Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
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17,022
(180)
Abstract:
risk premium, bad times, factor allocation, alternative beta, smart beta, exotic beta, dynamic portfolio choice, fixed income weights, GDP-weights
Number of pages: 37
Posted: 18 Jul 1998
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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9,525
(549)
Abstract:
Columbia Business School Research Paper No. 12/49
Number of pages: 62
Posted: 19 Aug 2012
Andrew Ang
BlackRock, Inc
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5,712
(1,338)
Abstract:
Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk
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5,109
( 1,619)
Citation
981
Journal of Finance, Forthcoming
Number of pages: 56
Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
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3,400
(3,240)
Abstract:
Systematic risk, stochastic volatility, idiosyncratic volatility
NBER Working Paper No. w10852
Number of pages: 57
Posted: 27 Oct 2004
Last Revised: 28 Aug 2010
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
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1,709
(10,303)
Abstract:
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4,646
( 1,934)
Citation
8
Number of pages: 15
Posted: 12 Nov 2011
BlackRock, Inc and Independent
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3,364
(3,303)
Abstract:
contrarian, countercyclical investing, agency problem, delegated portfolio management, illiquid investments
Netspar Discussion Paper No. 11/2011-104
Number of pages: 16
Posted: 24 Dec 2011
Last Revised: 03 Feb 2012
BlackRock, Inc and Independent
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1,282
(16,132)
Abstract:
-
EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47
Posted: 09 Nov 2001
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
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3,183
(3,705)
Abstract:
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
AFA 2004 San Diego Meetings
Number of pages: 41
Posted: 23 Nov 2003
BlackRock, Inc and University of California, Davis - Graduate School of Management
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3,120
(3,824)
Abstract:
book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta
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2,870
( 4,418)
Citation
40
AFA 2011 Denver Meetings Paper
Number of pages: 58
Posted: 08 Jan 2010
Last Revised: 27 Feb 2012
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
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1,470
(13,029)
Abstract:
implied volatility, risk premiums, return predictability, momentum
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
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1,155
(18,889)
Abstract:
implied volatility, risk premiums, predictability, short-term momentum
Netspar Discussion Paper No. 10/2013-032
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
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198
(166,329)
Abstract:
implied volatility, risk premiums, predictability, short-term momentum
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
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47
(438,091)
Abstract:
AFA 2011 Denver Meetings Paper
Number of pages: 47
Posted: 25 Jan 2010
Last Revised: 15 Jun 2011
BlackRock, Inc and University of California, Davis - Graduate School of Management
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2,851
(4,462)
Abstract:
carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity
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2,825
( 4,538)
Citation
65
AFA 2002 Atlanta Meetings
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,378
(5,898)
Abstract:
Present value model, predictability, international predictability, short rates, dividend yield, earnings yield
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 11 Feb 2010
Columbia Business School - Finance and Economics and BlackRock, Inc
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447
(69,012)
Abstract:
Downloads
2,807
( 4,585)
Citation
27
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
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2,047
(7,627)
Abstract:
Netspar Discussion Paper No. 06/2014-021
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
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760
(34,534)
Abstract:
Number of pages: 59
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
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2,723
(4,812)
Abstract:
Rebalancing, Long-horizon investing, Diversification return, Kelly rule, Ulysses contract, Short volatility strategy
Columbia Business School Research Paper No. 13-2
Number of pages: 50
Posted: 13 Jan 2013
Andrew Ang
BlackRock, Inc
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2,614
(5,158)
Abstract:
illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
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2,585
(5,257)
Abstract:
Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT
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2,575
( 5,286)
Citation
15
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,244
(6,533)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 16 Apr 2008
Columbia Business School - Finance and Economics and BlackRock, Inc
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331
(98,086)
Abstract:
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
P. 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, Inc - San Francisco, 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
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2,360
(6,118)
Abstract:
ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson
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2,308
( 6,350)
Citation
40
Number of pages: 46
Posted: 26 Oct 2010
Last Revised: 01 Oct 2014
Downloads
1,804
(9,395)
Abstract:
Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises
Netspar Discussion Paper No. 10/2010-092
Number of pages: 47
Posted: 22 Apr 2011
Last Revised: 19 Sep 2014
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280
(117,795)
Abstract:
Asset allocation, liquidity, alternative assets, liquidity crises
Management Science, November 2014
Number of pages: 46
Posted: 03 Oct 2014
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186
(176,139)
Abstract:
Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises
NBER Working Paper No. w19436
Number of pages: 47
Posted: 14 Sep 2013
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38
(477,092)
Abstract:
Downloads
1,938
( 8,547)
Citation
107
AFA 2005 Philadelphia Meetings
Number of pages: 38
Posted: 30 Dec 2004
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
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1,408
(13,970)
Abstract:
asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments
NBER Working Paper No. w11824
Number of pages: 53
Posted: 20 Feb 2006
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
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530
(55,747)
Abstract:
The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Abstract:
Downloads
1,831
( 9,373)
Citation
148
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,441
(13,471)
Abstract:
regime-switching term structure model, inflation risk premium, business cycles
NBER Working Paper No. w12930
Number of pages: 68
Posted: 24 Feb 2007
Last Revised: 03 Nov 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
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368
(86,924)
Abstract:
CEPR Discussion Paper No. 4518
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
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22
(568,697)
The Term Structure of Real Rates and Expected Inflation
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Abstract:
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1,826
( 9,417)
Citation
17
NBER Working Paper No. w13739
Number of pages: 52
Posted: 24 Jan 2008
Last Revised: 18 Jul 2010
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
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705
(38,297)
Abstract:
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 Tsinghua University - PBC School of Finance
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652
(42,557)
Abstract:
Number of pages: 52
Posted: 19 Mar 2008
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
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469
(65,064)
Abstract:
idiosyncratic volatility, Fama-MacBeth regression
EFA 2001 Barcelona Meetings
Number of pages: 56
Posted: 19 May 2000
University of California, Davis - Graduate School of Management and BlackRock, Inc
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1,782
(9,773)
Abstract:
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1,732
( 10,279)
Citation
231
AFA 2005 Philadelphia Meetings; Columbia Business School Working Paper
Number of pages: 40
Posted: 23 Jan 2005
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
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1,459
(13,178)
Abstract:
GDP Forecasting; Short Rate; Term Spread; Arbitrage-Free Term Structure Models; Out-of-Sample Forecast
NBER Working Paper No. w10672
Number of pages: 59
Posted: 02 Sep 2004
Last Revised: 31 Aug 2010
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve - Division of Monetary Affairs
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273
(120,934)
Abstract:
AFA 2009 San Francisco Meetings Paper
Number of pages: 65
Posted: 17 Mar 2008
Last Revised: 10 Aug 2018
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and University of Pennsylvania - Finance Department
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1,713
(10,458)
Abstract:
Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss
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1,594
( 11,696)
Citation
12
Columbia Business School Research Paper No. 13-72
Number of pages: 55
Posted: 19 Sep 2013
Last Revised: 03 Apr 2014
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
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1,169
(18,564)
Abstract:
Hedge funds, private equity, alternative assets, portfolio choice
Netspar Discussion Paper No. 06/2014-027
Number of pages: 58
Posted: 09 Jul 2014
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
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424
(73,592)
Abstract:
European Financial Management, Vol. 24, Issue 1, pp. 3-33, 2018
Number of pages: 31
Posted: 19 Jan 2018
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
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1
(736,465)
Investment Beliefs of Endowments
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Abstract:
alternative assets, asset allocation, hedge funds, portfolio choice, private equity
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
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1,571
(11,963)
Abstract:
market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands
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1,527
( 12,498)
Citation
26
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,178
(18,337)
Abstract:
market timing, tactical asset allocation, regime switching, international diversification
NBER Working Paper No. w10080
Number of pages: 28
Posted: 14 Nov 2003
Last Revised: 19 Jul 2010
Columbia Business School - Finance and Economics and BlackRock, Inc
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349
(92,413)
Abstract:
Georgetown McDonough School of Business Research Paper No. 2603022
Number of pages: 48
Posted: 07 May 2015
Last Revised: 29 Jul 2019
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
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1,457
(13,485)
Abstract:
Chinese local government debt, real estate, political risk, government guarantee
Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014
Number of pages: 13
Posted: 17 Sep 2014
BlackRock, Inc, University of Lausanne and AQR Capital Management
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1,405
(14,294)
Abstract:
Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
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1,402
( 14,346)
Citation
20
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,157
(18,836)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 08 Apr 2008
Columbia Business School - Finance and Economics and BlackRock, Inc
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245
(135,323)
Abstract:
Downloads
1,361
( 15,005)
Citation
45
Number of pages: 54
Posted: 02 Aug 2010
Last Revised: 15 Jun 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
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1,214
(17,518)
Abstract:
capital structure, long-short positions, exposure, hedging, systemic risk
NBER Working Paper No. w16801
Number of pages: 60
Posted: 28 Feb 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
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147
(216,054)
Abstract:
Number of pages: 49
Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
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1,239
(17,298)
Abstract:
Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression
Columbia Business School Research Paper No. 14-37
Number of pages: 49
Posted: 30 Aug 2014
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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1,229
(17,512)
Abstract:
municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes
Number of pages: 29
Posted: 22 Sep 2010
Andrew Ang
BlackRock, Inc
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1,221
(17,688)
Abstract:
legitimacy, performance, management, government, equilibrium, long run
Downloads
1,197
( 18,159)
Citation
34
Number of pages: 46
Posted: 31 May 2002
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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1,022
(22,697)
Abstract:
present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting
NBER Working Paper No. w10042
Number of pages: 44
Posted: 27 Oct 2003
Last Revised: 15 Jun 2020
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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175
(186,063)
Abstract:
Journal of Finance, Vol. 59, No. 6, pp. 2745-2783
Posted: 04 Apr 2005
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
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1,194
( 18,325)
Citation
16
Number of pages: 50
Posted: 20 Apr 2004
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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981
(24,114)
Abstract:
risk-return trade-off, risk premium,stochastic volatility, predictability
NBER Working Paper No. w12843
Number of pages: 48
Posted: 20 Jan 2007
Last Revised: 06 Aug 2010
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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213
(155,209)
Abstract:
Number of pages: 32
Posted: 30 Jul 2012
BlackRock, Inc and Copenhagen Business School
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1,174
(18,771)
Abstract:
Downloads
1,081
( 21,249)
Citation
18
Number of pages: 49
Posted: 30 Oct 2008
Last Revised: 17 Nov 2012
BlackRock, Inc and Vanderbilt University - Finance
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722
(37,058)
Abstract:
Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause
Number of pages: 40
Posted: 11 Mar 2009
BlackRock, Inc and Vanderbilt University - Finance
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171
(189,865)
Abstract:
hedge fund lockup, withdrawal, redemption notice period, suspension clause
Financial Management, Vol. 39, No. 3, pp. 1069-1096, November 2008
Number of pages: 49
Posted: 21 Oct 2011
BlackRock, Inc and Vanderbilt University - Finance
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163
(197,963)
Abstract:
NBER Working Paper No. w15937
Number of pages: 56
Posted: 26 Apr 2010
Last Revised: 20 Jul 2010
BlackRock, Inc and Vanderbilt University - Finance
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25
(548,455)
Abstract:
Downloads
1,056
( 21,971)
Citation
97
Number of pages: 44
Posted: 22 Nov 1999
BlackRock, Inc and University of Chicago - Booth School of Business
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780
(33,353)
Abstract:
NBER Working Paper No. w8363
Number of pages: 51
Posted: 28 Jun 2001
Last Revised: 20 Aug 2001
BlackRock, Inc and University of Chicago - Booth School of Business
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276
(119,572)
Abstract:
Downloads
1,009
( 23,518)
Citation
54
Netspar Discussion Paper No. 06/2011-068
Number of pages: 34
Posted: 30 Aug 2011
BlackRock, Inc and UCSD
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938
(25,695)
Abstract:
regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps
NBER Working Paper No. w17182
Number of pages: 34
Posted: 05 Jul 2011
BlackRock, Inc and UCSD
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63
(381,123)
Abstract:
CEPR Discussion Paper No. DP8480
Number of pages: 35
Posted: 20 Jul 2011
BlackRock, Inc and UCSD
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8
(670,598)
Regime Changes and Financial Markets
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Abstract:
jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching
Annual Review of Financial Economics, Vol. 4, pp. 313-337, 2012
Posted: 04 Nov 2012
BlackRock, Inc and UCSD
Abstract:
Downloads
1,004
( 23,703)
Citation
9
AFA 2007 Chicago Meetings Paper
Number of pages: 50
Posted: 23 Mar 2005
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
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841
(30,060)
Abstract:
hedge fund, fund-of-funds, portfolio allocation, certainty equivalent
NBER Working Paper No. w13944
Number of pages: 34
Posted: 17 Apr 2008
Last Revised: 09 Aug 2010
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
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163
(197,963)
Abstract:
Journal of Investment Management, Fourth Quarter 2008
Posted: 26 Nov 2008
Last Revised: 15 Jun 2011
BlackRock, Inc, BlackRock, Inc. and Harvard Business School - Entrepreneurial Management Unit
Abstract:
Hedge funds, survivorship bias, performance evaluation, benchmarking, asset allocation
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972
( 24,841)
Citation
44
AFA 2010 Atlanta Meetings Paper
Number of pages: 47
Posted: 04 Mar 2009
BlackRock, Inc and University College London
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507
(58,950)
Abstract:
Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect
Netspar Discussion Paper No. 01/2011-030
Number of pages: 63
Posted: 19 Apr 2011
BlackRock, Inc and University College London
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421
(74,206)
Abstract:
NBER Working Paper No. w17561
Number of pages: 59
Posted: 04 Nov 2011
BlackRock, Inc and University College London
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44
(450,430)
Abstract:
Downloads
952
( 25,559)
Citation
73
EFA 0669
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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804
(32,016)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 05 Oct 2001
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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148
(214,861)
Abstract:
Downloads
884
( 28,444)
Citation
19
ECB Working Paper No. 208
Number of pages: 59
Posted: 04 Feb 2003
BlackRock, Inc and European Central Bank (ECB)
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564
(51,511)
Abstract:
Population aging, demography, risk premiums, international predictability, social security
Number of pages: 40
Posted: 28 Jul 2001
BlackRock, Inc and European Central Bank (ECB)
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219
(151,217)
Abstract:
Population aging, demography, risk premiums, international predictability
NBER Working Paper No. w9677
Number of pages: 43
Posted: 16 May 2003
BlackRock, Inc and European Central Bank (ECB)
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101
(286,960)
Abstract:
Downloads
807
( 32,359)
Citation
5
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
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552
(52,918)
Abstract:
Illiquidity Premium, Limits to Arbitrage, Disclosure, Over-the-counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Return Anomalies
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
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255
(129,948)
Abstract:
Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies
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804
( 32,521)
Citation
8
Netspar Discussion Paper No. 12/2011-103
Number of pages: 56
Posted: 24 Dec 2011
Last Revised: 06 Mar 2012
BlackRock, Inc and Karlsruhe Institute of Technology
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523
(56,723)
Abstract:
term structure, yield curve, equity risk premium, Fed model, TIPS, Taylor rule
Number of pages: 56
Posted: 02 Nov 2011
Last Revised: 17 Apr 2012
BlackRock, Inc and Karlsruhe Institute of Technology
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281
(117,362)
Abstract:
Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule
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761
( 35,013)
Citation
165
Number of pages: 45
Posted: 21 Apr 2011
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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307
(106,677)
Abstract:
Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds
Netspar Discussion Paper No. 04/2011-067
Number of pages: 46
Posted: 30 Aug 2011
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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220
(150,549)
Abstract:
AFA 2013 San Diego Meetings Paper
Number of pages: 49
Posted: 12 Mar 2012
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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198
(166,329)
Abstract:
NBER Working Paper No. w16982
Number of pages: 46
Posted: 02 May 2011
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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36
(486,587)
Abstract:
Number of pages: 40
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
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732
(36,953)
Abstract:
Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract
Downloads
707
( 38,696)
Citation
5
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
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399
(79,039)
Abstract:
Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall
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
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308
(106,273)
Abstract:
-
Downloads
625
( 45,697)
Citation
7
Number of pages: 42
Posted: 12 Apr 2004
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
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561
(51,833)
Abstract:
IPO, long-run performance, small sample inference, peso problem
NBER Working Paper No. w12203
Number of pages: 49
Posted: 25 May 2006
Last Revised: 06 Feb 2016
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
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64
(377,860)
Abstract:
Number of pages: 40
Posted: 10 Feb 2020
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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596
(48,613)
Abstract:
factors, factor investing, sustainable investing, ESG, CSR, socially responsible investing, corporate culture, intangible value, green patents
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576
( 50,801)
Citation
18
NBER Working Paper No. w15270
Number of pages: 53
Posted: 25 Aug 2009
Last Revised: 23 Sep 2010
BlackRock, Inc, HEC Montreal, Columbia Business School - Economics Department and Inter-American Development Bank (IADB)
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330
(98,437)
Abstract:
AFA 2009 San Francisco Meetings Paper
Number of pages: 47
Posted: 17 Mar 2008
HEC Montreal, Columbia Business School - Economics Department and BlackRock, Inc
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246
(134,782)
Abstract:
Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model
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559
( 52,690)
Citation
22
Number of pages: 56
Posted: 21 Nov 2004
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
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478
(63,553)
Abstract:
Affine term structure model, monetary policy, interest rate risk
NBER Working Paper No. w13448
Number of pages: 51
Posted: 28 Sep 2007
Last Revised: 03 Nov 2010
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
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81
(330,623)
Abstract:
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550
( 53,778)
Citation
250
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
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339
(95,502)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 13 Jul 2010
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
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211
(156,627)
Abstract:
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533
( 56,028)
Citation
7
Number of pages: 25
Posted: 12 Apr 2011
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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304
(107,816)
Abstract:
Netspar Discussion Paper No. 04/2011-069
Number of pages: 26
Posted: 30 Aug 2011
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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184
(177,904)
Abstract:
NBER Working Paper No. w17798
Number of pages: 30
Posted: 07 Feb 2012
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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45
(446,275)
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
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523
(57,378)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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488
( 62,567)
Citation
13
Columbia Business School Research Paper No. 13-65
Number of pages: 63
Posted: 05 Aug 2013
Last Revised: 14 Aug 2014
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
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455
(67,546)
Abstract:
municipal bonds, advance refunding, public finance
NBER Working Paper No. w19459
Number of pages: 59
Posted: 20 Sep 2013
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
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33
(501,760)
Abstract:
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
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472
(65,217)
Abstract:
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429
( 73,224)
Citation
28
Number of pages: 64
Posted: 25 Mar 2008
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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223
(148,543)
Abstract:
municipal bonds, income and capital gains tax, de minimis boundary, public finance
Journal of Finance, Forthcoming
Number of pages: 65
Posted: 26 Nov 2008
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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107
(275,597)
Abstract:
municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate
Journal of Finance, Vol. 65, No. 2, pp. 565-601, 2008
Number of pages: 48
Posted: 21 Oct 2011
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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53
(415,197)
Abstract:
NBER Working Paper No. w14496
Number of pages: 48
Posted: 25 Nov 2008
Last Revised: 12 Aug 2010
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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46
(442,213)
Abstract:
Number of pages: 22
Posted: 05 Dec 2016
BlackRock, Inc, BlackRock, Inc and BlackRock
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309
(106,453)
Abstract:
NBER Working Paper No. w11903
Number of pages: 54
Posted: 24 Jan 2006
Last Revised: 12 Jul 2010
University of California, Davis - Graduate School of Management and BlackRock, Inc
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283
(117,056)
Abstract:
NBER Working Paper No. w8643
Number of pages: 48
Posted: 14 Dec 2001
Last Revised: 25 Oct 2010
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
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229
(145,149)
Abstract:
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 Tsinghua University - PBC School of Finance
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158
(203,015)
Abstract:
Number of pages: 19
Posted: 25 Aug 2011
BlackRock, Inc and Vanderbilt University - Finance
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114
(262,018)
Abstract:
NBER Working Paper No. w19309
Number of pages: 77
Posted: 10 Aug 2013
Last Revised: 22 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
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31
(499,427)
Abstract:
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
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14
(602,054)
The Efficient Market Theory and Evidence: Implications for Active Investment Management
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Abstract:
efficient market hypothesis, CAPM, APT, arbitrage
NBER Working Paper No. w16008
Number of pages: 17
Posted: 30 Sep 2019
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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11
(647,857)
Abstract:
Posted: 02 May 2010
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Abstract:
Municipal debt, tax-exempt bonds, public finance, tax subsidy
NBER Working Paper No. w16008
Posted: 21 May 2019
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Abstract:
Number of pages: 38
BlackRock, Inc - London, BlackRock, Inc, BlackRock and BlackRock, Inc
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9
Abstract:
factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift
Number of pages: 33
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
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3
Abstract:
ESG, Factors, Mutual Funds.
Posted: 11 Nov 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
Abstract:
ETFs, Mutual Funds, Crowding, Factors
Posted: 02 Aug 2019
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Abstract:
portfolio, factors, risk premia, risk
Posted: 19 Mar 2018
Last Revised: 27 Aug 2019
BlackRock, Inc, BlackRock, Inc - San Francisco, BlackRock, Inc - San Francisco and BlackRock, Inc
Abstract:
Portfolio Construction/Optimization; Strategic Asset Allocation; Tactical Asset Allocation; Single Factors; ETFs; Factor Investing; Implementation
The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 46-59.
Posted: 15 Sep 2017
Last Revised: 20 Aug 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
Abstract:
Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios
Financial Analysts Journal, Fourth Quarter 2017, Vol. 73, No. 4: 41–54
Posted: 21 Dec 2016
Last Revised: 20 Aug 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
Abstract:
Columbia Business School Research Paper No. 16-76
Posted: 31 Oct 2016
Last Revised: 04 Oct 2019
BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc
Abstract:
Capacity, smart beta, factor risk premium, transaction cost
Posted: 12 Oct 2012
Last Revised: 02 Oct 2017
BlackRock, Inc, Fidelity Investments, Inc. - Fidelity Management & Research and Fidelity Investments, Inc. - Fidelity Management & Research
Abstract:
Real Estate, Direct Real Estate Investments, REITs
Financial Analysts Journal, Vol. 60, No. 2, pp. 86-99, March/April 2004
Posted: 07 May 2004
Columbia Business School - Finance and Economics and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
