J. Benson Durham

BlackRock, Inc

Managing Director

55 East 52nd Street

New York City, NY 10055

United States

SCHOLARLY PAPERS

33

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Top 13,167

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3,548

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Top 14,145

in Total Papers Citations

26

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Scholarly Papers (33)

1.

Foreign Portfolio Investment, Foreign Bank Lending, and Economic Growth

FRB International Finance Discussion Paper No. 757
Number of pages: 35 Posted: 29 May 2003
J. Benson Durham
BlackRock, Inc
Downloads 998 (21,254)

Abstract:

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Foreign Portfolio Investment, Economic Growth, Financial Development

2.

The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns

FEDS Working Paper No. 2001-42
Number of pages: 42 Posted: 10 Dec 2001
J. Benson Durham
BlackRock, Inc
Downloads 588 (44,241)

Abstract:

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Monetary policy, stock market returns

3.

Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach

FEDS Working Paper No. 2003-10
Number of pages: 32 Posted: 27 May 2003
J. Benson Durham
BlackRock, Inc
Downloads 352 (82,901)

Abstract:

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Monetary policy, asset pricing, stock returns, bond yields

4.

An Estimate of the Inflation Risk Premium Using a Three-Factor Affine Term Structure Model

FEDS Working Paper No. 2006-42
Number of pages: 26 Posted: 14 Dec 2006
J. Benson Durham
BlackRock, Inc
Downloads 306 (96,943)

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Affine term structure model, inflation risk premium

5.
Downloads 278 (107,493)

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Jump-diffusion, term-structure models

6.

Momentum and the Term Structure of Interest Rates

FRB of New York Staff Report No. 657
Number of pages: 41 Posted: 12 Jan 2014
J. Benson Durham
BlackRock, Inc
Downloads 201 (149,166)

Abstract:

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momentum anomaly, interest rates

Betting Against Beta (and Gamma) Using Government Bonds

Financial Analysts Journal, November/December 2016, Forthcoming, FRB of New York Staff Report No. 708
Number of pages: 44 Posted: 11 Feb 2015
J. Benson Durham
BlackRock, Inc
Downloads 103 (257,147)

Abstract:

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asset pricing, term structure, risk parity, betting against beta

Betting Against Beta (and Gamma) Using Government Bonds

FRB of New York Staff Report No. 708
Number of pages: 44 Posted: 18 Aug 2015
J. Benson Durham
BlackRock, Inc
Downloads 68 (332,670)

Abstract:

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asset pricing, term structure, risk parity, betting against beta

8.

The Extreme Bounds of the Cross-Section of Expected Stock Returns

FEDS Working Paper No. 2002-34
Number of pages: 47 Posted: 23 Jan 2003
J. Benson Durham
BlackRock, Inc
Downloads 152 (190,070)

Abstract:

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Asset pricing, extreme bound analysis, stock returns

9.

Sacrifice Ratios and Monetary Policy Credibility: Do Smaller Budget Deficits, Inflation-Indexed Debt, and Inflation Targets Lower Disinflation Costs?

FEDS Working Paper No. 2001-47
Number of pages: 62 Posted: 14 Dec 2001
J. Benson Durham
BlackRock, Inc
Downloads 130 (215,682)

Abstract:

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Monetary policy, sacrifice ratios

10.

What Do Financial Asset Prices Say About the Housing Market?

FEDS Working Paper No. 2006-32
Number of pages: 35 Posted: 13 Dec 2006
J. Benson Durham
BlackRock, Inc
Downloads 114 (237,936)

Abstract:

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Home prices, financial assets

11.

Estimates of the Term Premium on Near-Dated Federal Funds Futures Contracts

FEDS Working Paper No. 2003-19
Number of pages: 45 Posted: 21 Jul 2003
J. Benson Durham
BlackRock, Inc
Downloads 104 (253,788)

Abstract:

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Federal funds futures, term premium, expectations hypothesis

12.

Another View on U.S. Treasury Term Premiums

FRB of New York Staff Report No. 658
Number of pages: 37 Posted: 12 Jan 2014 Last Revised: 12 Jun 2019
J. Benson Durham
BlackRock, Inc
Downloads 70 (323,638)

Abstract:

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treasury term premium, monetary policy

13.

Arbitrage-Free Models of Stocks and Bonds

FRB of New York Staff Report No. 656
Number of pages: 33 Posted: 11 Jan 2014
J. Benson Durham
BlackRock, Inc
Downloads 46 (395,109)

Abstract:

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equity risk premium, Treasury term premium, affine arbitrage-free models

14.

Arbitrage-Free Affine Models of the Forward Price of Foreign Currency

FRB of New York Staff Report No. 665
Number of pages: 29 Posted: 03 Mar 2014
J. Benson Durham
BlackRock, Inc
Downloads 38 (424,912)

Abstract:

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arbitrage-free model, foreign exchange

15.

Which Anomalies are Robust in Emerging and Developed Stock Markets?

"Which Anomalies are Robust in Emerging and Developed Stock Markets?" Emerging Markets Quarterly, vol. 4, no. 3, pp. 50-67 (2000)
Posted: 21 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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16.

Can Long-Only Investors Use Momentum to Beat the US Treasury Market?

"Can Long-Only Investors Use Momentum to Beat the US Treasury Market?" Financial Analysts Journal, Vol. 71, No. 5, pp. 57-74, DOI:10.2469/faj.v71.n5.3 (2015)
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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17.

Betting Against Beta with Bonds: Worry or Love the Steepener?

"Betting against Beta with Bonds: Worry or Love the Steepener?" Financial Analysts Journal, DOI:10.2469/faj.v72.n6.5 (2016)
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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18.

What Do Sovereign Spreads Say About Expected Defaults and Devaluations? An Application to the European Sovereign Debt Crisis

"What Do Sovereign Spreads Say About Expected Defaults and Devaluations? An Application to the European Sovereign Debt Crisis," The Journal of Portfolio Management Winter 2014, 40 (2) 86-93; DOI:10.3905/jpm.2014.40.2.086
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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19.

Which Component of Treasury Yields Belongs in Equity Valuation Models? An Application to the S&P 500

"Which Component of Treasury Yields Belongs in Equity Valuation Models? An Application to the S&P 500," The Journal of Portfolio Management Summer 2013, 39 (4) 80-90; DOI:10.3905/jpm.2013.39.4.080
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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20.

Implied Interest Rate Skew, Term Premiums, and the 'Conundrum'

"Implied Interest Rate Skew, Term Premiums, and the “Conundrum," The Journal of Fixed Income Spring 2008, 17 (4) 88-99; DOI:10.3905/jfi.2008.705544
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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21.

Additional Analytical Approximations of the Term Structure and Distributional Assumptions for Jump-Diffusion Processes

"Additional Analytical Approximations of the Term Structure and Distributional Assumptions for Jump-Diffusion Processes," The Journal of Fixed Income Spring 2006, 15 (4) 61-73; DOI:10.3905/jfi.2006.627840
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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22.

Economic Growth and Institutions: Some Sensitivity Analyses, 1961–2000

International Organization, Vol. 58, No. 3, 2004
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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23.

Absorptive Capacity and the Effects of Foreign Direct Investment and Equity Foreign Portfolio Investment on Economic Growth

European Economic Review, Vol. 48, No. 2, 2004
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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foreign direct investment, equity foreign portfolio, investment, economic growth, financial development

24.

The Effects of Stock Market Development on Growth and Private Investment in Lower-Income Countries

Emerging Markets Review, Vol. 3, No. 3, 2002
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

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stock market liberalisation, economic growth, private investment

25.

Can Equity Investors Profit from Elections?

"Can Equity Investors Profit from Elections?," The Journal of Investing Spring 2002, 11 (1) 27-36; DOI:10.3905/joi.2002.319492
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

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26.

Sensitivity Analyses of Anomalies in Developed Stock Markets

Journal of Banking and Finance, Vol. 25, No. 8, 2001
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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extreme bound analysis, stock market anomalies, specification bias

27.

Extreme Bound Analysis of Emerging Market Stock Market Anomalies: Nothing is Robust

"Extreme Bound Analysis of Emerging Stock Market Anomalies", The Journal of Portfolio Management Winter 2000, 26 (2) 95-103; DOI: https://doi.org/10.3905/jpm.2000.319749
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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28.

Emerging Stock Market Liberalisation, Total Returns, and Real Effects: Some Sensitivity Analyses

"Emerging Stock Market Liberalisation, Total Returns, and Real Effects: Some Sensitivity Analyses," Oxford Department for International Development Working Paper No. 51
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

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29.

Economic Growth and Political Regimes

"Economic Growth and Political Regimes," Journal of Economic Growth (1999) 4: 81. DOI.org/10.1023/A:1009830709488
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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growth, investment, regimes

30.

A Survey of the Economic Literature on the Real Effects of International Capital Flows in Lower Income Countries

"A Survey of the Econometric Literature on the Real Effects of International Capital Flows in Lower Income Countries," Oxford Department for International Development Working Paper No. 50.
Posted: 19 Jun 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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31.

Implied Interest Rate Skew, Term Premiums, and the Conundrum

FEDS Working Paper No. 2007-55, https://doi.org/10.3905/jfi.2008.705544
Posted: 22 May 2019
J. Benson Durham
BlackRock, Inc

Abstract:

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Implied skew, term premiums, affine term structure model, conundrum

32.

More on Monetary Policy and Stock Price Returns

Financial Analysts Journal, Vol. 61, No. 4, pp. 83-90, July/August 2005
Posted: 16 Aug 2005
J. Benson Durham
BlackRock, Inc

Abstract:

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Economics: Relationship of Economic Activity to the Investment Process; Portfolio Management: Equity Strategies

33.

Monetary Policy and Stock Price Returns

Financial Analysts Journal, Vol. 59, No. 4, pp. 26-35, July/August 2003
Posted: 20 Jan 2004
J. Benson Durham
BlackRock, Inc

Abstract:

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Economics, relationship of economic activity to the investment process, Economics, macroeconomics