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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 247

SSRN RANKINGS

Top 247

in Total Papers Downloads

48,054

CITATIONS
Rank 350

SSRN RANKINGS

Top 350

in Total Papers Citations

1,226

Scholarly Papers (50)

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1.

The Cash Flow, Return and Risk Characteristics of Private Equity

Downloads 11,004 ( 257)
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 10,287 (295)
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 (114,165)
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 (136,247)
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 (180,067)
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 58 (313,024)
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 (313,024)
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 (315,711)
Citation 98

Abstract:

2.

Measuring Systemic Risk

Downloads 8,844 ( 415)
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 5,080 (1,088)
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 3,750 (1,831)
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 (499,845)
Citation 100
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Abstract:

bailout, financial regulation, systemic risk, value at risk

3.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 3,885 ( 1,756)
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 2,943 (2,848)
Citation 27

Abstract:

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 660 (31,179)
Citation 27

Abstract:

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 182 (139,069)
Citation 27

Abstract:

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 100 (225,968)
Citation 27

Abstract:

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 (2,189)
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 (3,243)
Citation 7

Abstract:

6.

The Investment Behavior of Buyout Funds: Theory and Evidence

Downloads 1,837 ( 6,516)
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: 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 1,664 (7,645)
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: 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 145 (169,847)
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 (420,363)
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 (7,915)
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 (12,618)
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 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 (12,215)
Citation 25

Abstract:

Private equity; Buyout funds; Alternative investments; Fund management

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 (14,950)
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 (9,194)

Abstract:

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

12.

Commodities for the Long Run

Downloads 1,011 ( 17,101)

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 990 (17,358)

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 (458,931)
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Abstract:

13.

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

Downloads 804 ( 24,048)
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 679 (29,975)
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 (267,666)
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 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 - Adelson School of Entrepreneuship, New York University (NYU) - Department of Finance and New York University
Downloads 48 (342,894)
Citation 1

Abstract:

14.

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

Downloads 740 ( 26,875)
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, Johnson@Cornell 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 (31,705)
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, Johnson@Cornell 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 (246,238)
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, Johnson@Cornell 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 665 ( 31,378)
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 603 (35,223)
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 62 (302,345)
Citation 2

Abstract:

16.

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

Downloads 626 ( 34,027)
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 (39,454)
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 (369,997)
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 (401,814)
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 (33,455)
Citation 165

Abstract:

18.

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

Downloads 594 ( 36,543)
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 594 (35,994)
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 (27,746)
Citation 1

Abstract:

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

20.

The Myth of Long-Horizon Predictability

Downloads 490 ( 39,457)
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 414 (57,008)
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 (333,497)
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 25 (436,176)
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 447 ( 52,440)

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 437 (53,339)

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 10 (522,711)

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 (58,595)
Citation 16

Abstract:

23.

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

Downloads 0 ( 64,005)

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 340 ( 72,669)
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 (99,055)
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 (441,730)
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 (441,730)
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 20 (464,748)
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 16 (487,995)
Citation 7

Abstract:

25.

Dotcom Mania: The Rise and Fall of Internet Stock Prices

Downloads 199 ( 93,753)
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 157 (158,595)
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 (362,774)
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 (132,932)
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 (219,745)
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 (248,062)
Citation 98

Abstract:

27.

Optimal Risk Management Using Options

Downloads 183 (138,459)

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 (201,470)
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 (292,598)
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 156 (139,157)
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 (315,711)
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 52 (330,404)
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 (406,246)
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 (487,995)
Citation 12

Abstract:

29.

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Downloads 169 (148,692)

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 154 (161,232)

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 15 (493,873)
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Abstract:

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 (126,831)

Abstract:

financial regulatory reform, financial crises, regulation, financial services

31.

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

Downloads 157 (158,433)
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 (232,450)
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 (304,928)
Citation 3

Abstract:

32.

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

Downloads 94 (177,433)

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 (235,797)
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 106 (215,673)

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 106 (216,778)
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 (214,224)

Abstract:

35.

Regime Shifts and Bond Returns

Downloads 72 (275,592)
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 (339,761)
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 (447,455)
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 (261,197)
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 (267,218)
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 (306,150)
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 (298,576)
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 (303,554)
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 (334,171)
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 (337,179)

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 (520,357)
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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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