Posted: 06 Jun 2017 Last Revised: 02 Dec 2020
Andrei S. Gonçalves
Ohio State University (OSU) - Fisher College of Business
Downloads 1,432 (26,102)
Citation 6

Abstract:

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Equity Term Structure, Reinvestment Risk, Intertemporal CAPM

4.

Unsmoothing Returns of Illiquid Funds

Kenan Institute of Private Enterprise Research Paper No. 20-05, USC Lusk Center of Real Estate Working Paper Series, Fisher College of Business Working Paper No. 2024-03-002, Charles A. Dice Working Paper No. 2024-02, The Review of Financial Studies, forthcoming
Number of pages: 107 Posted: 27 Feb 2020 Last Revised: 08 Feb 2024
Spencer J. Couts, Andrei S. Gonçalves and Andrea Rossi
University of Southern California - Sol Price School of Public Policy, Ohio State University (OSU) - Fisher College of Business and University of Arizona - Department of Finance
Downloads 1,295 (30,303)

Abstract:

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Illiquidity, Return Unsmoothing, Performance Evaluation, Hedge Funds, Commercial Real Estate

5.

The Subjective Risk and Return Expectations of Institutional Investors

Fisher College of Business Working Paper No. 2023-03-014, Charles A. Dice Center Working Paper No. 2023-14, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 84 Posted: 25 May 2023 Last Revised: 11 Jan 2024
Spencer J. Couts, Andrei S. Gonçalves and Johnathan Loudis
University of Southern California - Sol Price School of Public Policy, Ohio State University (OSU) - Fisher College of Business and University of Notre Dame - Mendoza College of Business
Downloads 1,041 (41,400)
Citation 1

Abstract:

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Institutional Investors, Subjective Beliefs, Subjective Expected Returns, Subjective Risk, Subjective Risk Premia

6.

What Moves Equity Markets? A Term Structure Decomposition for Stock Returns

Kenan Institute of Private Enterprise Research Paper No.20-08
Number of pages: 71 Posted: 16 Aug 2019 Last Revised: 15 Jul 2021
Andrei S. Gonçalves
Ohio State University (OSU) - Fisher College of Business
Downloads 851 (54,790)
Citation 2

Abstract:

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Equity Volatility; Equity Term Structure; Equity Strips; Equity Duration; Campbell-Shiller

Aggregation, Capital Heterogeneity, and the Investment CAPM

Charles A Dice Center Working Paper No. 2017-19, Fisher College of Business Working Paper No. 2017-03-19
Number of pages: 98 Posted: 03 Oct 2017 Last Revised: 12 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 461 (117,849)
Citation 13

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The Investment Model of Asset Pricing, GMM, Structural Estimation, Anomalies, Joint Estimation

Aggregation, Capital Heterogeneity, and the Investment CAPM

Review of Financial Studies, Forthcoming
Number of pages: 97 Posted: 20 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 144 (379,316)
Citation 1

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The Investment CAPM, GMM, Aggregation, Working Capital, Value, Momentum, Investment, Profitability, Joint Estimation

Does the Investment Model Explain Value and Momentum Simultaneously?

NBER Working Paper No. w23910
Number of pages: 62 Posted: 09 Oct 2017 Last Revised: 01 May 2023
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 55 (709,680)

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8.

Corporate Deleveraging and Financial Flexibility

Fisher College of Business Working Paper No. 2017-03-028, Charles A. Dice Working Paper No. 2017-03-028
Number of pages: 73 Posted: 17 Nov 2017
Harry DeAngelo, Andrei S. Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Ohio State University (OSU) - Fisher College of Business and Ohio State University (OSU) - Department of Finance
Downloads 624 (82,060)
Citation 4

Abstract:

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deleveraging, financial flexibility, capital structure, payout policy, cash balances, leverage dynamics, financial distress

9.
Downloads 530 (100,766)

Corporate Deleveraging

Fisher College of Business Working Paper No. 2016-03-021, Charles A. Dice Center Working Paper No. 2016-21
Number of pages: 68 Posted: 04 Nov 2016
Harry DeAngelo, Andrei S. Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Ohio State University (OSU) - Fisher College of Business and Ohio State University (OSU) - Department of Finance
Downloads 471 (114,858)

Abstract:

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deleveraging, capital structure, payout policy, cash balances, leverage dynamics, financial flexibility, financial distress

Corporate Deleveraging

NBER Working Paper No. w22828
Number of pages: 68 Posted: 14 Nov 2016 Last Revised: 18 May 2023
Harry DeAngelo, Andrei S. Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Ohio State University (OSU) - Fisher College of Business and Ohio State University (OSU) - Department of Finance
Downloads 59 (685,817)

Abstract:

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10.

An Intertemporal Risk Factor Model

Number of pages: 171 Posted: 01 Sep 2020 Last Revised: 02 May 2024
Fousseni Chabi-Yo, Andrei S. Gonçalves and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management, Ohio State University (OSU) - Fisher College of Business and University of Notre Dame - Mendoza College of Business
Downloads 485 (112,226)
Citation 1

Abstract:

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ICAPM, Intertemporal Risk, Long-term Investors, Factor Models

11.

The Bond, Equity, and Real Estate Term Structures

Kenan Institute of Private Enterprise Research Paper Forthcoming
Number of pages: 67 Posted: 08 Oct 2020 Last Revised: 13 Oct 2020
Spencer Andrews and Andrei S. Gonçalves
Office of Financial Research, U.S. Department of the Treasury and Ohio State University (OSU) - Fisher College of Business
Downloads 409 (137,791)
Citation 2

Abstract:

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Cash Flow Duration, Risk Premia Term Structure, Bond Term Structure, Equity Term Structure, Real Estate Term Structure

12.
Downloads 389 (145,093)
Citation 4

Leverage and Cash Dynamics

Fisher College of Business Working Paper No. 2021-03-010, Charles A. Dice Working Paper No. 2021-10
Number of pages: 55 Posted: 22 Jun 2021
Harry DeAngelo, Andrei S. Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Ohio State University (OSU) - Fisher College of Business and Ohio State University (OSU) - Department of Finance
Downloads 368 (153,069)

Abstract:

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capital structure, cash balances, leverage dynamics, financial flexibility, payout policy

Leverage and Cash Dynamics

NBER Working Paper No. w28970
Number of pages: 55 Posted: 28 Jun 2021 Last Revised: 23 Sep 2022
Harry DeAngelo, Andrei S. Gonçalves and René Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Ohio State University (OSU) - Fisher College of Business and Ohio State University (OSU) - Fisher College of Business
Downloads 21 (989,455)
Citation 3

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13.

A First Look at the Historical Performance of the New NAV REITs

Fisher College of Business Working Paper No. 2024-03-001, Charles A. Dice Center Working Paper 2024-01
Number of pages: 44 Posted: 12 Jan 2024
Spencer J. Couts and Andrei S. Gonçalves
University of Southern California - Sol Price School of Public Policy and Ohio State University (OSU) - Fisher College of Business
Downloads 340 (168,176)

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Real Estate Investment Trusts, Risk-Adjusted Performance, Portfolio Allocation, Individual Investors

14.

Payout-Based Asset Pricing

Fisher College of Business Working Paper No. 2023-03-22, Charles A. Dice Working Paper No. 2022-22
Number of pages: 63 Posted: 27 Sep 2023
Andrei S. Gonçalves and Andreas Stathopoulos
Ohio State University (OSU) - Fisher College of Business and University of North Carolina (UNC) at Chapel Hill
Downloads 256 (225,780)

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JEL Classification: E10, E13, G10, G11, G12, G35 Payout-based Asset Pricing, Consumption-based Asset Pricing, Investment-based Asset Pricing, Market Returns, Aggregate Return Predictability