J. Benson Durham

Cornerstone Macro LLC

1330 Sixth Avenue, 5th Floor

New York, NY 10019

United States

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 16,043

SSRN RANKINGS

Top 16,043

in Total Papers Downloads

4,103

SSRN CITATIONS
Rank 26,474

SSRN RANKINGS

Top 26,474

in Total Papers Citations

2

CROSSREF CITATIONS

33

Ideas:
“  Current Head of Global Asset Allocation at Cornerstone Macro LLC and Adjunct Professor of Economics at Georgetown University. Former Federal Reserve System (Board of Governors and FRBNY) as well as IMF senior staffer and buy side strategist and portfolio manager working on asset-pricing anomalies and the intersection of international macroeconomics, monetary policy, and global financial markets.  ”

Scholarly Papers (37)

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
Cornerstone Macro LLC
Downloads 1,135 (24,536)
Citation 11

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

Number of pages: 42 Posted: 10 Dec 2001
J. Benson Durham
Cornerstone Macro LLC
Downloads 665 (51,471)
Citation 2

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

Number of pages: 32 Posted: 27 May 2003
J. Benson Durham
Cornerstone Macro LLC
Downloads 388 (99,553)
Citation 5

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
Cornerstone Macro LLC
Downloads 337 (116,636)
Citation 11

Abstract:

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Affine term structure model, inflation risk premium

5.
Downloads 301 (131,665)
Citation 6

Abstract:

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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
Cornerstone Macro LLC
Downloads 249 (159,825)
Citation 7

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
Cornerstone Macro LLC
Downloads 112 (315,378)

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
Cornerstone Macro LLC
Downloads 92 (360,089)

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

Number of pages: 47 Posted: 23 Jan 2003
J. Benson Durham
Cornerstone Macro LLC
Downloads 171 (225,610)

Abstract:

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Asset pricing, extreme bound analysis, stock returns

9.
Downloads 143 (261,689)
Citation 2

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
Cornerstone Macro LLC
Downloads 123 (293,494)

Abstract:

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Home prices, financial assets

11.

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

Number of pages: 45 Posted: 21 Jul 2003
J. Benson Durham
Cornerstone Macro LLC
Downloads 122 (295,252)
Citation 9

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
Cornerstone Macro LLC
Downloads 86 (372,361)

Abstract:

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treasury term premium, monetary policy

13.

Another Arbitrage-Free Affine Model of TIPS Yields with Embedded Liquidity Risk

Number of pages: 49 Posted: 06 Nov 2021
J. Benson Durham
Cornerstone Macro LLC
Downloads 83 (380,431)

Abstract:

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14.

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
Cornerstone Macro LLC
Downloads 55 (471,879)
Citation 2

Abstract:

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

15.

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
Cornerstone Macro LLC
Downloads 41 (532,667)

Abstract:

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arbitrage-free model, foreign exchange

16.

The Golden Variable?

J. Benson Durham. 'The Golden Variable?.' The Journal Of Investing, 29, 5 (July 31, 2020): 77-95. DOI: https://doi.org/10.3905/joi.2020.1.137.
Posted: 16 Nov 2021
J. Benson Durham
Cornerstone Macro LLC

Abstract:

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17.

Cryptocurrency Risks

J. Benson Durham. "Cryptocurrency Risks." The Journal Of Investing, 29, 4 (May 31, 2020): 43-66. DOI: https://doi.org/10.3905/joi.2020.1.128.
Posted: 25 Oct 2021
J. Benson Durham
Cornerstone Macro LLC

Abstract:

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18.

Us Treasury Bond Betas:1961–2019

Durham, J. Benson, 2020, “U.S. Treasury Bond Betas: 1961–2019,” Journal of Fixed Income, vol. 29, no. 4, pp. 20–47. https://doi.org/10.3905/jfi.2020.1.083
Posted: 25 Oct 2021
J. Benson Durham
Cornerstone Macro LLC

Abstract:

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19.

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
Cornerstone Macro LLC

Abstract:

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20.

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
Cornerstone Macro LLC

Abstract:

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21.

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
Cornerstone Macro LLC

Abstract:

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22.

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
Cornerstone Macro LLC

Abstract:

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23.

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
Cornerstone Macro LLC

Abstract:

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24.

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
Cornerstone Macro LLC

Abstract:

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25.

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
Cornerstone Macro LLC

Abstract:

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26.

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

International Organization, Vol. 58, No. 3, 2004
Posted: 19 Jun 2019
J. Benson Durham
Cornerstone Macro LLC

Abstract:

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27.

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
Cornerstone Macro LLC

Abstract:

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

28.

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
Cornerstone Macro LLC

Abstract:

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stock market liberalisation, economic growth, private investment

29.

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
Cornerstone Macro LLC

Abstract:

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30.

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
Cornerstone Macro LLC

Abstract:

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extreme bound analysis, stock market anomalies, specification bias

31.

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
Cornerstone Macro LLC

Abstract:

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32.

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
Cornerstone Macro LLC

Abstract:

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33.

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
Cornerstone Macro LLC

Abstract:

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growth, investment, regimes

34.

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
Cornerstone Macro LLC

Abstract:

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35.

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
Cornerstone Macro LLC

Abstract:

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

36.

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
Cornerstone Macro LLC

Abstract:

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

37.

Monetary Policy and Stock Price Returns

Posted: 20 Jan 2004
J. Benson Durham
Cornerstone Macro LLC

Abstract:

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