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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

50

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Rank 245

SSRN RANKINGS

Top 245

in Total Papers Downloads

47,846

CITATIONS
Rank 354

SSRN RANKINGS

Top 354

in Total Papers Citations

1,221

Scholarly Papers (50)

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1.

The Cash Flow, Return and Risk Characteristics of Private Equity

Downloads 10,979 ( 255)
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 10,263 (290)
Citation 98

Abstract:

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
Alexander Ljungqvist and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 223 (113,315)
Citation 98

Abstract:

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 186 (135,223)
Citation 98

Abstract:

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 (178,790)
Citation 98

Abstract:

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 58 (310,848)
Citation 98

Abstract:

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 57 (313,604)
Citation 98

Abstract:

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 57 (313,604)
Citation 98

Abstract:

2.

Measuring Systemic Risk

Downloads 8,816 ( 413)
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 5,064 (1,085)
Citation 100

Abstract:

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 3,738 (1,832)
Citation 100

Abstract:

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 (496,846)
Citation 100
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Abstract:

bailout, financial regulation, systemic risk, value at risk

3.

The Investment Behavior of Private Equity Fund Managers

Downloads 3,867 ( 1,753)
Citation 27

The Investment Behavior of Private Equity Fund Managers

Number of pages: 37 Posted: 20 Dec 2003
Alexander Ljungqvist and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 2,938 (2,818)
Citation 27

Abstract:

Private equity, Venture capital, Alternative investments, Fund management

The Investment Behavior of Private Equity Fund Managers

NYU Working Paper No. S-FI-03-11
Number of pages: 37 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 657 (31,111)
Citation 27

Abstract:

Private equity, Venture capital, Alternative investments, Fund management

The Investment Behavior of Private Equity Fund Managers

NYU Working Paper No. SC-AM-03-12
Number of pages: 38 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 174 (143,726)
Citation 27

Abstract:

Private equity, Venture capital, Alternative investments, Fund management

The Investment Behavior of Private Equity Fund Managers

NYU Working Paper No. FIN-03-029
Number of pages: 38 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 98 (227,543)
Citation 27

Abstract:

Private equity, Venture capital, 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 (2,193)
Citation 28

Abstract:

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 - Adelson School of Entrepreneuship and New York University
Downloads 2,437 (3,226)
Citation 7

Abstract:

6.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 1,835 ( 6,458)
Citation 26

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: 47 Posted: 20 Mar 2007
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 1,662 (7,593)
Citation 26

Abstract:

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: 43 Posted: 03 Nov 2008
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 145 (168,704)
Citation 26

Abstract:

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
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 28 (417,628)
Citation 26

Abstract:

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 (7,882)
Citation 18

Abstract:

Market efficiency, investments, event study, Internet

8.

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 (12,492)
Citation 11
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Abstract:

Systemic risk, Capital requirements, Regulatory arbitrage, Moral hazard, Too big to fail, Government guarantees, Originate and distribute, Global Imbalances, Greenspan put

9.

The Investment Behaviour of Private Equity Fund Managers

RICAFE Working Paper No. 005
Number of pages: 38 Posted: 31 Dec 2003
Alexander Ljungqvist and Matthew P. Richardson
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,208 (12,161)
Citation 27

Abstract:

Private Equity, Investment decisions, Venture Capital

10.

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 (14,847)
Citation 41

Abstract:

11.

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 (9,178)

Abstract:

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

12.

Commodities for the Long Run

Downloads 962 ( 18,270)

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 941 (18,545)

Abstract:

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 21 (456,079)
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Abstract:

13.

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

Downloads 803 ( 23,852)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 678 (29,796)
Citation 1

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 77 (265,815)
Citation 1

Abstract:

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
Dong-Hyun Ahn, Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 48 (340,663)
Citation 1

Abstract:

14.

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

Downloads 740 ( 26,619)
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 - Adelson School of Entrepreneuship, [email protected] Tech, Cornell University, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 652 (31,428)
Citation 118

Abstract:

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 - Adelson School of Entrepreneuship, [email protected] Tech, Cornell University, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 88 (244,468)
Citation 118

Abstract:

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 - Adelson School of Entrepreneuship, [email protected] Tech, Cornell University, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

Abstract:

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

15.

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

Downloads 657 ( 31,608)
Citation 2

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

Number of pages: 47 Posted: 25 Dec 2012 Last Revised: 09 Mar 2016
Jacob Boudoukh, Ronen Feldman, Shimon Kogan and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, 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 597 (35,382)
Citation 2

Abstract:

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 - Adelson School of Entrepreneuship, 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 60 (305,463)
Citation 2

Abstract:

16.

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

Downloads 626 ( 33,730)
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 - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University
Downloads 554 (39,129)
Citation 6

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 40 (367,479)
Citation 6

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 32 (399,120)
Citation 6

Abstract:

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 (33,159)
Citation 166

Abstract:

18.

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

Downloads 593 ( 36,233)
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 - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University
Downloads 593 (35,694)
Citation 2

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

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 (27,547)
Citation 1

Abstract:

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

20.

The Myth of Long-Horizon Predictability

Downloads 488 ( 39,306)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 413 (56,720)
Citation 73

Abstract:

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
Jacob Boudoukh, Matthew P. Richardson and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 51 (331,199)
Citation 74

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 24 (438,922)
Citation 74

Abstract:

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

Abstract:

G12, G14, C12

21.

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

Downloads 445 ( 52,315)

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 436 (53,059)

Abstract:

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 9 (525,212)

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 403 (58,293)
Citation 16

Abstract:

23.

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

Downloads 0 ( 63,531)

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.

Abstract:

24.

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

Downloads 338 ( 72,615)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 256 (98,269)
Citation 7

Abstract:

excess volatility, nonlinear, state dependence

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 24 (438,922)
Citation 7

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 24 (438,922)
Citation 7

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 19 (467,784)
Citation 7

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 15 (490,872)
Citation 7

Abstract:

25.

Dotcom Mania: The Rise and Fall of Internet Stock Prices

Downloads 198 ( 93,771)
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 156 (158,326)
Citation 187

Abstract:

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 42 (360,348)
Citation 187

Abstract:

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

Abstract:

26.

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

Downloads 191 (131,959)
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 104 (218,229)
Citation 100

Abstract:

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 (246,275)
Citation 98

Abstract:

27.

Optimal Risk Management Using Options

Downloads 183 (137,412)

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 117 (200,082)
Citation 18

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 66 (290,534)
Citation 18

Abstract:

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

Abstract:

28.

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

Downloads 155 (138,854)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 57 (313,604)
Citation 12

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 51 (331,199)
Citation 12

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 31 (403,584)
Citation 12

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 16 (485,001)
Citation 12

Abstract:

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 160 (125,866)

Abstract:

financial regulatory reform, financial crises, regulation, financial services

30.

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Downloads 157 (157,305)

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 - Adelson School of Entrepreneuship, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 143 (170,606)

Abstract:

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 - Adelson School of Entrepreneuship, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 14 (496,846)
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Abstract:

31.

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

Downloads 157 (157,305)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 96 (230,834)
Citation 3

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, New York University - Stern School of Business and New York University
Downloads 61 (302,896)
Citation 3

Abstract:

32.

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

Downloads 94 (176,210)

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 94 (234,140)
Citation 25

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

33.

A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Downloads 105 (215,658)

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 105 (216,785)
Citation 4

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 91 (215,658)

Abstract:

35.

Regime Shifts and Bond Returns

Downloads 72 (273,746)
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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of Queensland and New York University
Downloads 49 (337,502)
Citation 7

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of Queensland and New York University
Downloads 23 (444,600)
Citation 7

Abstract:

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 - Adelson School of Entrepreneuship, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 71 (259,321)
Citation 1

Abstract:

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 (265,430)
Citation 2

Abstract:

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 59 (304,034)
Citation 69

Abstract:

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 and New York University
Downloads 57 (299,049)
Citation 1

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, University of California, Berkeley - Finance Group and New York University
Downloads 56 (306,636)
Citation 1

Abstract:

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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 47 (331,979)
Citation 7

Abstract:

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 (334,991)

Abstract:

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
Downloads 5 (517,334)
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Abstract:

44.

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

Abstract:

45.

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 - Adelson School of Entrepreneuship and New York University - Stern School of Business

Abstract:

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

46.

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

Abstract:

47.

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

Abstract:

48.

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

Abstract:

49.

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 - Adelson School of Entrepreneuship, University of California, Berkeley - Finance Group, New York University (NYU) - Department of Finance and New York University

Abstract:

50.

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

Abstract:

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