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

36

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83,813

SSRN CITATIONS
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Top 449

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1,183

CROSSREF CITATIONS

825

Scholarly Papers (36)

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1.

Carry

Downloads 12,968 ( 326)
Citation 13

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, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 12,045 (371)
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, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 748 (37,748)
Citation 10

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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: 07 Sep 2013
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 169 (203,181)

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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, Lasse Heje Pedersen and Evert B. Vrugt
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 6 (722,269)
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

2.

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: 04 Aug 2020
Niels Joachim Gormsen and Ralph S. J. Koijen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 9,655 (583)
Citation 31

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3.

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

Downloads 4,883 ( 1,898)
Citation 32

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 3,918 (2,753)
Citation 5

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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 715 (40,175)

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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
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 248 (141,962)

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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 2 (758,679)
Citation 16
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bond risk premium, cross-section of stock returns

4.

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 4,693 (2,051)
Citation 6

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Return predictability, Momentum, Mean reversion, Portfolio choice

5.

Predictive Regressions: A Present-Value Approach

Downloads 4,068 ( 2,626)
Citation 98

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 3,989 (2,668)
Citation 106

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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
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 79 (354,585)

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6.

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

Swiss Finance Institute Research Paper No. 20-91
Number of pages: 107 Posted: 23 Oct 2020 Last Revised: 26 Jan 2021
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 3,986 (2,718)
Citation 6

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7.

A Demand System Approach to Asset Pricing

Downloads 3,929 ( 2,788)
Citation 61

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 3,870 (2,817)
Citation 55

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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
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 59 (416,243)
Citation 15

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8.

On the Timing and Pricing of Dividends

Downloads 3,844 ( 2,907)
Citation 41

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 3,364 (3,534)
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 300 (116,328)
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 145 (231,140)

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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
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 35 (518,612)

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9.

Shadow Insurance

Downloads 3,294 ( 3,745)
Citation 17

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 3,251 (3,759)
Citation 5

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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
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 43 (479,980)
Citation 11

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10.

The Term Structure of Returns: Facts and Theory

Downloads 2,978 ( 4,485)
Citation 48

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 2,951 (4,483)
Citation 5

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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
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 26 (571,583)
Citation 25

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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 (772,677)
Citation 1
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corporate bonds, equity, fixed income, term structure, volatility

11.

Equity Yields

Downloads 2,811 ( 4,949)
Citation 50

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 2,390 (6,349)
Citation 2

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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 368 (92,498)
Citation 5

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Equity Yields

NBER Working Paper No. w17416
Number of pages: 42 Posted: 21 Sep 2011
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 53 (438,468)
Citation 20

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12.

Granular Instrumental Variables

Downloads 2,548 ( 5,832)
Citation 8

Granular Instrumental Variables

Number of pages: 97 Posted: 15 Apr 2019 Last Revised: 06 Dec 2020
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 2,538 (5,761)
Citation 10

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Granular Instrumental Variables

NBER Working Paper No. w28204
Number of pages: 98 Last Revised: 21 Dec 2020
Xavier Gabaix and Ralph S. J. Koijen
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 10 (690,505)
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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
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13.

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 2,424 (6,342)
Citation 11

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mutual fund performance measurement, structural estimation

14.

Predictability of Returns and Cash Flows

Downloads 2,165 ( 7,655)
Citation 57

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 1,900 (9,323)
Citation 24

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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 228 (154,040)
Citation 20

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Predictability of Returns and Cash Flows

NBER Working Paper No. w16648
Number of pages: 34 Posted: 29 Dec 2010
Ralph S. J. Koijen and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business and Columbia University Graduate School of Business
Downloads 37 (508,394)

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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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15.

Which Investors Matter for Equity Valuations and Expected Returns?

Downloads 1,886 ( 9,651)
Citation 5

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: 57 Posted: 28 Jun 2019 Last Revised: 15 Dec 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 1,878 (9,524)
Citation 4

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Which Investors Matter for Equity Valuations and Expected Returns?

NBER Working Paper No. w27402
Number of pages: 54 Posted: 22 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 7 (714,385)
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 1 (772,677)
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16.

Mortgage Timing

Downloads 1,695 ( 11,423)
Citation 54

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 1,429 (14,637)
Citation 1

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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 225 (156,045)

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Mortgage Timing

NBER Working Paper No. w13361
Number of pages: 53 Posted: 10 Sep 2007 Last Revised: 06 Jul 2010
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 41 (489,142)
Citation 8

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17.

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Downloads 1,692 ( 11,458)
Citation 24

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Banque de France Working Paper No. 601, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-100
Number of pages: 46 Posted: 09 Sep 2016 Last Revised: 14 Jan 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 1,688 (11,302)
Citation 25

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Quantitative Easing, Flow of Risk, Portfolio Rebalancing, Risk Concentration

Inspecting the Mechanism of Quantitative Easing in the Euro Area

NBER Working Paper No. w26152
Number of pages: 46 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
Downloads 4 (738,505)
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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 3
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18.

Optimal Decentralized Investment Management

Downloads 1,657 ( 11,855)
Citation 49

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 1,539 (13,035)
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: 08 Sep 2010
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 118 (271,652)
Citation 7

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19.

The Cost of Financial Frictions for Life Insurers

Downloads 1,479 ( 14,165)
Citation 58

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 1,456 (14,213)
Citation 12

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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
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 23 (592,386)
Citation 22

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20.

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 1,313 (17,022)
Citation 9

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optimal life-cycle portfolio choice, annuity risk

21.

The Fragility of Market Risk Insurance

Downloads 1,268 ( 17,917)
Citation 2

The Fragility of Market Risk Insurance

Becker Friedman Institute for Research in Economics Working Paper No. 2018-9
Number of pages: 58 Posted: 24 May 2017 Last Revised: 16 Jan 2021
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,240 (18,238)
Citation 4

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COVID-19 crisis, 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: 59 Posted: 09 Jan 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 28 (558,811)

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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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22.

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

Downloads 1,092 ( 22,463)
Citation 45

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 1,036 (23,874)
Citation 12

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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
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 52 (442,248)

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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
Downloads 4 (738,505)
Citation 7
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DSGE models, Epstein-Zin Preferences, Likelihood Estimation

23.

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

Downloads 1,073 ( 23,059)
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 1,073 (22,668)
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

24.

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

Downloads 856 ( 31,895)
Citation 20

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 836 (32,435)
Citation 2

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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
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 20 (613,949)
Citation 5

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25.

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

Downloads 843 ( 32,587)
Citation 6

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 788 (35,173)
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
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 55 (430,859)
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26.

Exchange Rates and Asset Prices in a Global Demand System

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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
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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
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
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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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27.

Combining Life and Health Insurance

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Citation 3

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
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Financing the War on Cancer

NBER Working Paper No. w24730
Number of pages: 31 Posted: 18 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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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.

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 664 (45,058)
Citation 59

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

29.

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)
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30.

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
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31.

Financial Health Economics

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Citation 4

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
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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
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
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32.

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
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Citation 1

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33.

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 221 (159,870)
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Consumption measurement, consumption inequality, measurement error, surveys, household finance

34.

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
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35.

Coronavirus: Impact on Stock Prices and Growth Expectations

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Citation 2

Coronavirus: Impact on Stock Prices and Growth Expectations

NBER Working Paper No. w27387
Number of pages: 46 Posted: 22 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 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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36.

Is the Insurance Sector at Risk?

Business Strategy Review, Vol. 25, Issue 2, pp. 30-33, 2014
Number of pages: 4 Posted: 03 Jun 2014
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
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