Author Page for Andrew Ang

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 (374)

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 (204)

Abstract:

3.

The Cross-Section of Volatility and Expected Returns

Downloads 4,212 ( 1,505)

Citation 441

2

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming

Number of pages: 56 Posted: 05 Apr 2005

Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang

BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Downloads 2,632 (3,397)

Citation 441

Abstract:

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852

Number of pages: 57 Posted: 27 Oct 2004

Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang

BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Downloads 1,580 (8,160)

Citation 441

Abstract:

4.

Investing for the Long Run

Number of pages: 15 Posted: 12 Nov 2011

Andrew Ang and Knut N. Kjaer

BlackRock, Inc and Independent

Downloads 3,095 (2,548)

Citation 3

Abstract:

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 1,070 (15,270)

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 (1,352)

Citation 2

Abstract:

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 (2,710)

Citation 105

Abstract:

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 (2,884)

Citation 14

Abstract:

8.

Stock Return Predictability: Is It There?

Downloads 2,663 ( 3,405)

Citation 315

2

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 2,283 (4,345)

Citation 315

Abstract:

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 380 (62,670)

Citation 315

Abstract:

9.

The Joint Cross Section of Stocks and Options

Downloads 2,613 ( 3,523)

Citation 17

4

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 1,363 (10,382)

Citation 17

Abstract:

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

Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici

Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University

Downloads 1,042 (15,884)

Citation 17

Abstract:

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

Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici

Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University

Downloads 186 (135,091)

Citation 17

Abstract:

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590

Number of pages: 96 Posted: 01 Nov 2013

Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici

Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University

Downloads 22 (449,919)

Citation 17

Abstract:

10.

International Asset Allocation with Time-Varying Correlations

Downloads 2,497 ( 3,790)

Citation 33

2

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 2,183 (4,684)

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 314 (78,286)

Citation 33

Abstract:

11.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012

Andrew Ang

BlackRock, Inc

Downloads 2,104 (4,030)

Abstract:

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:

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 (4,378)

Abstract:

14.

Estimating Private Equity Returns from Limited Partner Cash Flows

Downloads 1,986 ( 5,613)

Citation 3

2

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

Andrew Ang, Bingxu Chen, William N. Goetzmann and Ludovic Phalippou

BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School

Downloads 1,517 (8,733)

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

Andrew Ang, Bingxu Chen, William N. Goetzmann and Ludovic Phalippou

BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School

Downloads 469 (48,369)

Citation 3

Abstract:

15.

Portfolio Choice with Illiquid Assets

Downloads 1,919 ( 5,951)

Citation 6

4

Portfolio Choice with Illiquid Assets

Number of pages: 46 Posted: 26 Oct 2010 Last Revised: 01 Oct 2014

Andrew Ang, Dimitris Papanikolaou and Mark M. Westerfield

BlackRock, Inc, Northwestern University - Kellogg School of Management - Department of Finance and University of Washington

Downloads 1,575 (8,202)

Citation 6

Abstract:

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

Andrew Ang, Dimitris Papanikolaou and Mark M. Westerfield

BlackRock, Inc, Northwestern University - Kellogg School of Management - Department of Finance and University of Washington

Downloads 208 (121,390)

Citation 6

Abstract:

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

Andrew Ang, Dimitris Papanikolaou and Mark M. Westerfield

BlackRock, Inc, Northwestern University - Kellogg School of Management - Department of Finance and University of Washington

Downloads 117 (199,917)

Citation 6

Abstract:

Portfolio Choice with Illiquid Assets

NBER Working Paper No. w19436

Number of pages: 47 Posted: 14 Sep 2013

Andrew Ang, Dimitris Papanikolaou and Mark M. Westerfield

BlackRock, Inc, Northwestern University - Kellogg School of Management - Department of Finance and University of Washington

Downloads 19 (467,352)

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 (4,559)

Citation 1

Abstract:

17.

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 1,283 (11,467)

Citation 108

Abstract:

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 (47,583)

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.

The Term Structure of Real Rates and Expected Inflation

Downloads 1,749 ( 7,046)

Citation 124

3

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 (10,049)

Citation 124

Abstract:

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 336 (72,502)

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 (449,919)

Citation 124

Add to Cart

Abstract:

19.

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

Downloads 1,688 ( 7,527)

Citation 152

3

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

Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang

BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Downloads 674 (30,005)

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

Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang

BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Downloads 584 (36,411)

Citation 152

Abstract:

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

Number of pages: 52 Posted: 19 Mar 2008

Xiaoyan Zhang, Andrew Ang, Robert J. Hodrick and Yuhang Xing

Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University

Downloads 430 (53,904)

Citation 152

Abstract:

20.

What Does the Yield Curve Tell Us about GDP Growth?

Downloads 1,645 ( 7,862)

Citation 141

2

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 1,418 (9,749)

Citation 141

Abstract:

What Does the Yield Curve Tell Us About GDP Growth?

NBER Working Paper No. w10672

Number of pages: 59 Posted: 02 Sep 2004

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 (111,185)

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 (7,681)

Citation 202

Abstract:

22.

How do Regimes Affect Asset Allocation?

Downloads 1,439 ( 9,718)

Citation 36

2

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 1,119 (14,216)

Citation 36

Abstract:

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 (76,629)

Citation 36

Abstract:

23.

Investment Beliefs of Endowments

Downloads 1,364 ( 10,582)

2

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

Andrew Ang, Andres Ayala and William N. Goetzmann

BlackRock, Inc, Columbia University - Columbia Business School and Yale School of Management - International Center for Finance

Downloads 1,078 (15,078)

Abstract:

Investment Beliefs of Endowments

Netspar Discussion Paper No. 06/2014-027

Number of pages: 58 Posted: 09 Jul 2014

Andrew Ang, Andres Ayala and William N. Goetzmann

BlackRock, Inc, Columbia University - Columbia Business School and Yale School of Management - International Center for Finance

Downloads 286 (87,120)

Abstract:

24.

Regime Switches in Interest Rates

Downloads 1,340 ( 10,893)

Citation 118

2

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 (14,149)

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 (115,756)

Citation 118

Abstract:

25.

Hedge Fund Leverage

Number of pages: 54 Posted: 02 Aug 2010 Last Revised: 15 Jun 2011

Andrew Ang, Sergiy Gorovyy and Greg van Inwegen

BlackRock, Inc, Ellington Management Group and Citi Private Bank

Downloads 1,147 (13,695)

Citation 17

Abstract:

Hedge Fund Leverage

NBER Working Paper No. w16801

Number of pages: 60 Posted: 28 Feb 2011

Andrew Ang, Sergiy Gorovyy and Greg van Inwegen

BlackRock, Inc, Ellington Management Group and Citi Private Bank

Downloads 131 (182,998)

Citation 17

Abstract:

26.

How to Discount Cashflows with Time-Varying Expected Returns

Downloads 1,170 ( 13,504)

Citation 34

3

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 1,006 (16,712)

Citation 34

Abstract:

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 (151,440)

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:

27.

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 959 (17,996)

Citation 14

Abstract:

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 191 (131,658)

Citation 14

Abstract:

28.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012

Andrew Ang

BlackRock, Inc

Downloads 1,134 (13,182)

Abstract:

29.

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

Downloads 1,031 ( 16,437)

Citation 9

4

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 702 (28,397)

Citation 9

Abstract:

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 (155,618)

Citation 9

Abstract:

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 151 (162,725)

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 (467,352)

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 (13,734)

Citation 40

Abstract:

31.

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

Downloads 977 ( 17,832)

Citation 298

2

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 740 (26,313)

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 (106,513)

Citation 298

Abstract:

32.

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

Downloads 964 ( 18,193)

Citation 11

3

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 813 (23,014)

Citation 11

Abstract:

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 151 (162,725)

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:

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

Byeong-Je An, Andrew Ang and Pierre Collin-Dufresne

Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

Downloads 923 (10,300)

Abstract:

34.

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 (24,613)

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 (176,514)

Citation 57

Abstract:

35.

Testing Conditional Factor Models

Downloads 895 ( 20,346)

Citation 18

3

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 468 (48,489)

Citation 18

Abstract:

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 401 (58,772)

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 (427,505)

Citation 18

Abstract:

36.

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Downloads 854 ( 21,793)

Citation 24

3

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 557 (38,796)

Citation 24

Abstract:

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 (119,111)

Citation 24

Abstract:

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 (249,820)

Citation 24

Abstract:

37.

The Four Benchmarks of Sovereign Wealth Funds

Number of pages: 29 Posted: 22 Sep 2010

Andrew Ang

BlackRock, Inc

Downloads 843 (16,563)

Citation 5

Abstract:

38.

Regime Changes and Financial Markets

Downloads 838 ( 22,375)

Citation 8

4

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 786 (24,165)

Citation 8

Abstract:

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 44 (353,248)

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 (530,200)

Citation 8

Add to Cart

Abstract:

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:

39.

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

Downloads 705 ( 28,680)

Citation 19

4

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 (87,477)

Citation 19

Abstract:

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 (119,111)

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 (139,283)

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 (417,235)

Citation 19

Abstract:

40.

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

Downloads 697 ( 29,148)

Citation 7

2

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

Andrew Ang, Assaf A. Shtauber and Paul C. Tetlock

BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics

Downloads 455 (50,240)

Citation 7

Abstract:

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

Number of pages: 76 Posted: 26 Nov 2010 Last Revised: 02 Aug 2013

Andrew Ang, Assaf A. Shtauber and Paul C. Tetlock

BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics

Downloads 242 (104,176)

Citation 7

Abstract:

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 (15,111)

Abstract:

42.

Asset Owners and Delegated Managers

Number of pages: 40 Posted: 11 Jul 2012

Andrew Ang

BlackRock, Inc

Downloads 610 (31,134)

Abstract:

43.

Is IPO Underperformance a Peso Problem?

Downloads 609 ( 34,957)

Citation 7

2

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 (39,180)

Citation 7

Abstract:

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 (316,108)

Citation 7

Abstract:

44.

Nominal Bonds, Real Bonds, and Equity

Downloads 599 ( 35,722)

Citation 2

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 364 (65,914)

Citation 2

Abstract:

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 235 (107,444)

Citation 2

Abstract:

45.

Liability Driven Investment with Downside Risk

Downloads 579 ( 37,403)

2

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012

Andrew Ang, Bingxu Chen and Suresh M. Sundaresan

BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 348 (69,559)

Abstract:

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051

Number of pages: 29 Posted: 17 Jan 2013

Andrew Ang, Bingxu Chen and Suresh M. Sundaresan

BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics

Downloads 231 (109,338)

Abstract:

46.

Monetary Policy Shifts and the Term Structure

Downloads 547 ( 40,292)

Citation 31

2

Monetary Policy Shifts and the Term Structure

NBER Working Paper No. w15270

Number of pages: 53 Posted: 25 Aug 2009

Andrew Ang, Jean Boivin, Sen Dong and Rudy J. Loo-Kung

BlackRock, Inc, HEC Montreal, Columbia Business School - Economics Department and Inter-American Development Bank (IADB)

Downloads 312 (78,855)

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 (107,444)

Citation 31

Abstract:

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 (20,403)

Abstract:

48.

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

Downloads 523 ( 42,651)

Citation 110

2

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 323 (75,835)

Citation 110

Abstract:

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 200 (126,078)

Citation 110

Abstract:

49.

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 459 (49,696)

Citation 77

Abstract:

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 (300,025)

Citation 77

Abstract:

50.

Inflation and Individual Equities

Downloads 494 ( 45,837)

Citation 3

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 287 (86,793)

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 170 (146,688)

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 37 (378,381)

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 (43,939)

Citation 43

Abstract:

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 (45,736)

Citation 1

Abstract:

53.

Advance Refundings of Municipal Bonds

Downloads 404 ( 58,772)

Citation 1

2

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 387 (61,356)

Citation 1

Abstract:

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 (478,974)

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 (22,169)

Abstract:

55.

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 202 (124,826)

Citation 9

Abstract:

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 (228,982)

Citation 9

Abstract:

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 (363,503)

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 (363,503)

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

Paul Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra

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 (9,400)

Citation 2

Abstract:

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 261 (96,669)

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 (20,794)

Abstract:

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 188 (133,792)

Citation 9

Abstract:

60.

Build America Bonds

Downloads 110 (208,281)

2

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 110 (209,267)

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:

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 (224,393)

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

Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang

BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Downloads 62 (224,393)

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

Andrew Ang, Assaf A. Shtauber and Paul C. Tetlock

BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance and Economics

Downloads 9 (446,142)

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

Andrew Ang, William N. Goetzmann and Stephen M. Schaefer

BlackRock, Inc, Yale School of Management - International Center for Finance and London Business School - Institute of Finance and Accounting

Downloads 7 (492,950)

Citation 3

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Abstract:

65.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4

Number of pages: 40 Posted: 31 May 2017

Jacques Lussier, Andrew Ang, Mark M. Carhart, Craig Bodenstab, Philip E. Tetlock, Warren Hatch and David Rapach

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 (146,673)

Abstract:

66.

Estimating Time-Varying Factor Exposures with Cross-Sectional Characteristics with Application to Active Mutual Fund Returns

Posted: 21 Dec 2016

Ananth Madhavan, Aleksander Sobczyk and Andrew Ang

BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

67.

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 (163,415)

Abstract:

68.

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

Ronald Ratcliffe, Paolo Miranda and Andrew Ang

BlackRock, Inc, BlackRock and BlackRock, Inc

Downloads 0 (25,170)

Abstract:

69.

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

Andrew Ang

BlackRock, Inc

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