Matthew P. Richardson

Department of Finance, Leonard N. Stern School of Business, New York University

Charles E. Simon Professor of Applied Economics

44 West 4th Street

Suite 9-190

New York, NY 10012-1126

United States

  • Department of Finance, Leonard N. Stern School of Business, New York University

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SCHOLARLY PAPERS

56

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1,416

CROSSREF CITATIONS

2,244

Scholarly Papers (56)

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1.

The Cash Flow, Return and Risk Characteristics of Private Equity

Downloads 12,649 ( 569)
Citation 26

The Cash Flow, Return and Risk Characteristics of Private Equity

NYU, Finance Working Paper No. 03-001
Number of pages: 43 Posted: 18 Mar 2003
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 11,678 (650)
Citation 7

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Venture capital, Private equity, Liquidity

The Cash Flow, Return and Risk Characteristics of Private Equity

NBER Working Paper No. w9454
Number of pages: 43 Posted: 30 Jan 2003 Last Revised: 02 Nov 2022
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 282 (172,623)
Citation 1

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The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. S-FI-03-01
Number of pages: 43 Posted: 11 Nov 2008
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 233 (209,064)
Citation 1

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The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. FIN-03-001
Number of pages: 44 Posted: 03 Nov 2008
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 170 (279,561)

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The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. S-DRP-03-01
Number of pages: 44 Posted: 07 Nov 2008
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 99 (425,191)
Citation 11

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The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. S-CG-03-01
Number of pages: 44 Posted: 04 Nov 2008
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 94 (440,116)

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The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. SC-AM-03-01
Number of pages: 43 Posted: 04 Nov 2008
Alexander Ljungqvist, Alexander Ljungqvist and Matthew P. Richardson
Centre for Economic Policy Research (CEPR)Swedish House of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 93 (443,171)
Citation 1

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2.

Measuring Systemic Risk

Downloads 10,822 ( 753)
Citation 293

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper
Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010
Viral V. Acharya, Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University (NYU) - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 6,582 (1,774)
Citation 131

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systemic risk, bailout, financial regulation, value at risk

Measuring Systemic Risk

FRB of Cleveland Working Paper No. 10-02
Number of pages: 55 Posted: 24 Apr 2010 Last Revised: 28 Aug 2010
Viral V. Acharya, Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University (NYU) - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 4,226 (3,788)
Citation 14

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systemic risk, risk pricing, systemic expected shortfall, risk internalization

Measuring Systemic Risk

CEPR Discussion Paper No. DP8824
Number of pages: 49 Posted: 01 Mar 2012
Viral V. Acharya, Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University (NYU) - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 14 (896,676)
Citation 87
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bailout, financial regulation, systemic risk, value at risk

3.

Causes of the Financial Crisis

Critical Review, Vol. 21, Nos. 2 & 3, pp. 195-210, 2009
Number of pages: 16 Posted: 30 Nov 2009
Viral V. Acharya, Viral V. Acharya and Matthew P. Richardson
New York University (NYU) - Leonard N. Stern School of Business and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 4,679 (3,233)
Citation 20

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Subprime crisis, capital requirements, regulatory arbitrage, mortgage-backed securities, housing bubble

4.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 4,353 ( 3,656)
Citation 21

The Investment Behavior of Buyout Funds: Theory and Evidence

Number of pages: 44 Posted: 20 Dec 2003 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 3,157 (6,184)
Citation 40

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Private equity; Buyout funds; Alternative investments; Fund management

The Investment Behavior of Buyout Funds: Theory and Evidence

NYU Working Paper No. S-FI-03-11
Number of pages: 44 Posted: 11 Nov 2008 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 741 (54,607)
Citation 1

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Private equity; Buyout funds; Alternative investments; Fund management

The Investment Behavior of Buyout Funds: Theory and Evidence

NYU Working Paper No. SC-AM-03-12
Number of pages: 44 Posted: 04 Nov 2008 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 321 (150,523)

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Private equity; Buyout funds; Alternative investments; Fund management

The Investment Behavior of Buyout Fund: Theory and Evidence

NYU Working Paper No. FIN-03-029
Number of pages: 44 Posted: 11 Nov 2008 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 134 (340,291)

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Private equity; Buyout funds; Alternative investments; Fund management

5.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 3,995 (4,213)
Citation 8

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

6.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
Matthew P. Richardson, Jacob Boudoukh and Robert Whitelaw
Department of Finance, Leonard N. Stern School of Business, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,765 (4,660)
Citation 5

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7.

Commodities for the Long Run

Downloads 2,171 (11,411)
Citation 6

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
Ari Levine, Yao Hua Ooi, Matthew P. Richardson and Caroline Sasseville
AQR Capital Management, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 2,068 (12,113)

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Commodities, Spot Returns, Convenience Yields, Carry, Business Cycle, Inflation, Backwardation, Asset Allocation

Commodities for the Long Run

NBER Working Paper No. w22793
Number of pages: 40 Posted: 07 Nov 2016 Last Revised: 13 Apr 2023
Ari Levine, Yao Hua Ooi and Matthew P. Richardson
AQR Capital Management, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 103 (413,412)
Citation 3

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8.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 2,148 (11,606)
Citation 21

The Investment Behavior of Buyout Funds: Theory and Evidence

ECGI - Finance Working Paper No. 174/2007, AFA 2008 New Orleans Meetings Paper, 20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 44 Posted: 20 Mar 2007 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 1,899 (13,858)
Citation 22

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Private equity; Buyout funds; Alternative investments; Fund management

The Investment Behavior of Buyout Funds: Theory and Evidence

NYU Working Paper No. FIN-07-020
Number of pages: 44 Posted: 03 Nov 2008 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 178 (268,356)

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Private equity; Buyout funds; Alternative investments; Fund management

The Investment Behavior of Buyout Funds: Theory and Evidence

NBER Working Paper No. w14180
Number of pages: 43 Posted: 21 Jul 2008 Last Revised: 01 Oct 2022
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 71 (522,080)

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9.

The Volatility of a Firm's Assets and the Leverage Effect

AFA 2010 Atlanta Meetings Paper
Number of pages: 64 Posted: 14 Mar 2009 Last Revised: 03 Sep 2015
Jaewon Choi and Matthew P. Richardson
University of Illinois at Urbana-Champaign - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 1,969 (13,309)
Citation 38

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time-varying volatility, firm's assets, leverage, feedback effect

10.

Dotcom Mania: A Survey of Market Efficiency in the Internet Sector

Number of pages: 61 Posted: 09 May 2001
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 1,885 (14,280)
Citation 25

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Market efficiency, investments, event study, Internet

11.

Information, Trading, and Volatility: Evidence from Firm-Specific News

Downloads 1,440 (21,598)
Citation 43

Information, Trading, and Volatility: Evidence from Firm-Specific News

Number of pages: 54 Posted: 25 Dec 2012 Last Revised: 01 Dec 2017
Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Reichman University - Arison School of Business and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 1,119 (30,897)
Citation 17

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text analysis, excess volatility, roll R2, information and asset prices.

Which News Moves Stock Prices? A Textual Analysis

NBER Working Paper No. w18725
Number of pages: 46 Posted: 26 Jan 2013 Last Revised: 02 Mar 2023
Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Reichman University - Arison School of Business and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 321 (150,523)
Citation 8

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12.

The Investment Behavior of Buyout Funds: Theory and Evidence

RICAFE Working Paper No. 005
Number of pages: 44 Posted: 31 Dec 2003 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
Centre for Economic Policy Research (CEPR)Swedish House of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and Columbia University - Columbia Business School, Finance
Downloads 1,328 (24,352)
Citation 11

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Private equity; Buyout funds; Alternative investments; Fund management

13.

Large the IPO Lock-Up Period: Implications for Market Efficiency and Downward Sloping Demand Curves

Number of pages: 40 Posted: 17 Mar 2000
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 1,303 (25,057)
Citation 65

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14.

Manufacturing Tail Risk: A Perspective on the Financial Crisis of 2007-09

Foundations and Trends in Finance, Vol. 4, 2010
Number of pages: 90 Posted: 25 Feb 2010
Viral V. Acharya, Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson and Ingo Walter
New York University (NYU) - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University - Leonard N. Stern School of Business
Downloads 1,232 (27,234)
Citation 6
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Systemic risk, Capital requirements, Regulatory arbitrage, Moral hazard, Too big to fail, Government guarantees, Originate and distribute, Global Imbalances, Greenspan put

15.

Market Failures and Regulatory Failures: Lessons from Past and Present Financial Crises

ADBI Working Paper No. 264
Number of pages: 41 Posted: 08 Feb 2011
Viral V. Acharya, Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson and Ingo Walter
New York University (NYU) - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University - Leonard N. Stern School of Business
Downloads 1,136 (30,685)
Citation 15

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global financial crisis, LTCM, market failures, regulation, emerging markets

16.

Optimal Currency Hedging for International Equity Portfolios

Financial Analyst Journal - Forthcoming
Number of pages: 30 Posted: 16 Oct 2018 Last Revised: 08 Jun 2019
Jacob Boudoukh, Matthew P. Richardson, Ashwin K Thapar and Franklin Wang
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,124 (31,147)
Citation 3

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International equity portfolio, Currency risk, Optimal hedging, Carry, Value, Momentum

17.

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Downloads 936 (40,126)
Citation 247

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Number of pages: 37 Posted: 27 Dec 2003
Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 792 (49,956)
Citation 1

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

NBER Working Paper No. w10651
Number of pages: 75 Posted: 25 May 2006 Last Revised: 10 Aug 2022
Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 144 (321,370)
Citation 80

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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Journal of Finance, Forthcoming
Posted: 07 Feb 2006
Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, Department of Finance, Leonard N. Stern School of Business, New York University and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

18.

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Downloads 869 (44,600)

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 707 (58,149)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 95 (437,016)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NBER Working Paper No. w7214
Posted: 12 Jul 2000 Last Revised: 04 Apr 2022
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 67 (538,987)

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19.

Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Downloads 765 (53,088)
Citation 6

Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 765 (52,363)
Citation 6

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Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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20.

Dotcom Mania: The Rise and Fall of Internet Stock Prices

Downloads 563 (55,768)
Citation 260

Dotcom Mania: The Rise and Fall of Internet Stock Prices

NBER Working Paper No. w8630
Number of pages: 56 Posted: 06 Dec 2001 Last Revised: 01 Aug 2022
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 381 (124,643)
Citation 30

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Dotcom Mania: The Rise and Fall of Internet Stock Prices

NYU Working Paper No. S-AM-01-05
Number of pages: 56 Posted: 13 Nov 2008
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 182 (263,192)
Citation 2

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Dotcom Mania: The Rise and Fall of Internet Stock Prices

Posted: 17 Sep 2003
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and Department of Finance, Leonard N. Stern School of Business, New York University

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21.

The Myth of Long-Horizon Predictability

Downloads 610 (60,185)
Citation 145

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 452 (102,026)
Citation 1

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long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841
Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2022
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 99 (425,191)
Citation 45

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The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031
Number of pages: 39 Posted: 03 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 59 (576,395)
Citation 1

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The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008
Posted: 08 Aug 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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G12, G14, C12

22.

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Downloads 670 (63,351)

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 569 (76,894)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NBER Working Paper No. w7213
Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 18 Sep 2022
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 56 (591,140)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 45 (652,528)

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23.

Dotcommania: The Rise and Fall of Internet Stock Prices

NYU Stern Department of Finance, Working Paper No. FIN-01-037
Number of pages: 56 Posted: 17 Dec 2001
Matthew P. Richardson and Eli Ofek
Department of Finance, Leonard N. Stern School of Business, New York University and New York University (NYU) - Department of Finance
Downloads 669 (63,452)
Citation 4

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24.

Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models

Downloads 649 (65,927)

Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models

Review of Asset Pricing Studies, forthcoming
Number of pages: 78 Posted: 12 Sep 2013 Last Revised: 15 Feb 2022
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 604 (71,435)

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On the Fundamental Relation between Equity Returns and Interest Rates

NBER Working Paper No. w20187
Number of pages: 51 Posted: 11 Jun 2014 Last Revised: 27 Feb 2023
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 45 (652,528)

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25.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Number of pages: 45 Posted: 11 May 2001
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 551 (80,992)
Citation 14

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26.

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

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Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Working Paper, University of Pennsylvania
Posted: 25 Sep 1999
Ananth Madhavan, Matthew P. Richardson and Mark Roomans
BlackRock, Inc., Department of Finance, Leonard N. Stern School of Business, New York University and J.P. Morgan Investment Management Inc.

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27.

Is There a Dollar Risk Factor?

Number of pages: 23 Posted: 04 Nov 2018
Jacob Boudoukh, Matthew P. Richardson, Ashwin K Thapar and Franklin Wang
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 452 (102,984)
Citation 1

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Exchange Rates, Dollar, Carry, Factor

28.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

Downloads 418 (112,963)
Citation 14

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011
Number of pages: 54 Posted: 10 Jun 2003
Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University
Downloads 276 (176,535)

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excess volatility, nonlinear, state dependence

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05
Number of pages: 25 Posted: 07 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 43 (664,947)

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011
Number of pages: 55 Posted: 11 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 36 (711,819)
Citation 2

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NBER Working Paper No. w9515
Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 03 Jul 2022
Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, JP Morgan Fleming Asset Management and New York University
Downloads 35 (718,821)
Citation 2

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04
Number of pages: 54 Posted: 04 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 28 (771,526)

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29.

Sovereign Credit Quality and Violations of the Law of One Price

Downloads 409 (115,862)
Citation 1

Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 04 Nov 2019
Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 350 (137,186)
Citation 1

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Liquidity, International Bond Pricing, Financial Crisis, Euro Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

NBER Working Paper No. w22576
Number of pages: 49 Posted: 31 Aug 2016 Last Revised: 10 Mar 2023
Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, Department of Finance, Leonard N. Stern School of Business, New York University and AQR Capital Management, LLC
Downloads 59 (576,152)

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30.

Biases in Long-Horizon Predictive Regressions

Downloads 396 (120,266)
Citation 16

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 359 (133,348)
Citation 3

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410
Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 25 May 2023
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 37 (704,765)
Citation 3

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31.

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

Downloads 314 (155,037)
Citation 172

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NBER Working Paper No. w9423
Number of pages: 54 Posted: 10 Jan 2003 Last Revised: 02 Oct 2022
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 204 (237,147)
Citation 21

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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. S-DRP-02-08
Number of pages: 46 Posted: 07 Nov 2008
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 110 (394,395)
Citation 1

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32.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950
Number of pages: 48 Posted: 09 Sep 2011
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 296 (164,957)

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33.

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

Downloads 256 (164,957)
Citation 4

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NBER Working Paper No. w11840
Number of pages: 33 Posted: 27 Dec 2005 Last Revised: 09 Nov 2022
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 100 (422,215)
Citation 1

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032
Number of pages: 33 Posted: 03 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 73 (513,779)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 48 (634,901)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 35 (718,493)

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34.

Optimal Risk Management Using Options

Downloads 257 (191,252)
Citation 7

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 170 (279,561)
Citation 1

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Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006 Last Revised: 01 May 2022
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 87 (462,579)
Citation 1

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Optimal Risk Management Using Options

Posted: 21 Dec 1997
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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35.

Regulating Wall Street: The Dodd–Frank Act

Economic Perspectives, Vol. XXXVI, No. 3, 2012
Number of pages: 13 Posted: 30 Aug 2012
Matthew P. Richardson
Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 224 (217,817)
Citation 1

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financial regulatory reform, financial crises, regulation, financial services

36.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019
Number of pages: 32 Posted: 04 Nov 2008
Jacob Boudoukh, Patrick McAllister, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 222 (219,685)

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37.

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

Downloads 207 (234,418)

The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson and Marti G. Subrahmanyam
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 119 (372,375)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Marti G. Subrahmanyam and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, New York University (NYU) - Leonard N. Stern School of Business and New York University
Downloads 88 (459,182)

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38.

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Downloads 128 (245,305)
Citation 38

Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 128 (352,430)
Citation 14

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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39.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 191 (252,058)

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40.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07
Number of pages: 51 Posted: 13 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and New York University
Downloads 180 (265,786)
Citation 2

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41.

The Systematic Risk of Global Asset Returns in Times of Crisis: (How) is COVID-19 Different?

Number of pages: 72 Posted: 06 Jun 2022 Last Revised: 02 Sep 2022
Jacob Boudoukh, Yukun Liu, Tobias J. Moskowitz, Tobias J. Moskowitz and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, University of Rochester - Simon Business School, Yale University, Yale SOMAQR Capital and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 161 (292,413)

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42.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 156 (300,273)

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University
Downloads 156 (300,699)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of California, Berkeley - Haas School of Business and New York University

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43.

Regime Shifts and Bond Returns

Downloads 125 (357,360)

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 82 (479,700)

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Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Jacob Boudoukh, Matthew P. Richardson, Tom Smith and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 43 (664,947)

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44.

Drawing Inferences from Statistics Based on Multi-Year Asset Returns

NBER Working Paper No. w3335
Number of pages: 31 Posted: 03 Jan 2007 Last Revised: 14 Aug 2022
Matthew P. Richardson and James H. Stock
Department of Finance, Leonard N. Stern School of Business, New York University and Harvard University - Department of Economics
Downloads 101 (416,282)
Citation 3

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45.

On the Asymptotic Power of the Variance Ratio Test

NYU Working Paper No. FIN-01-059
Number of pages: 12 Posted: 03 Nov 2008
Rohit Deo and Matthew P. Richardson
Stern School of Business, New York University and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 98 (424,939)
Citation 2

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46.

Ex Ante Bond Returns and the Yield Curve

NYU Working Paper No. FIN-96-017
Number of pages: 33 Posted: 07 Nov 2008
Boudoukh Jacob, Matthew P. Richardson, Tom Smith and Robert Whitelaw
affiliation not provided to SSRN, Department of Finance, Leonard N. Stern School of Business, New York University, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 92 (442,437)

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47.

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

NYU Working Paper No. FIN-02-034
Number of pages: 46 Posted: 03 Nov 2008
Eli Ofeka, Matthew P. Richardson and Robert Whitelaw
affiliation not provided to SSRN, Department of Finance, Leonard N. Stern School of Business, New York University and New York University
Downloads 63 (548,633)

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48.

Deregulating Wall Street

Annual Review of Financial Economics, Vol. 10, pp. 199-217, 2018
Posted: 08 Nov 2018
Matthew P. Richardson, Kermit L. Schoenholtz, Lawrence J. White and Lawrence J. White
Department of Finance, Leonard N. Stern School of Business, New York University, New York University - Stern School of Business - Department of Economics and New York University (NYU) - Leonard N. Stern School of Business, Department of EconomicsStern School of Business, New York University

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49.

What to Do About the GSEs?

Annual Review of Financial Economics, Vol. 9, pp. 21-41, 2017
Posted: 03 Jan 2018
Matthew P. Richardson, Stijn Van Nieuwerburgh, Lawrence J. White and Lawrence J. White
Department of Finance, Leonard N. Stern School of Business, New York University, Columbia University Graduate School of Business and New York University (NYU) - Leonard N. Stern School of Business, Department of EconomicsStern School of Business, New York University

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50.

Implications of the Dodd-Frank Act

Annual Review of Financial Economics, Vol. 4, pp. 1-38, 2012
Posted: 04 Nov 2012
Viral V. Acharya, Viral V. Acharya and Matthew P. Richardson
New York University (NYU) - Leonard N. Stern School of Business and Department of Finance, Leonard N. Stern School of Business, New York University

Abstract:

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51.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
Matthew P. Richardson, Robert Whitelaw, Jacob Boudoukh and Marti G. Subrahmanyam
Department of Finance, Leonard N. Stern School of Business, New York University, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

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Portfolio Management: trading and execution, Portfolio Management: private client focus

52.

The Monotonicity of the Term Premium: Another Look

Posted: 18 Jul 2001
Matthew P. Richardson, Paul Richardson and Tom Smith
Department of Finance, Leonard N. Stern School of Business, New York University, affiliation not provided to SSRN and University of Queensland - Faculty of Business, Economics and Law

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53.

A Unified Approach to Testing for Serial Correlation in Stock Returns

Journal of Business, Vol 67, No 3, July 1994
Posted: 01 Jan 1999
Matthew P. Richardson and Tom Smith
Department of Finance, Leonard N. Stern School of Business, New York University and University of Queensland - Faculty of Business, Economics and Law

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54.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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55.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Jacob Boudoukh, Richard Stanton, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

Abstract:

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56.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, Department of Finance, Leonard N. Stern School of Business, New York University and New York University

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