Andrew Ang

BlackRock, Inc

55 East 52nd Street

New York City, NY 10055

United States

SCHOLARLY PAPERS

70

DOWNLOADS
Rank 48

SSRN RANKINGS

Top 48

in Total Papers Downloads

104,485

CITATIONS
Rank 73

SSRN RANKINGS

Top 73

in Total Papers Citations

3,050

Scholarly Papers (70)

1.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 8,977 (379)
Citation 9

Abstract:

2.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
Downloads 7,608 (202)

Abstract:

risk premium, bad times, factor allocation, alternative beta, smart beta, exotic beta, dynamic portfolio choice, fixed income weights, GDP-weights

3.
Downloads 4,243 ( 1,509)
Citation 441

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 2,661 (3,375)
Citation 441

Abstract:

Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852
Number of pages: 57 Posted: 27 Oct 2004
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 1,582 (8,224)
Citation 441

Abstract:

4.
Downloads 4,188 ( 1,542)
Citation 3

Investing for the Long Run

Number of pages: 15 Posted: 12 Nov 2011
Andrew Ang and Knut N. Kjaer
BlackRock, Inc and Independent
Downloads 3,107 (2,560)
Citation 3

Abstract:

contrarian, countercyclical investing, agency problem, delegated portfolio management, illiquid investments

Investing for the Long Run

Netspar Discussion Paper No. 11/2011-104
Number of pages: 16 Posted: 24 Dec 2011 Last Revised: 03 Feb 2012
Andrew Ang and Knut N. Kjaer
BlackRock, Inc and Independent
Downloads 1,081 (15,161)
Citation 3

Abstract:

-

5.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49
Number of pages: 62 Posted: 19 Aug 2012
Andrew Ang
BlackRock, Inc
Downloads 3,383 (1,344)
Citation 2

Abstract:

Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk

6.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,918 (2,728)
Citation 105

Abstract:

book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta

7.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 2,738 (2,895)
Citation 14

Abstract:

asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

8.
Downloads 2,669 ( 3,434)
Citation 315

Stock Return Predictability: Is It There?

AFA 2002 Atlanta Meetings
Number of pages: 53 Posted: 23 Mar 2001
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,286 (4,376)
Citation 315

Abstract:

Present value model, predictability, international predictability, short rates, dividend yield, earnings yield

Stock Return Predictability: Is it There?

NBER Working Paper No. w8207
Number of pages: 53 Posted: 31 Mar 2001
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 383 (62,584)
Citation 315

Abstract:

9.
Downloads 2,623 ( 3,547)
Citation 17

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Andrew Ang, Turan G. Bali and Nusret Cakici
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,369 (10,403)
Citation 17

Abstract:

implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,045 (15,965)
Citation 17

Abstract:

implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 186 (136,105)
Citation 17

Abstract:

implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590
Number of pages: 96 Posted: 01 Nov 2013
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 23 (447,110)
Citation 17

Abstract:

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,187 (4,727)
Citation 33

Abstract:

International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 315 (78,628)
Citation 33

Abstract:

11.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 2,104 (4,037)

Abstract:

Rebalancing, Long-horizon investing, Diversification return, Kelly rule, Ulysses contract, Short volatility strategy

12.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,079 (4,027)
Citation 16

Abstract:

carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity

13.

'Real' Assets

Columbia Business School Research Paper No. 12-60
Number of pages: 64 Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
Downloads 2,058 (4,402)

Abstract:

Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT

Estimating Private Equity Returns from Limited Partner Cash Flows

Columbia Business School Research Paper No. 13-83
Number of pages: 64 Posted: 18 Nov 2013 Last Revised: 22 Jun 2014
BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
Downloads 1,538 (8,619)
Citation 3

Abstract:

Estimating Private Equity Returns from Limited Partner Cash Flows

Netspar Discussion Paper No. 06/2014-021, Saïd Business School WP 2014-8,
Number of pages: 44 Posted: 02 Jul 2014 Last Revised: 18 Feb 2017
BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
Downloads 476 (47,848)
Citation 3

Abstract:

15.
Downloads 1,935 ( 5,927)
Citation 6

Portfolio Choice with Illiquid Assets

Number of pages: 46 Posted: 26 Oct 2010 Last Revised: 01 Oct 2014
Downloads 1,582 (8,224)
Citation 6

Abstract:

Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises

Portfolio Choice with Illiquid Assets

Netspar Discussion Paper No. 10/2010-092
Number of pages: 47 Posted: 22 Apr 2011 Last Revised: 19 Sep 2014
Downloads 211 (120,629)
Citation 6

Abstract:

Asset allocation, liquidity, alternative assets, liquidity crises

Portfolio Choice with Illiquid Assets

Management Science, November 2014, Columbia Business School Research Paper No. 14-52
Number of pages: 46 Posted: 03 Oct 2014
Downloads 122 (195,001)
Citation 6

Abstract:

Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises

Portfolio Choice with Illiquid Assets

NBER Working Paper No. w19436
Number of pages: 47 Posted: 14 Sep 2013
Downloads 20 (464,384)
Citation 6

Abstract:

16.

Illiquid Asset Investing

Columbia Business School Research Paper No. 13-2
Number of pages: 50 Posted: 13 Jan 2013
Andrew Ang
BlackRock, Inc
Downloads 1,863 (4,554)
Citation 1

Abstract:

illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model

17.
Downloads 1,763 ( 7,022)
Citation 108

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,288 (11,512)
Citation 108

Abstract:

asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

NBER Working Paper No. w11824
Number of pages: 53 Posted: 20 Feb 2006
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 475 (47,984)
Citation 108

Abstract:

Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

Abstract:

18.
Downloads 1,750 ( 7,134)
Citation 124

The Term Structure of Real Rates and Expected Inflation

EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64 Posted: 16 Jul 2003
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,391 (10,146)
Citation 124

Abstract:

regime-switching term structure model, inflation risk premium, business cycles

The Term Structure of Real Rates and Expected Inflation

NBER Working Paper No. w12930
Number of pages: 68 Posted: 24 Feb 2007
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 337 (72,815)
Citation 124

Abstract:

The Term Structure of Real Rates and Expected Inflation

CEPR Discussion Paper No. 4518
Number of pages: 67 Posted: 14 Sep 2004
Andrew Ang and Geert Bekaert
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads 22 (452,864)
Citation 124
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Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

NBER Working Paper No. w13739
Number of pages: 52 Posted: 24 Jan 2008
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 676 (30,153)
Citation 152

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 584 (36,700)
Citation 152

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 430 (54,346)
Citation 152

Abstract:

idiosyncratic volatility, Fama-MacBeth regression

20.
Downloads 1,646 ( 7,918)
Citation 141

What Does the Yield Curve Tell Us about GDP Growth?

AFA 2005 Philadelphia Meetings; Columbia Business School Working Paper
Number of pages: 40 Posted: 23 Jan 2005
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 1,419 (9,831)
Citation 141

Abstract:

GDP Forecasting; Short Rate; Term Spread; Arbitrage-Free Term Structure Models; Out-of-Sample Forecast

What Does the Yield Curve Tell Us About GDP Growth?

NBER Working Paper No. w10672
Number of pages: 59 Posted: 02 Sep 2004 Last Revised: 31 Aug 2010
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 227 (112,125)
Citation 141

Abstract:

21.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,507 (7,702)
Citation 202

Abstract:

22.
Downloads 1,440 ( 9,788)
Citation 36

How do Regimes Affect Asset Allocation?

Number of pages: 35 Posted: 27 May 2002
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,120 (14,326)
Citation 36

Abstract:

market timing, tactical asset allocation, regime switching, international diversification

How Do Regimes Affect Asset Allocation?

NBER Working Paper No. w10080
Number of pages: 28 Posted: 14 Nov 2003 Last Revised: 19 Jul 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 320 (77,268)
Citation 36

Abstract:

23.
Downloads 1,370 ( 10,593)

Investment Beliefs of Endowments

Columbia Business School Research Paper No. 13-72
Number of pages: 55 Posted: 19 Sep 2013 Last Revised: 03 Apr 2014
BlackRock, Inc, Columbia University - Columbia Business School and Yale School of Management - International Center for Finance
Downloads 1,078 (15,235)

Abstract:

Hedge funds, private equity, alternative assets, portfolio choice

Investment Beliefs of Endowments

Netspar Discussion Paper No. 06/2014-027
Number of pages: 58 Posted: 09 Jul 2014
BlackRock, Inc, Columbia University - Columbia Business School and Yale School of Management - International Center for Finance
Downloads 292 (85,757)

Abstract:

24.
Downloads 1,340 ( 10,992)
Citation 118

Regime Switches in Interest Rates

Number of pages: 70 Posted: 01 Jun 1998
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,122 (14,283)
Citation 118

Abstract:

Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 218 (116,678)
Citation 118

Abstract:

25.
Downloads 1,282 ( 11,847)
Citation 17

Hedge Fund Leverage

Number of pages: 54 Posted: 02 Aug 2010 Last Revised: 15 Jun 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
Downloads 1,151 (13,735)
Citation 17

Abstract:

capital structure, long-short positions, exposure, hedging, systemic risk

Hedge Fund Leverage

NBER Working Paper No. w16801
Number of pages: 60 Posted: 28 Feb 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
Downloads 131 (184,302)
Citation 17

Abstract:

How to Discount Cashflows with Time-Varying Expected Returns

Number of pages: 46 Posted: 31 May 2002
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,008 (16,823)
Citation 34

Abstract:

present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting

How to Discount Cashflows with Time-Varying Expected Returns

NBER Working Paper No. w10042
Number of pages: 44 Posted: 27 Oct 2003
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 164 (152,601)
Citation 34

Abstract:

How to Discount Cashflows with Time-Varying Expected Returns

Journal of Finance, Vol. 59, No. 6, pp. 2745-2783
Posted: 04 Apr 2005
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

present value, term structure of discount rates, time-varying beta, time-varying risk premium, capital budgeting

27.
Downloads 1,152 ( 14,010)
Citation 14

Risk, Return and Dividends

Number of pages: 50 Posted: 20 Apr 2004
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 960 (18,138)
Citation 14

Abstract:

risk-return trade-off, risk premium,stochastic volatility, predictability

Risk, Return and Dividends

NBER Working Paper No. w12843
Number of pages: 48 Posted: 20 Jan 2007 Last Revised: 06 Aug 2010
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 192 (132,030)
Citation 14

Abstract:

28.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 1,134 (13,218)

Abstract:

Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression

29.
Downloads 1,035 ( 16,479)
Citation 9

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 49 Posted: 30 Oct 2008 Last Revised: 17 Nov 2012
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 704 (28,530)
Citation 9

Abstract:

Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 40 Posted: 11 Mar 2009
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 159 (156,756)
Citation 9

Abstract:

hedge fund lockup, withdrawal, redemption notice period, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Financial Management, Vol. 39, No. 3, pp. 1069-1096, November 2008
Number of pages: 49 Posted: 21 Oct 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 153 (162,032)
Citation 9

Abstract:

Locked Up by a Lockup: Valuing Liquidity as a Real Option

NBER Working Paper No. w15937
Number of pages: 56 Posted: 26 Apr 2010 Last Revised: 20 Jul 2010
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 19 (470,323)
Citation 9

Abstract:

30.

Using Individual Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 41 Posted: 17 Mar 2008
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and University of Pennsylvania - Finance Department
Downloads 981 (13,631)
Citation 40

Abstract:

Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Number of pages: 44 Posted: 22 Nov 1999
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 741 (26,504)
Citation 298

Abstract:

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

NBER Working Paper No. w8363
Number of pages: 51 Posted: 28 Jun 2001
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 237 (107,317)
Citation 298

Abstract:

32.
Downloads 968 ( 18,270)
Citation 11

Do Funds-of-Funds Deserve Their Fees-on-Fees?

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 23 Mar 2005
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
Downloads 816 (23,105)
Citation 11

Abstract:

hedge fund, fund-of-funds, portfolio allocation, certainty equivalent

Do Funds-of-Funds Deserve Their Fees-on-Fees?

NBER Working Paper No. w13944
Number of pages: 34 Posted: 17 Apr 2008 Last Revised: 09 Aug 2010
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
Downloads 152 (162,970)
Citation 11

Abstract:

Do Funds-of-Funds Deserve Their Fees-on-Fees?

Journal of Investment Management, Fourth Quarter 2008
Posted: 26 Nov 2008 Last Revised: 15 Jun 2011
Andrew Ang, Rui Zhao and Matthew Rhodes-Kropf
BlackRock, Inc, BlackRock, Inc. and Harvard Business School - Entrepreneurial Management Unit

Abstract:

Hedge funds, survivorship bias, performance evaluation, benchmarking, asset allocation

33.

How Often Should You Take Tactical Asset Allocation Decisions?

Columbia Business School Research Paper No. 15-27
Number of pages: 39 Posted: 07 Mar 2015
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 923 (10,292)

Abstract:

market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands

34.
Downloads 913 ( 19,939)
Citation 57

Why Stocks May Disappoint

EFA 0669
Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 776 (24,853)
Citation 57

Abstract:

Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 137 (177,792)
Citation 57

Abstract:

35.
Downloads 900 ( 20,366)
Citation 18

Testing Conditional Factor Models

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 04 Mar 2009
Andrew Ang and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 472 (48,359)
Citation 18

Abstract:

Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect

Testing Conditional Factor Models

Netspar Discussion Paper No. 01/2011-030
Number of pages: 63 Posted: 19 Apr 2011
Andrew Ang and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 402 (59,066)
Citation 18

Abstract:

Testing Conditional Factor Models

NBER Working Paper No. w17561
Number of pages: 59 Posted: 04 Nov 2011
Andrew Ang and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 26 (430,339)
Citation 18

Abstract:

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

ECB Working Paper No. 208
Number of pages: 59 Posted: 04 Feb 2003
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 558 (39,041)
Citation 24

Abstract:

Population aging, demography, risk premiums, international predictability, social security

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Number of pages: 40 Posted: 28 Jul 2001
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 212 (120,084)
Citation 24

Abstract:

Population aging, demography, risk premiums, international predictability

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

NBER Working Paper No. w9677
Number of pages: 43 Posted: 16 May 2003
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 85 (251,596)
Citation 24

Abstract:

37.
Downloads 845 ( 22,308)
Citation 8

Regime Changes and Financial Markets

Netspar Discussion Paper No. 06/2011-068
Number of pages: 34 Posted: 30 Aug 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 792 (24,131)
Citation 8

Abstract:

regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps

Regime Changes and Financial Markets

NBER Working Paper No. w17182
Number of pages: 34 Posted: 05 Jul 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 45 (352,260)
Citation 8

Abstract:

Regime Changes and Financial Markets

CEPR Discussion Paper No. DP8480
Number of pages: 35 Posted: 20 Jul 2011
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics
Downloads 8 (533,313)
Citation 8
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Abstract:

jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching

Regime Changes and Financial Markets

Annual Review of Financial Economics, Vol. 4, pp. 313-337, 2012
Posted: 04 Nov 2012
Andrew Ang and Allan G. Timmermann
BlackRock, Inc and University of California, San Diego (UCSD) - Department of Economics

Abstract:

38.

The Four Benchmarks of Sovereign Wealth Funds

Number of pages: 29 Posted: 22 Sep 2010
Andrew Ang
BlackRock, Inc
Downloads 843 (16,343)
Citation 5

Abstract:

legitimacy, performance, management, government, equilibrium, long run

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

Number of pages: 45 Posted: 21 Apr 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 285 (88,182)
Citation 19

Abstract:

Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

Netspar Discussion Paper No. 04/2011-067
Number of pages: 46 Posted: 30 Aug 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 212 (120,084)
Citation 19

Abstract:

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

AFA 2013 San Diego Meetings Paper
Number of pages: 49 Posted: 12 Mar 2012
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 180 (140,320)
Citation 19

Abstract:

Systemic Sovereign Credit Risk: Lessons from the U.S. And Europe

NBER Working Paper No. w16982
Number of pages: 46 Posted: 02 May 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 28 (420,056)
Citation 19

Abstract:

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Netspar Discussion Paper No. 11/2010-093
Number of pages: 76 Posted: 21 Apr 2011 Last Revised: 02 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics
Downloads 457 (50,370)
Citation 7

Abstract:

Illiquidity Premium, Limits to Arbitrage, Disclosure, Over-the-counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Return Anomalies

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Number of pages: 76 Posted: 26 Nov 2010 Last Revised: 02 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics
Downloads 243 (104,528)
Citation 7

Abstract:

Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies

41.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-42
Number of pages: 13 Posted: 17 Sep 2014
Andrew Ang, Amit Goyal and Antti Ilmanen
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads 677 (14,951)

Abstract:

Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution

42.
Downloads 613 ( 35,036)
Citation 2

Nominal Bonds, Real Bonds, and Equity

Netspar Discussion Paper No. 12/2011-103
Number of pages: 56 Posted: 24 Dec 2011 Last Revised: 06 Mar 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 375 (64,162)
Citation 2

Abstract:

term structure, yield curve, equity risk premium, Fed model, TIPS, Taylor rule

Nominal Bonds, Real Bonds, and Equity

Number of pages: 56 Posted: 02 Nov 2011 Last Revised: 17 Apr 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 238 (107,317)
Citation 2

Abstract:

Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule

43.

Asset Owners and Delegated Managers

Number of pages: 40 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 610 (31,417)

Abstract:

Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract

44.
Downloads 609 ( 35,259)
Citation 7

Is IPO Underperformance a Peso Problem?

Number of pages: 42 Posted: 12 Apr 2004
Andrew Ang, Li Gu and Yael V. Hochberg
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
Downloads 553 (39,518)
Citation 7

Abstract:

IPO, long-run performance, small sample inference, peso problem

Is IPO Underperformance a Peso Problem?

NBER Working Paper No. w12203
Number of pages: 49 Posted: 25 May 2006
Andrew Ang, Li Gu and Yael V. Hochberg
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
Downloads 56 (318,274)
Citation 7

Abstract:

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 350 (69,623)

Abstract:

Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051
Number of pages: 29 Posted: 17 Jan 2013
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 233 (109,245)

Abstract:

-

46.
Downloads 548 ( 40,508)
Citation 31

Monetary Policy Shifts and the Term Structure

NBER Working Paper No. w15270
Number of pages: 53 Posted: 25 Aug 2009
BlackRock, Inc, HEC Montreal, Columbia Business School - Economics Department and Inter-American Development Bank (IADB)
Downloads 313 (79,210)
Citation 31

Abstract:

Monetary Policy Shifts and the Term Structure

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 17 Mar 2008
Jean Boivin, Sen Dong and Andrew Ang
HEC Montreal, Columbia Business School - Economics Department and BlackRock, Inc
Downloads 235 (108,294)
Citation 31

Abstract:

Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model

47.

Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches

Number of pages: 32 Posted: 30 Jul 2012
Andrew Ang and Morten Sorensen
BlackRock, Inc and Copenhagen Business School
Downloads 542 (20,394)

Abstract:

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 09 Aug 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 324 (76,199)
Citation 110

Abstract:

ARIMA, Phillips curve, forecasting, term structure models

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

NBER Working Paper No. w11538
Number of pages: 55 Posted: 19 Sep 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 201 (126,446)
Citation 110

Abstract:

49.
Downloads 522 ( 43,104)
Citation 77

No-Arbitrage Taylor Rules

Number of pages: 56 Posted: 21 Nov 2004
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 460 (49,958)
Citation 77

Abstract:

Affine term structure model, monetary policy, interest rate risk

No-Arbitrage Taylor Rules

NBER Working Paper No. w13448
Number of pages: 51 Posted: 28 Sep 2007
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 62 (302,094)
Citation 77

Abstract:

50.
Downloads 499 ( 45,616)
Citation 3

Inflation and Individual Equities

Number of pages: 25 Posted: 12 Apr 2011
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 288 (87,142)
Citation 3

Abstract:

Inflation and Individual Equities

Netspar Discussion Paper No. 04/2011-069
Number of pages: 26 Posted: 30 Aug 2011
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 173 (145,412)
Citation 3

Abstract:

Inflation and Individual Equities

NBER Working Paper No. w17798
Number of pages: 30 Posted: 07 Feb 2012
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 38 (377,208)
Citation 3

Abstract:

51.

Short Rate Nonlinearities and Regime Switches

Number of pages: 37 Posted: 08 Dec 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 485 (44,147)
Citation 43

Abstract:

Short rate, term spread, drift, volatility, regime-switching

52.

Searching for a Common Factor in Public and Private Real Estate Returns

Number of pages: 27 Posted: 12 Oct 2012 Last Revised: 17 Apr 2013
Andrew Ang, Neil Nabar and Samuel Wald
BlackRock, Inc, Fidelity Investments, Inc. - Fidelity Management & Research and Fidelity Investments, Inc. - Fidelity Management & Research
Downloads 407 (46,078)
Citation 1

Abstract:

Real Estate, Direct Real Estate Investments, REITs

53.
Downloads 405 ( 59,076)
Citation 1

Advance Refundings of Municipal Bonds

Columbia Business School Research Paper No. 13-65
Number of pages: 63 Posted: 05 Aug 2013 Last Revised: 14 Aug 2014
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 388 (61,624)
Citation 1

Abstract:

municipal bonds, advance refunding, public finance

Advance Refundings of Municipal Bonds

NBER Working Paper No. w19459
Number of pages: 59 Posted: 20 Sep 2013
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 17 (481,961)
Citation 1

Abstract:

54.

The Muni Bond Spread: Credit, Liquidity, and Tax

Columbia Business School Research Paper No. 14-37
Number of pages: 49 Posted: 30 Aug 2014
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 398 (21,598)

Abstract:

municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes

55.
Downloads 382 ( 63,384)
Citation 9

Taxes on Tax-Exempt Bonds

Number of pages: 64 Posted: 25 Mar 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 203 (125,204)
Citation 9

Abstract:

municipal bonds, income and capital gains tax, de minimis boundary, public finance

Taxes on Tax-Exempt Bonds

Journal of Finance, Forthcoming
Number of pages: 65 Posted: 26 Nov 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 97 (230,581)
Citation 9

Abstract:

municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate

Taxes on Tax-Exempt Bonds

NBER Working Paper No. w14496
Number of pages: 48 Posted: 25 Nov 2008 Last Revised: 12 Aug 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 41 (366,034)
Citation 9

Abstract:

Taxes on Tax-Exempt Bonds

Journal of Finance, Vol. 65, No. 2, pp. 565-601, 2008
Number of pages: 48 Posted: 21 Oct 2011
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 41 (366,034)
Citation 9

Abstract:

56.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
Capital Group, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, Blackrock, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 274 (9,117)
Citation 2

Abstract:

ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

57.

CAPM Over the Long Run: 1926-2001

NBER Working Paper No. w11903
Number of pages: 54 Posted: 24 Jan 2006
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 262 (97,029)
Citation 105

Abstract:

58.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Credit Spreads

Georgetown McDonough School of Business Research Paper No. 2603022, Columbia Business School Research Paper No. 15-57, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 53 Posted: 07 May 2015 Last Revised: 31 Aug 2016
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 213 (20,394)

Abstract:

Chengtou bond, real estate, corruption, local government financing vehicle, government guarantee, systemic risk

59.

Downside Risk and the Momentum Effect

NBER Working Paper No. w8643
Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 25 Oct 2010
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 190 (133,499)
Citation 9

Abstract:

60.
Downloads 111 (208,445)

Build America Bonds

NBER Working Paper No. w16008
Number of pages: 17 Posted: 04 Jun 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 111 (209,389)
Citation 2

Abstract:

Build America Bonds

Posted: 02 May 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University

Abstract:

Municipal debt, tax-exempt bonds, public finance, tax subsidy

61.

When Hedge Funds Block the Exits

Number of pages: 19 Posted: 25 Aug 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 78 (222,953)
Citation 1

Abstract:

62.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 62 (222,953)
Citation 150

Abstract:

63.

Asset Pricing in the Dark: The Cross Section of OTC Stocks

NBER Working Paper No. w19309
Number of pages: 77 Posted: 10 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics
Downloads 9 (449,016)
Citation 7

Abstract:

64.

The Efficient Market Theory and Evidence: Implications for Active Investment Management

Foundations and Trends in Finance, Vol. 5, No. 3, 2010
Number of pages: 99 Posted: 29 Feb 2012
BlackRock, Inc, Yale School of Management - International Center for Finance and London Business School - Institute of Finance and Accounting
Downloads 7 (495,863)
Citation 3
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Abstract:

efficient market hypothesis, CAPM, APT, arbitrage

65.

What's in Your Benchmark? A Factor Analysis of Major Market Indexes

Number of pages: 30 Posted: 15 Sep 2017
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
Downloads 0 (459,547)

Abstract:

Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios

66.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4
Number of pages: 40 Posted: 31 May 2017
CFA Institute, BlackRock, Inc, Kepos Capital LP, Orbis Investment Management Limited, University of Pennsylvania, Good Judgment Inc. and Saint Louis University - John Cook School of Business
Downloads 0 (134,126)

Abstract:

Abstract:

68.

Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors

Number of pages: 22 Posted: 05 Dec 2016
Andrew Ang, Ked Hogan and Sara Shores
BlackRock, Inc, BlackRock, Inc and BlackRock
Downloads 0 (154,894)

Abstract:

69.

Capacity of Smart Beta Strategies: A Transaction Cost Perspective

Columbia Business School Research Paper No. 16-76
Number of pages: 26 Posted: 31 Oct 2016 Last Revised: 09 Mar 2017
BlackRock, Inc, BlackRock and BlackRock, Inc
Downloads 0 (24,056)

Abstract:

Capacity, smart beta, factor risk premium, transaction cost

70.

How Regimes Affect Asset Allocation?

Financial Analysts Journal, Vol. 60, No. 2, pp. 86-99, March/April 2004
Posted: 07 May 2004
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc

Abstract:

Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation