Matthew P. Richardson

New York University (NYU) - Department of Finance

Professor

44 West 4th Street

Suite 9-190

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

AQR Capital Management, LLC

Greenwich, CT

United States

  • New York University (NYU) - Department of Finance

    • Email
    • Tel: 212-998-0349
    • Fax: 212-995-4233

  • AQR Capital Management, LLC

SCHOLARLY PAPERS

55

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Rank 245

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Top 245

in Total Papers Downloads

54,408

CITATIONS
Rank 357

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Top 357

in Total Papers Citations

1,220

Scholarly Papers (55)

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1.

The Cash Flow, Return and Risk Characteristics of Private Equity

Downloads 11,446 ( 307)
Citation 98

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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 10,707 (345)
Citation 98

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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: 18 May 2010
Alexander Ljungqvist and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 229 (126,472)
Citation 98

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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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 192 (149,967)
Citation 98

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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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 135 (203,436)
Citation 98

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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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 62 (339,290)
Citation 98

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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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 61 (342,180)
Citation 98

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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 and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 60 (345,053)
Citation 98

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2.

Measuring Systemic Risk

Downloads 9,306 ( 464)
Citation 100

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper
Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010
Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 5,427 (1,187)
Citation 100

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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, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 3,865 (2,139)
Citation 100

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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, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 14 (551,876)
Citation 100
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bailout, financial regulation, systemic risk, value at risk

3.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 4,017 ( 2,039)
Citation 27

The Investment Behavior of Buyout Funds: Theory and Evidence

Number of pages: 44 Posted: 20 Dec 2003 Last Revised: 04 Sep 2017
Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 2,988 (3,360)
Citation 27

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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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 663 (35,798)
Citation 27

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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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 262 (110,148)
Citation 27

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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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 104 (247,654)
Citation 27

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Private equity; Buyout funds; Alternative investments; Fund management

4.

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 and Matthew P. Richardson
New York University - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 3,828 (2,220)
Citation 28

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

5.

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
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 2,929 (3,533)
Citation 7

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6.

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 New York University (NYU) - Department of Finance
Downloads 2,637 (4,233)

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

7.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 1,941 ( 7,097)
Citation 27

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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 1,759 (8,218)
Citation 25

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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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 150 (186,591)
Citation 25

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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: 29 Oct 2014
Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 32 (447,683)
Citation 27

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8.

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 New York University (NYU) - Department of Finance
Downloads 1,722 (8,677)
Citation 17

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Market efficiency, investments, event study, Internet

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 New York University (NYU) - Department of Finance
Downloads 1,680 (9,063)

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

10.

Commodities for the Long Run

Downloads 1,585 ( 9,944)

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, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 1,558 (10,048)

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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
Ari Levine, Yao Hua Ooi and Matthew P. Richardson
AQR Capital Management, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 27 (473,185)

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11.

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, Matthew P. Richardson and Daniel Wolfenzon
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 1,275 (14,063)
Citation 25

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Private equity; Buyout funds; Alternative investments; Fund management

12.

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, Thomas F. Cooley, Matthew P. Richardson and Ingo Walter
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University - Leonard N. Stern School of Business
Downloads 1,232 (14,835)
Citation 10
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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

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 New York University (NYU) - Department of Finance
Downloads 1,132 (16,902)
Citation 41

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14.

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

Downloads 871 ( 24,931)
Citation 3

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University (NYU) - Department of Finance
Downloads 759 (29,752)
Citation 3

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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
Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University (NYU) - Department of Finance
Downloads 112 (234,792)
Citation 3

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15.

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

Downloads 814 ( 27,518)
Citation 1

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, New York University (NYU) - Department of Finance and New York University
Downloads 686 (34,229)
Citation 1

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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, New York University (NYU) - Department of Finance and New York University
Downloads 78 (298,309)
Citation 1

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

NBER Working Paper No. w7214
Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 13 Oct 2010
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 50 (376,746)
Citation 1

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16.

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, Thomas F. Cooley, Matthew P. Richardson and Ingo Walter
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University - Leonard N. Stern School of Business
Downloads 794 (28,437)
Citation 1

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

17.

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

Downloads 787 ( 28,634)
Citation 117

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, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 680 (34,655)
Citation 117

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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 2010
Jacob Boudoukh, Roni Michaely, Matthew P. Richardson and Michael R. Roberts
Interdisciplinary Center (IDC) Herzliyah, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 107 (242,617)
Citation 117

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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, University of Geneva - Geneva Finance Research Institute (GFRI), New York University (NYU) - Department of Finance 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.

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
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 641 (38,023)
Citation 162

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19.

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

Downloads 629 ( 38,990)
Citation 6

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, New York University (NYU) - Department of Finance and New York University
Downloads 556 (45,227)
Citation 6

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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: 13 Oct 2010
Jacob Boudoukh, Matthew P. Richardson, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 40 (413,321)
Citation 6

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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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 33 (443,125)
Citation 6

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20.

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

Downloads 626 ( 39,227)

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, New York University (NYU) - Department of Finance and New York University
Downloads 626 (38,646)
Citation 2

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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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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21.

The Myth of Long-Horizon Predictability

Downloads 502 ( 43,885)
Citation 74

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, New York University (NYU) - Department of Finance and New York University
Downloads 419 (64,615)
Citation 73

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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: 01 Aug 2009
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 57 (353,952)
Citation 74

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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, New York University (NYU) - Department of Finance and New York University
Downloads 26 (478,737)
Citation 74

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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, New York University (NYU) - Department of Finance and New York University

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G12, G14, C12

22.

On the Interest Rate Sensitivity of Corporate Securities

Downloads 489 ( 53,872)

On the Interest Rate Sensitivity of Corporate Securities

Number of pages: 52 Posted: 12 Sep 2013 Last Revised: 17 Oct 2018
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 470 (56,023)

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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
Jaewon Choi, Matthew P. Richardson and Robert Whitelaw
University of Illinois at Urbana-Champaign - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 19 (520,910)

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23.

Optimal Currency Hedging for International Equity Portfolios

Number of pages: 35 Posted: 16 Oct 2018
Jacob Boudoukh, Matthew P. Richardson, Ashwin K Thapar and Franklin Wang
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 453 (59,500)

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

24.

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

EFMA 2001 Lugano Meetings
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, New York University (NYU) - Department of Finance and New York University
Downloads 411 (66,783)
Citation 16

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25.

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

Downloads 0 ( 67,167)

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., New York University (NYU) - Department of Finance and J.P. Morgan Investment Management Inc.

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26.

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

Downloads 349 ( 80,778)
Citation 7

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, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 260 (111,040)
Citation 7

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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, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 28 (467,814)
Citation 7

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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: 31 Oct 2010
Jacob Boudoukh, Matthew P. Richardson, Jeffrey YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 24 (490,388)
Citation 7

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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, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 21 (508,665)
Citation 7

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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, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 16 (539,340)
Citation 7

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27.

Dotcom Mania: The Rise and Fall of Internet Stock Prices

Downloads 211 (101,248)
Citation 186

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: 04 Oct 2014
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 165 (172,007)
Citation 186

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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 New York University (NYU) - Department of Finance
Downloads 46 (390,704)
Citation 186

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Dotcom Mania: The Rise and Fall of Internet Stock Prices

Journal of Finance, Vol. 58, pp. 1113-1138, June 2003
Posted: 17 Sep 2003
Eli Ofek and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

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28.

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Downloads 257 (112,943)

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Number of pages: 48 Posted: 23 Aug 2016 Last Revised: 25 Aug 2016
Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 232 (124,878)

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Liquidity, International Bond Pricing, Financial 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
Jacob Boudoukh, Jordan Brooks, Matthew P. Richardson and Zhikai Xu
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 25 (484,543)

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29.

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
New York University (NYU) - Department of Finance
Downloads 208 (139,190)

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financial regulatory reform, financial crises, regulation, financial services

30.

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

Downloads 199 (145,134)
Citation 100

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: 10 Oct 2009
Eli Ofek, Matthew P. Richardson and Robert Whitelaw
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 110 (237,786)
Citation 100

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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, New York University (NYU) - Department of Finance and New York University
Downloads 89 (274,904)
Citation 98

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31.

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

Downloads 164 (151,544)
Citation 12

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
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 61 (342,180)
Citation 12

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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, New York University (NYU) - Department of Finance and New York University
Downloads 55 (360,425)
Citation 12

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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, New York University (NYU) - Department of Finance and New York University
Downloads 32 (447,683)
Citation 12

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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, New York University (NYU) - Department of Finance and New York University
Downloads 16 (539,340)
Citation 12

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32.

Optimal Risk Management Using Options

Downloads 189 (152,262)
Citation 18

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, New York University (NYU) - Department of Finance and New York University
Downloads 122 (220,207)
Citation 18

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Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 67 (325,541)
Citation 18

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Optimal Risk Management Using Options

Journal of Finance, Vol. LIV, Issue No. 1
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, New York University (NYU) - Department of Finance and New York University

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33.

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

Downloads 162 (174,446)
Citation 3

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, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 99 (256,398)
Citation 3

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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, New York University (NYU) - Department of Finance, New York University - Stern School of Business and New York University
Downloads 63 (336,432)
Citation 3

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34.

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

Downloads 100 (190,290)
Citation 25

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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 100 (254,587)
Citation 25

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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, New York University (NYU) - Department of Finance, 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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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35.

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, New York University (NYU) - Department of Finance and New York University
Downloads 116 (227,745)

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36.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 113 (232,101)
Citation 4

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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 113 (233,264)
Citation 4

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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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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37.

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, New York University (NYU) - Department of Finance and New York University
Downloads 82 (286,792)
Citation 1

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38.

Regime Shifts and Bond Returns

Downloads 78 (295,393)
Citation 7

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, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 54 (363,607)
Citation 7

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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, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 24 (490,388)
Citation 7

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39.

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 New York University (NYU) - Department of Finance
Downloads 76 (300,050)
Citation 2

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40.

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: 26 Apr 2011
Matthew P. Richardson and James H. Stock
New York University (NYU) - Department of Finance and Harvard University - Department of Economics
Downloads 66 (324,262)
Citation 70

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41.

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, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 65 (326,814)
Citation 1

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42.

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, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 62 (334,847)
Citation 1

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43.

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, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 61 (337,632)

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Exchange Rates, Dollar, Carry, Factor

44.

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, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 49 (373,804)
Citation 7

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45.

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, New York University (NYU) - Department of Finance and New York University
Downloads 48 (377,156)

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46.

The Dodd-Frank Wall Street Reform and Consumer Protection Act: Accomplishments and Limitations

Journal of Applied Corporate Finance, Vol. 23, Issue 1, pp. 43-56, 2011
Number of pages: 16 Posted: 21 Mar 2011
Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson, Richard Sylla and Ingo Walter
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance, New York University - Stern School of Business, Department of Economics and New York University - Leonard N. Stern School of Business
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47.

Deregulating Wall Street

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

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48.

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 and Lawrence J. White
New York University (NYU) - Department of Finance, Columbia University Graduate School of Business and New York University (NYU) - Leonard N. Stern School of Business, Department of Economics

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49.

Implications of the Dodd-Frank Act

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

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50.

Stale Prices and Strategies for Trading Mutual Funds

Financial Analysts Journal, Vol. 58, No. 4, 2002
Posted: 16 Apr 2003
Matthew P. Richardson, Robert Whitelaw, Jacob Boudoukh and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University - Stern School of Business

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

51.

The Monotonicity of the Term Premium: Another Look

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

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52.

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
New York University (NYU) - Department of Finance and University of Queensland - Faculty of Business, Economics and Law

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53.

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, New York University (NYU) - Department of Finance and New York University

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54.

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, New York University (NYU) - Department of Finance and New York University

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55.

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, New York University (NYU) - Department of Finance and New York University

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