Ralph S. J. Koijen

University of Chicago - Booth School of Business

Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

http://faculty.chicagobooth.edu/ralph.koijen/

Centre for Economic Policy Research (CEPR)

London

United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Chicago - Booth School of Business

  • Centre for Economic Policy Research (CEPR)

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

43

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134,107

SSRN CITATIONS
Rank 239

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Top 239

in Total Papers Citations

3,240

CROSSREF CITATIONS

852

Scholarly Papers (43)

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1.

In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

Downloads 22,243 ( 219)
Citation 19

In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

Swiss Finance Institute Research Paper No. 20-91
Number of pages: 123 Posted: 23 Oct 2020 Last Revised: 13 May 2022
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 22,107 (220)
Citation 18

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In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

NBER Working Paper No. w28967
Number of pages: 54 Posted: 28 Jun 2021 Last Revised: 24 Feb 2023
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 131 (370,754)
Citation 1

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In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

CEPR Discussion Paper No. DP16290
Number of pages: 124 Posted: 14 Jul 2021
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 5 (1,060,028)
Citation 6
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2.

Carry

Downloads 17,347 ( 356)
Citation 16

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
Ralph S. J. Koijen, Tobias J. Moskowitz, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 15,826 (417)
Citation 4

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Carry Trade, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions

Carry

Chicago Booth Research Paper No. 15-20
Number of pages: 67 Posted: 19 Jul 2015 Last Revised: 01 Nov 2016
Ralph S. J. Koijen, Tobias J. Moskowitz, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 1,148 (32,120)
Citation 11

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Carry Trade, Predictability, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions, Liquidity Risk, Volatility Risk

Carry

NBER Working Paper No. w19325
Number of pages: 65 Posted: 17 Aug 2013 Last Revised: 22 Apr 2023
Ralph S. J. Koijen, Tobias J. Moskowitz, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 365 (140,464)

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Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
Ralph S. J. Koijen, Tobias J. Moskowitz, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

3.

Coronavirus: Impact on Stock Prices and Growth Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22
Number of pages: 34 Posted: 17 Mar 2020 Last Revised: 28 Nov 2022
Niels Joachim Gormsen and Ralph S. J. Koijen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 11,619 (748)
Citation 47

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4.

A Demand System Approach to Asset Pricing

Downloads 6,575 ( 1,971)
Citation 243

A Demand System Approach to Asset Pricing

Journal of Political Economy, Vol. 127, No. 4, 2019
Number of pages: 62 Posted: 14 Dec 2014 Last Revised: 21 Jun 2019
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 6,434 (2,029)
Citation 46

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Asset pricing model, Demand system, Institutional investors, Liquidity, Portfolio choice

A Demand System Approach to Asset Pricing

NBER Working Paper No. w21749
Number of pages: 63 Posted: 23 Nov 2015 Last Revised: 05 Jun 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 141 (350,012)
Citation 26

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5.

Granular Instrumental Variables

Downloads 6,273 ( 2,142)
Citation 6

Granular Instrumental Variables

Journal of Political Economy (forthcoming)
Number of pages: 104 Posted: 15 Apr 2019 Last Revised: 14 Nov 2023
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 6,188 (2,181)
Citation 3

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Granular Instrumental Variables

NBER Working Paper No. w28204
Number of pages: 97 Posted: 21 Dec 2020 Last Revised: 26 Jul 2023
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 84 (507,596)

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Granular Instrumental Variables

CEPR Discussion Paper No. DP15531
Number of pages: 100 Posted: 23 Dec 2020
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 1 (1,091,946)
Citation 5
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6.

Which Investors Matter for Equity Valuations and Expected Returns?

Downloads 5,386 ( 2,780)
Citation 15

Which Investors Matter for Equity Valuations and Expected Returns?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-92, NYU Stern School of Business
Number of pages: 75 Posted: 28 Jun 2019 Last Revised: 31 Aug 2023
Ralph S. J. Koijen, Robert Richmond and Motohiro Yogo
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 5,303 (2,821)
Citation 4

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Asset demand system, Asset pricing, Climate risk, Passive investment management, Price informativeness

Which Investors Matter for Equity Valuations and Expected Returns?

NBER Working Paper No. w27402
Number of pages: 76 Posted: 22 Jun 2020 Last Revised: 17 May 2023
Ralph S. J. Koijen, Robert Richmond and Motohiro Yogo
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 81 (519,109)
Citation 1

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Which Investors Matter for Equity Valuations and Expected Returns?

CEPR Discussion Paper No. DP14890
Number of pages: 56 Posted: 16 Jun 2020
Ralph S. J. Koijen, Robert Richmond and Motohiro Yogo
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 2 (1,083,049)
Citation 9
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7.

The Cross-Section and Time-Series of Stock and Bond Returns

Downloads 5,302 ( 2,857)
Citation 64

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017
Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 4,245 (4,101)
Citation 6

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The Cross-Section and Time-Series of Stock and Bond Returns

NYU Working Paper No. 2451/31423
Number of pages: 64 Posted: 13 Jan 2012 Last Revised: 16 Dec 2014
Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 757 (57,292)

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The Cross-Section and Time-Series of Stock and Bond Returns

NBER Working Paper No. w15688
Number of pages: 68 Posted: 01 Feb 2010 Last Revised: 05 Feb 2023
Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 297 (175,286)
Citation 43

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The Cross-Section and Time-Series of Stock and Bond Returns

CEPR Discussion Paper No. DP9024
Number of pages: 69 Posted: 28 Sep 2012
Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 3 (1,075,159)
Citation 17
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bond risk premium, cross-section of stock returns

8.

Momentum and Mean-Reversion in Strategic Asset Allocation

EFA 2006 Zurich Meetings
Number of pages: 34 Posted: 07 Jun 2006 Last Revised: 28 Jan 2009
Ralph S. J. Koijen, Juan Carlos Rodriguez and Alessandro Sbuelz
University of Chicago - Booth School of Business, Tilburg University and CentER and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 5,159 (2,988)
Citation 7

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Return predictability, Momentum, Mean reversion, Portfolio choice

9.

On the Timing and Pricing of Dividends

Downloads 4,467 ( 3,833)
Citation 142

On the Timing and Pricing of Dividends

CRSP Working Paper, Chicago Booth Research Paper No. 10-30, Swiss Finance Institute Research Paper No. 11-13
Number of pages: 38 Posted: 12 Feb 2010 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 3,731 (5,118)
Citation 14

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Equity Risk Premium, Pricing Dividends, Trading Dividends, Return Predictability

On the Timing and Pricing of Dividends

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 16 Mar 2011 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 406 (124,418)
Citation 41

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Dividend Strips, Equity Risk Premium, Term Structure of Equity

On the Timing and Pricing of Dividends

MFI Working Paper No. 210-010
Number of pages: 49 Posted: 17 Nov 2010 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 239 (218,525)

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Equity risk premium, dividend strips, excess volatility

On the Timing and Pricing of Dividends

NBER Working Paper No. w16455
Number of pages: 52 Posted: 18 Oct 2010 Last Revised: 05 Feb 2023
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 91 (482,568)
Citation 112

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10.

Predictive Regressions: A Present-Value Approach

Downloads 4,435 ( 3,878)
Citation 142

Predictive Regressions: A Present-Value Approach

Number of pages: 48 Posted: 04 Mar 2007 Last Revised: 15 Sep 2013
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 4,301 (4,014)
Citation 110

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predictive regressions, present-value models

Predictive Regressions: A Present-Value Approach

NBER Working Paper No. w16263
Number of pages: 60 Posted: 16 Aug 2010 Last Revised: 10 Jun 2023
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 134 (364,314)
Citation 73

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11.

Shadow Insurance

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Citation 33

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 3,591 (5,449)
Citation 7

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Capital regulation, Demand estimation, Life insurance industry, Regulatory arbitrage, Reinsurance

Shadow Insurance

NBER Working Paper No. w19568
Number of pages: 51 Posted: 25 Oct 2013 Last Revised: 21 Jun 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 90 (485,852)
Citation 30

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12.

The Term Structure of Returns: Facts and Theory

Downloads 3,560 ( 5,634)
Citation 88

The Term Structure of Returns: Facts and Theory

Number of pages: 48 Posted: 23 Apr 2015 Last Revised: 27 Jun 2016
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 3,458 (5,783)
Citation 3

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The Term Structure of Returns: Facts and Theory

NBER Working Paper No. w21234
Number of pages: 38 Posted: 08 Jun 2015 Last Revised: 05 Feb 2023
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 101 (450,061)
Citation 23

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The Term Structure of Returns: Facts and Theory

CEPR Discussion Paper No. DP10633
Number of pages: 39 Posted: 01 Jun 2015
Ralph S. J. Koijen and Jules H. van Binsbergen
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1 (1,091,946)
Citation 2
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corporate bonds, equity, fixed income, term structure, volatility

13.

Equity Yields

Downloads 3,239 ( 6,579)
Citation 76

Equity Yields

Becker Friedman Institute for Research in Economics Working Paper No. 2012-007
Number of pages: 52 Posted: 27 Jan 2011 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Wouter Hueskes, Ralph S. J. Koijen and Evert B. Vrugt
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 2,683 (8,630)
Citation 8

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Growth expectations, Equity risk premium, Term structure of equity

Equity Yields

Chicago Booth Research Paper No. 11-33, Fama-Miller Working Paper
Number of pages: 51 Posted: 08 Sep 2011 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Wouter Hueskes, Ralph S. J. Koijen and Evert B. Vrugt
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 442 (112,590)
Citation 5

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Equity Yields

NBER Working Paper No. w17416
Number of pages: 42 Posted: 21 Sep 2011 Last Revised: 05 Feb 2023
Jules H. van Binsbergen, Wouter Hueskes, Ralph S. J. Koijen and Evert B. Vrugt
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 114 (411,865)
Citation 22

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14.

The Cross-section of Managerial Ability, Incentives, and Risk Preferences

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 88 Posted: 23 Mar 2009 Last Revised: 17 Oct 2012
Ralph S. J. Koijen
University of Chicago - Booth School of Business
Downloads 2,571 (9,404)
Citation 19

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mutual fund performance measurement, structural estimation

15.

Predictability of Returns and Cash Flows

Downloads 2,563 ( 9,444)
Citation 84

Predictability of Returns and Cash Flows

Number of pages: 33 Posted: 12 Dec 2010 Last Revised: 09 Jan 2011
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 2,211 (11,799)
Citation 25

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return predictability, present-value moel, dividend growth predictability

Predictability of Returns and Cash Flows

NYU Working Paper No. 2451/31426
Number of pages: 33 Posted: 13 Jan 2012
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 272 (192,148)
Citation 15

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Predictability of Returns and Cash Flows

NBER Working Paper No. w16648
Number of pages: 34 Posted: 29 Dec 2010 Last Revised: 29 Jun 2023
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 80 (523,063)

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Predictability of Returns and Cash Flows

Annual Review of Financial Economics, Vol. 3, pp. 467-491, 2011
Posted: 10 Jan 2012
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business

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16.

Exchange Rates and Asset Prices in a Global Demand System

Downloads 2,445 (10,181)
Citation 12

Exchange Rates and Asset Prices in a Global Demand System

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-91
Number of pages: 53 Posted: 18 Jun 2019 Last Revised: 02 Jun 2020
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,389 (10,401)
Citation 2

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Asset demand system, Asset pricing, Foreign exchange reserves, Monetary policy, Portfolio choice

Exchange Rates and Asset Prices in a Global Demand System

NBER Working Paper No. w27342
Number of pages: 54 Posted: 09 Jun 2020 Last Revised: 18 Mar 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 56 (635,989)

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Exchange Rates and Asset Prices in a Global Demand System

CEPR Discussion Paper No. DP14874
Number of pages: 56 Posted: 16 Jun 2020
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
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Citation 11
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17.

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Downloads 2,386 (10,614)
Citation 68

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Journal of Financial Economics (JFE), Vol. 140, No. 1, 2021, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-100, Banque de France Working Paper No. 601
Number of pages: 46 Posted: 09 Sep 2016 Last Revised: 06 Mar 2021
Ralph S. J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo
University of Chicago - Booth School of Business, University of Luxembourg, Banque de France and Princeton University - Department of Economics
Downloads 2,347 (10,697)
Citation 27

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Portfolio Rebalancing, Quantitative Easing, Risk Concentration, Unconventional monetary policy

Inspecting the Mechanism of Quantitative Easing in the Euro Area

NBER Working Paper No. w26152
Number of pages: 47 Posted: 20 Aug 2019 Last Revised: 17 Jun 2023
Ralph S. J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo
University of Chicago - Booth School of Business, University of Luxembourg, Banque de France and Princeton University - Department of Economics
Downloads 39 (745,010)

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Inspecting the Mechanism of Quantitative Easing in the Euro Area

CEPR Discussion Paper No. DP13906
Number of pages: 48 Posted: 20 Aug 2019
Ralph S. J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo
University of Chicago - Booth School of Business, University of Luxembourg, Banque de France and Princeton University - Department of Economics
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Citation 37
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18.

Asset Demand of U.S. Households

Number of pages: 46 Posted: 20 Oct 2022 Last Revised: 03 Jul 2023
Xavier Gabaix, Ralph S. J. Koijen, Federico Mainardi, Sangmin Oh and Motohiro Yogo
Harvard University - Department of Economics, University of Chicago - Booth School of Business, University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,178 (12,308)

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19.

The Fragility of Market Risk Insurance

Downloads 2,016 (13,906)
Citation 38

The Fragility of Market Risk Insurance

Journal of Finance, Vol. 77, No. 2, 2022, Becker Friedman Institute for Research in Economics Working Paper No. 2018-9
Number of pages: 60 Posted: 24 May 2017 Last Revised: 11 Mar 2022
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,952 (14,393)
Citation 8

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COVID-19 crisis, Global financial crisis, Life insurance industry, Minimum return guarantees, Risk-based capital regulation, Variable annuity

The Fragility of Market Risk Insurance

NBER Working Paper No. w24182
Number of pages: 61 Posted: 09 Jan 2018 Last Revised: 05 Feb 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 64 (594,039)
Citation 34

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The Fragility of Market Risk Insurance

CEPR Discussion Paper No. DP12560
Number of pages: 47 Posted: 08 Jan 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
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20.

Mortgage Timing

Downloads 1,963 (14,542)
Citation 63

Mortgage Timing

Number of pages: 67 Posted: 23 Dec 2008 Last Revised: 02 Oct 2015
Ralph S. J. Koijen, Otto Van Hemert and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 1,515 (21,317)
Citation 3

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Mortgage Timing

NYU Working Paper No. 2451/31424
Number of pages: 67 Posted: 13 Jan 2012
Ralph S. J. Koijen, Otto Van Hemert and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, affiliation not provided to SSRN and Columbia University Graduate School of Business
Downloads 334 (154,736)
Citation 3

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Mortgage Timing

NBER Working Paper No. w13361
Number of pages: 53 Posted: 10 Sep 2007 Last Revised: 05 Feb 2023
Ralph S. J. Koijen, Otto Van Hemert and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Man AHL and Columbia University Graduate School of Business
Downloads 114 (414,540)
Citation 20

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21.

Optimal Decentralized Investment Management

Downloads 1,887 (15,454)
Citation 61

Optimal Decentralized Investment Management

EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper
Number of pages: 68 Posted: 02 Mar 2006
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 1,711 (17,673)
Citation 4

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Decentralized investment management, performance benchmark

Optimal Decentralized Investment Management

NBER Working Paper No. w12144
Number of pages: 61 Posted: 18 May 2006 Last Revised: 05 Feb 2023
Michael W. Brandt, Jules H. van Binsbergen and Ralph S. J. Koijen
Duke University - Fuqua School of Business, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 176 (290,188)
Citation 7

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22.

Asset Embeddings

Number of pages: 41 Posted: 20 Jul 2023 Last Revised: 17 Sep 2023
Xavier Gabaix, Ralph S. J. Koijen and Motohiro Yogo
Harvard University - Department of Economics, University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,766 (17,215)

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Asset embeddings, transformer models, artificial intelligence, machine learning

23.

The Cost of Financial Frictions for Life Insurers

Downloads 1,765 (17,143)
Citation 99

The Cost of Financial Frictions for Life Insurers

American Economic Review, Vol. 105, No. 1, 2015, Chicago Booth Research Paper No. 12-30, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 Mar 2012 Last Revised: 13 Nov 2014
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,705 (17,782)
Citation 11

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Annuities, Capital regulation, Financial crisis, Leverage, Life insurance

The Cost of Financial Frictions for Life Insurers

NBER Working Paper No. w18321
Number of pages: 43 Posted: 18 Aug 2012 Last Revised: 24 Jul 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 60 (614,140)
Citation 66

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24.

Optimal Annuity Risk Management

CentER Working Paper Series No. 2006-78, EFA 2007 Ljubljana Meetings Paper
Number of pages: 53 Posted: 01 Mar 2007 Last Revised: 03 Sep 2009
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,449 (23,182)
Citation 11

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optimal life-cycle portfolio choice, annuity risk

25.

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

Downloads 1,248 (28,900)
Citation 66

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

PIER Working Paper No. 10-011
Number of pages: 50 Posted: 15 Mar 2010 Last Revised: 15 Sep 2013
Jules H. van Binsbergen, Jesús Fernández-Villaverde, Ralph S. J. Koijen and Juan Francisco Rubio-Ramirez
University of Pennsylvania - The Wharton School, University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of Atlanta - Research Department
Downloads 1,156 (31,811)
Citation 10

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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

NBER Working Paper No. w15890
Number of pages: 49 Posted: 12 Apr 2010 Last Revised: 03 Jun 2023
Jules H. van Binsbergen, Jesús Fernández-Villaverde, Ralph S. J. Koijen and Juan Francisco Rubio-Ramirez
University of Pennsylvania - The Wharton School, University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of Atlanta - Research Department
Downloads 88 (492,891)

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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

CEPR Discussion Paper No. DP7781
Number of pages: 51 Posted: 19 May 2010
Jesús Fernández-Villaverde, Ralph S. J. Koijen, Juan Francisco Rubio-Ramirez and Jules H. van Binsbergen
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - The Wharton School
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Citation 6
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DSGE models, Epstein-Zin Preferences, Likelihood Estimation

26.

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

Downloads 1,110 (34,175)
Citation 10

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

The Economics, Regulation, and Systemic Risk of Insurance Markets, 2017
Number of pages: 30 Posted: 21 Sep 2015 Last Revised: 15 Jan 2017
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,017 (38,182)
Citation 1

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Derivatives, Reinsurance, Securities lending, Shadow insurance, Systemic risk, Variable annuities

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

NBER Working Paper No. w23365
Number of pages: 31 Posted: 01 May 2017 Last Revised: 06 May 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 93 (475,733)
Citation 5

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27.

Combining Life and Health Insurance

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Citation 10

Combining Life and Health Insurance

Quarterly Journal of Economics, Forthcoming
Number of pages: 54 Posted: 19 Mar 2018 Last Revised: 09 Oct 2019
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 1,062 (35,884)
Citation 5

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Financing the War on Cancer

NBER Working Paper No. w24730
Number of pages: 31 Posted: 18 Jun 2018 Last Revised: 05 Feb 2023
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 38 (752,589)

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Financing the War on Cancer

CEPR Discussion Paper No. DP12990
Number of pages: 33 Posted: 18 Jun 2018 Last Revised: 25 Jun 2018
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
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28.

When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Downloads 1,088 (35,173)
Citation 19

When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 01 Mar 2007 Last Revised: 04 Feb 2009
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,088 (34,666)
Citation 19

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bond risk premia, life-cycle consumption, portfolio choice

When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Review of Financial Studies, Vol. 23, Issue 2, pp. 741-780, 2009
Posted: 01 Feb 2010
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)

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G11

29.

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

Downloads 1,034 (37,858)
Citation 34

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

Journal of Finance, Vol. 71, No. 2, 2016, Netspar Discussion Paper No. 05/2011-050, Chicago Booth Research Paper No. 11-34, Fama-Miller Working Paper, NYU Working Paper No. FIN-11-055
Number of pages: 63 Posted: 10 May 2011 Last Revised: 24 Dec 2015
Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Motohiro Yogo
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
Downloads 988 (39,770)
Citation 4

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Annuities, Health insurance, Life-cycle model, Life insurance, Portfolio choice

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

NBER Working Paper No. w17325
Number of pages: 64 Posted: 29 Aug 2011 Last Revised: 05 Feb 2023
Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Motohiro Yogo
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
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Citation 19

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30.

Understanding the Ownership Structure of Corporate Bonds

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Citation 13

Understanding the Ownership Structure of Corporate Bonds

American Economic Review: Insights, Vol. 5, No. 1, 2023
Number of pages: 24 Posted: 28 Feb 2022 Last Revised: 25 Apr 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 851 (48,974)
Citation 4

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Corporate bond market, Institutional investors, Insurance sector, Intermediary asset pricing, Leverage constraint

Understanding the Ownership Structure of Corporate Bonds

NBER Working Paper No. w29679
Number of pages: 25 Posted: 24 Jan 2022 Last Revised: 01 May 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University
Downloads 17 (940,415)
Citation 8

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31.

On the Timing and Pricing of Dividends: Reply

Number of pages: 14 Posted: 01 Jun 2016 Last Revised: 04 Jun 2016
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 860 (48,917)
Citation 36

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Term structure of equity, dividend strips, dividend futures, taxes

32.

Financial Health Economics

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Citation 7

Financial Health Economics

Number of pages: 78 Posted: 20 Apr 2014 Last Revised: 22 Jan 2015
Ralph S. J. Koijen, Tomas Philipson and Harald Uhlig
University of Chicago - Booth School of Business, University of Chicago and University of Chicago - Department of Economics
Downloads 677 (66,397)

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Health economics, Health care spending, Medical innovation, Risk premium

Financial Health Economics

NBER Working Paper No. w20075
Number of pages: 75 Posted: 28 Apr 2014 Last Revised: 10 May 2023
Ralph S. J. Koijen, Tomas Philipson and Harald Uhlig
University of Chicago - Booth School of Business, University of Chicago and University of Chicago - Department of Economics
Downloads 42 (723,296)
Citation 4

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33.

Likelihood-Based Estimation of Exactly-Solved Present-Value Models

Number of pages: 49 Posted: 28 Jul 2009 Last Revised: 15 Sep 2013
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 689 (65,799)
Citation 7

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34.

Appendix Describing the Numerical Method Used in 'When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?'

Number of pages: 14 Posted: 21 Nov 2006
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 676 (67,449)
Citation 10

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35.

Implied Dividend Volatility and Expected Growth

Number of pages: 15 Posted: 23 Dec 2020 Last Revised: 31 Dec 2020
Niels Joachim Gormsen, Ralph S. J. Koijen and Ian Martin
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 646 (71,505)
Citation 3

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36.

Financial Markets and the COVID-19 Pandemic

Number of pages: 36 Posted: 18 Oct 2022 Last Revised: 17 Apr 2023
Niels Joachim Gormsen and Ralph S. J. Koijen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 385 (133,472)

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37.

On the Timing and Pricing of Dividends: Web Appendix

Number of pages: 17 Posted: 09 Oct 2011
Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 327 (159,409)
Citation 1

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38.

Judging the Quality of Survey Data by Comparison with 'Truth' as Measured by Administrative Records: Evidence from Sweden

Chapter in NBER Book Improving the Measurement of Consumer Expenditures, Christopher Carroll, Thomas Crossley, John Sabelhaus, eds., Forthcoming, NBER Book Series Studies in Income and Wealth, University of Chicago Press, Forthcoming
Number of pages: 36 Posted: 22 Feb 2012 Last Revised: 26 Jan 2014
Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Roine Vestman
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Stockholm University - Department of Economics
Downloads 287 (182,835)
Citation 12

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Consumption measurement, consumption inequality, measurement error, surveys, household finance

39.

COVID-19 and Its Impact on Financial Markets and the Real Economy

Number of pages: 25 Posted: 03 Aug 2021
Itay Goldstein, Ralph S. J. Koijen and Holger M. Mueller
University of Pennsylvania - The Wharton School - Finance Department, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 277 (189,497)
Citation 18

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40.

Aggregate Lapsation Risk

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Citation 1

Aggregate Lapsation Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 27 Jun 2022 Last Revised: 26 Oct 2023
Ralph S. J. Koijen, Hae Kang Lee and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Darla Moore School of Business, University of South Carolina and Columbia University Graduate School of Business
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lapsation, insurance, business cycles, hedging

Aggregate Lapsation Risk

NBER Working Paper No. w30187
Number of pages: 62 Posted: 27 Jun 2022 Last Revised: 14 Apr 2023
Ralph S. J. Koijen, Hae Kang Lee and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Darla Moore School of Business, University of South Carolina and Columbia University Graduate School of Business
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41.

The Evolution from Life Insurance to Financial Engineering

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Citation 6

The Evolution from Life Insurance to Financial Engineering

Geneva Risk and Insurance Review, Vol. 46, 2021, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-85
Number of pages: 26 Posted: 26 Jul 2021 Last Revised: 14 Sep 2021
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 182 (283,114)
Citation 1

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COVID-19 crisis, Global financial crisis, Life insurance industry, Minimum return guarantee, Variable annuity

The Evolution from Life Insurance to Financial Engineering

NBER Working Paper No. w29030
Number of pages: 27 Posted: 19 Jul 2021 Last Revised: 28 Apr 2023
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University
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Citation 3

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The Evolution from Life Insurance to Financial Engineering

CEPR Discussion Paper No. DP16348
Number of pages: 28 Posted: 14 Jul 2021
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University
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Citation 3
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42.

Coronavirus: Impact on Stock Prices and Growth Expectations

Downloads 105 (434,773)
Citation 65

Coronavirus: Impact on Stock Prices and Growth Expectations

NBER Working Paper No. w27387
Number of pages: 46 Posted: 22 Jun 2020 Last Revised: 12 May 2023
Niels Joachim Christfort Gormsen and Ralph S. J. Koijen
University of Chicago and University of Chicago - Booth School of Business
Downloads 105 (437,472)
Citation 1

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Coronavirus: Impact on Stock Prices and Growth Expectations

CEPR Discussion Paper No. DP14875
Number of pages: 48 Posted: 16 Jun 2020
Niels Joachim Christfort Gormsen and Ralph S. J. Koijen
University of Chicago and University of Chicago - Booth School of Business
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Citation 73
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43.

Financial Markets and the COVID-19 Pandemic

Annual Review of Financial Economics, Vol. 15, pp. 69-89, 2023
Posted: 07 Nov 2023
Niels Joachim Christfort Gormsen and Ralph S. J. Koijen
University of Chicago and University of Chicago - Booth School of Business

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