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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

52

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Rank 269

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Top 269

in Total Papers Downloads

51,268

CITATIONS
Rank 353

SSRN RANKINGS

Top 353

in Total Papers Citations

1,222

Scholarly Papers (52)

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1.

The Cash Flow, Return and Risk Characteristics of Private Equity

Downloads 11,281 ( 284)
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 10,549 (325)
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 226 (121,983)
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 191 (143,612)
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 (194,195)
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 61 (327,494)
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 (330,253)
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 59 (333,081)
Citation 98

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2.

Measuring Systemic Risk

Downloads 9,127 ( 449)
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 5,296 (1,149)
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 3,817 (2,017)
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 (530,396)
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 3,958 ( 1,920)
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 2,973 (3,155)
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 662 (34,030)
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 220 (125,375)
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 103 (238,190)
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 2,918 (2,204)
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 2,437 (3,409)
Citation 7

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6.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 1,912 ( 6,783)
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 1,732 (7,931)
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 149 (179,005)
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 31 (433,956)
Citation 27

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7.

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 1,564 (8,481)
Citation 17

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Market efficiency, investments, event study, Internet

8.

Commodities for the Long Run

Downloads 1,467 ( 10,588)

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 1,443 (10,664)

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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 24 (470,764)
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9.

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 (14,000)
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

10.

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 1,208 (13,302)
Citation 25

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Private equity; Buyout funds; Alternative investments; Fund management

11.

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 1,071 (16,273)
Citation 41

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12.

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 1,040 (8,841)

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

13.

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

Downloads 811 ( 26,162)
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 684 (32,489)
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 (285,268)
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 49 (364,082)
Citation 1

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14.

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

Downloads 779 ( 27,764)
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 678 (33,034)
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 101 (241,535)
Citation 3

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15.

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

Downloads 767 ( 28,077)
Citation 118

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, Cornell University - Cornell Tech NYC, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 663 (33,950)
Citation 118

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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, Cornell University - Cornell Tech NYC, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 104 (236,610)
Citation 118

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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, Cornell University - Cornell Tech NYC, 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

16.

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

Downloads 627 ( 37,131)
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 555 (42,988)
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
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 (396,114)
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 32 (429,360)
Citation 6

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17.

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 623 (36,310)
Citation 163

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18.

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

Downloads 611 ( 38,398)
Citation 2

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 611 (37,824)
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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19.

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 591 (28,434)
Citation 1

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

20.

The Myth of Long-Horizon Predictability

Downloads 496 ( 42,183)
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 415 (62,007)
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 55 (344,873)
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 (459,373)
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

21.

On the Interest Rate Sensitivity of Corporate Securities: Implications at the Firm and Index Level

Downloads 468 ( 54,063)

On the Interest Rate Sensitivity of Corporate Securities: Implications at the Firm and Index Level

Number of pages: 52 Posted: 12 Sep 2013 Last Revised: 15 Aug 2016
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 453 (55,668)

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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 15 (524,328)

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22.

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 403 (63,709)
Citation 16

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23.

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

Downloads 0 ( 66,423)

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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24.

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

Downloads 346 ( 77,538)
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 259 (106,059)
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 26 (459,373)
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
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 (470,764)
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 (488,407)
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 (518,269)
Citation 7

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25.

Dotcom Mania: The Rise and Fall of Internet Stock Prices

Downloads 206 ( 98,227)
Citation 187

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 162 (166,622)
Citation 187

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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 44 (381,156)
Citation 187

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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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26.

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Downloads 230 (120,290)

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 209 (131,779)

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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 21 (488,407)

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27.

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

Downloads 196 (140,238)
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
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 109 (228,845)
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 87 (266,717)
Citation 98

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28.

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

Downloads 163 (145,126)
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 (327,494)
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 54 (348,059)
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 (429,360)
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 (518,269)
Citation 12

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29.

Optimal Risk Management Using Options

Downloads 188 (145,863)

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 121 (211,744)
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 (311,529)
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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30.

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 160 (135,122)

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financial regulatory reform, financial crises, regulation, financial services

31.

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

Downloads 158 (170,077)
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 97 (248,476)
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 61 (327,494)
Citation 3

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32.

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

Downloads 99 (182,688)

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 99 (245,028)
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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33.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 111 (224,711)

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 111 (225,876)
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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34.

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 91 (221,759)

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35.

Regime Shifts and Bond Returns

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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 52 (354,357)
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 (470,764)
Citation 7

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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, New York University (NYU) - Department of Finance and New York University
Downloads 71 (276,309)
Citation 1

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37.

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 71 (286,922)
Citation 2

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38.

Drawing Inferences from Statistics Based on Multi-Year Asset Returns

NBER Working Paper No. w3335
Number of pages: 31 Posted: 03 Jan 2007
Matthew P. Richardson and James H. Stock
New York University (NYU) - Department of Finance and Harvard University - Department of Economics
Downloads 65 (312,761)
Citation 70

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39.

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 57 (312,761)
Citation 1

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40.

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 56 (325,842)
Citation 1

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41.

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 47 (357,989)
Citation 7

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42.

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 47 (361,105)

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43.

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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44.

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, New York University Stern School of Business, Department of Finance and New York University (NYU) - Leonard N. Stern School of Business, Department of Economics

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45.

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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46.

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

47.

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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48.

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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49.

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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50.

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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51.

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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52.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 19 Posted: 18 Mar 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
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Long Horizon Regressions, Predictability, T-Statistics, CAPE