Andrew Ang

BlackRock, Inc

55 East 52nd Street

New York City, NY 10055

United States

SCHOLARLY PAPERS

76

DOWNLOADS
Rank 56

SSRN RANKINGS

Top 56

in Total Papers Downloads

120,509

SSRN CITATIONS
Rank 52

SSRN RANKINGS

Top 52

in Total Papers Citations

2,901

CROSSREF CITATIONS

4,101

Scholarly Papers (76)

1.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
Downloads 17,022 (180)
Citation 5

Abstract:

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

2.

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 9,525 (549)
Citation 8

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3.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49
Number of pages: 62 Posted: 19 Aug 2012
Andrew Ang
BlackRock, Inc
Downloads 5,712 (1,338)
Citation 7

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

4.
Downloads 5,109 ( 1,619)
Citation 981

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 Tsinghua University - PBC School of Finance
Downloads 3,400 (3,240)
Citation 241

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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 Last Revised: 28 Aug 2010
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,709 (10,303)
Citation 246

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5.
Downloads 4,646 ( 1,934)
Citation 8

Investing for the Long Run

Number of pages: 15 Posted: 12 Nov 2011
Andrew Ang and Knut N. Kjaer
BlackRock, Inc and Independent
Downloads 3,364 (3,303)
Citation 11

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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 1,282 (16,132)
Citation 1

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6.

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 3,183 (3,705)
Citation 21

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

7.

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 3,120 (3,824)
Citation 6

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

8.
Downloads 2,870 ( 4,418)
Citation 40

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper
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 1,470 (13,029)
Citation 11

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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 1,155 (18,889)
Citation 5

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

The Joint Cross Section of Stocks and Options

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
Downloads 198 (166,329)
Citation 18

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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 47 (438,091)
Citation 6

Abstract:

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9.

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 2,851 (4,462)
Citation 50

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

10.
Downloads 2,825 ( 4,538)
Citation 65

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 2,378 (5,898)
Citation 68

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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 Last Revised: 11 Feb 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 447 (69,012)

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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 2,047 (7,627)
Citation 27

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Estimating Private Equity Returns from Limited Partner Cash Flows

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
Downloads 760 (34,534)
Citation 9

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12.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 2,723 (4,812)
Citation 2

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

13.

Illiquid Asset Investing

Columbia Business School Research Paper No. 13-2
Number of pages: 50 Posted: 13 Jan 2013
Andrew Ang
BlackRock, Inc
Downloads 2,614 (5,158)
Citation 6

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

14.

'Real' Assets

Columbia Business School Research Paper No. 12-60
Number of pages: 64 Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
Downloads 2,585 (5,257)
Citation 3

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

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 2,244 (6,533)
Citation 1

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International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000 Last Revised: 16 Apr 2008
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 331 (98,086)
Citation 2

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16.

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, 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
Downloads 2,360 (6,118)
Citation 10

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

17.
Downloads 2,308 ( 6,350)
Citation 40

Portfolio Choice with Illiquid Assets

Number of pages: 46 Posted: 26 Oct 2010 Last Revised: 01 Oct 2014
Downloads 1,804 (9,395)
Citation 8

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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 280 (117,795)

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Asset allocation, liquidity, alternative assets, liquidity crises

Portfolio Choice with Illiquid Assets

Management Science, November 2014
Number of pages: 46 Posted: 03 Oct 2014
Downloads 186 (176,139)

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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 38 (477,092)
Citation 8

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18.
Downloads 1,938 ( 8,547)
Citation 107

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 1,408 (13,970)
Citation 8

Abstract:

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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 530 (55,747)
Citation 21

Abstract:

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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:

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19.
Downloads 1,831 ( 9,373)
Citation 148

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 1,441 (13,471)
Citation 9

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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 Last Revised: 03 Nov 2010
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 368 (86,924)
Citation 1

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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 (568,697)
Citation 15
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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 Last Revised: 18 Jul 2010
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 705 (38,297)

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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 Tsinghua University - PBC School of Finance
Downloads 652 (42,557)
Citation 7

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

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
Downloads 469 (65,064)
Citation 5

Abstract:

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idiosyncratic volatility, Fama-MacBeth regression

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 1,782 (9,773)
Citation 62

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22.
Downloads 1,732 ( 10,279)
Citation 231

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 1,459 (13,178)
Citation 23

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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 273 (120,934)
Citation 25

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23.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 10 Aug 2018
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 1,713 (10,458)
Citation 83

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Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss

24.
Downloads 1,594 ( 11,696)
Citation 12

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, Amazon.com and Yale School of Management - International Center for Finance
Downloads 1,169 (18,564)
Citation 2

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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, Amazon.com and Yale School of Management - International Center for Finance
Downloads 424 (73,592)
Citation 10

Abstract:

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Investment Beliefs of Endowments

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
Downloads 1 (736,465)
Citation 3
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alternative assets, asset allocation, hedge funds, portfolio choice, private equity

25.

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
Downloads 1,571 (11,963)
Citation 1

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

26.
Downloads 1,527 ( 12,498)
Citation 26

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 1,178 (18,337)
Citation 17

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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 349 (92,413)
Citation 2

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27.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost

Georgetown McDonough School of Business Research Paper No. 2603022
Number of pages: 48 Posted: 07 May 2015 Last Revised: 29 Jul 2019
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 1,457 (13,485)
Citation 8

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Chinese local government debt, real estate, political risk, government guarantee

28.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014
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 1,405 (14,294)
Citation 3

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

29.
Downloads 1,402 ( 14,346)
Citation 20

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 1,157 (18,836)
Citation 21

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Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000 Last Revised: 08 Apr 2008
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 245 (135,323)
Citation 1

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30.
Downloads 1,361 ( 15,005)
Citation 45

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 1,214 (17,518)
Citation 48

Abstract:

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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 147 (216,054)

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31.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 1,239 (17,298)

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

32.

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, LongTail Alpha, LLC and Rice University
Downloads 1,229 (17,512)
Citation 12

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

33.

The Four Benchmarks of Sovereign Wealth Funds

Number of pages: 29 Posted: 22 Sep 2010
Andrew Ang
BlackRock, Inc
Downloads 1,221 (17,688)
Citation 5

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

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 1,022 (22,697)
Citation 1

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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
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 175 (186,063)
Citation 1

Abstract:

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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

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

35.
Downloads 1,194 ( 18,325)
Citation 16

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 981 (24,114)
Citation 1

Abstract:

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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 213 (155,209)
Citation 2

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36.

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 1,174 (18,771)
Citation 5

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37.
Downloads 1,081 ( 21,249)
Citation 18

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 722 (37,058)
Citation 3

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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 171 (189,865)
Citation 15

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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 163 (197,963)
Citation 2

Abstract:

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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 25 (548,455)

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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 780 (33,353)
Citation 100

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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 Last Revised: 20 Aug 2001
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 276 (119,572)
Citation 3

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39.
Downloads 1,009 ( 23,518)
Citation 54

Regime Changes and Financial Markets

Netspar Discussion Paper No. 06/2011-068
Number of pages: 34 Posted: 30 Aug 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 938 (25,695)
Citation 5

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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 Timmermann
BlackRock, Inc and UCSD
Downloads 63 (381,123)

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Regime Changes and Financial Markets

CEPR Discussion Paper No. DP8480
Number of pages: 35 Posted: 20 Jul 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 8 (670,598)
Citation 14
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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 Timmermann
BlackRock, Inc and UCSD

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40.
Downloads 1,004 ( 23,703)
Citation 9

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 841 (30,060)
Citation 11

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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 163 (197,963)

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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

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

41.
Downloads 972 ( 24,841)
Citation 44

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 507 (58,950)
Citation 4

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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 421 (74,206)
Citation 1

Abstract:

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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 44 (450,430)
Citation 7

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42.
Downloads 952 ( 25,559)
Citation 73

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 804 (32,016)
Citation 20

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 05 Oct 2001
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 148 (214,861)
Citation 6

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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 564 (51,511)

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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 219 (151,217)

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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 101 (286,960)
Citation 2

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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
Downloads 552 (52,918)
Citation 4

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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
Downloads 255 (129,948)
Citation 1

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

45.
Downloads 804 ( 32,521)
Citation 8

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 523 (56,723)
Citation 9

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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 281 (117,362)
Citation 7

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

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 307 (106,677)
Citation 2

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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 220 (150,549)
Citation 163

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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 198 (166,329)
Citation 11

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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 36 (486,587)

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47.

Asset Owners and Delegated Managers

Number of pages: 40 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 732 (36,953)
Citation 1

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

48.
Downloads 707 ( 38,696)
Citation 5

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 399 (79,039)
Citation 4

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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 308 (106,273)
Citation 3

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49.
Downloads 625 ( 45,697)
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 561 (51,833)
Citation 1

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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 Last Revised: 06 Feb 2016
Andrew Ang, Li Gu and Yael V. Hochberg
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
Downloads 64 (377,860)

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50.

ESG in Factors

Number of pages: 40 Posted: 10 Feb 2020
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Downloads 596 (48,613)

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factors, factor investing, sustainable investing, ESG, CSR, socially responsible investing, corporate culture, intangible value, green patents

51.
Downloads 576 ( 50,801)
Citation 18

Monetary Policy Shifts and the Term Structure

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)
Downloads 330 (98,437)
Citation 1

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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 246 (134,782)
Citation 7

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

52.
Downloads 559 ( 52,690)
Citation 22

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 478 (63,553)
Citation 21

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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 Last Revised: 03 Nov 2010
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 81 (330,623)
Citation 1

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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 339 (95,502)
Citation 4

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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 Last Revised: 13 Jul 2010
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 211 (156,627)
Citation 27

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54.
Downloads 533 ( 56,028)
Citation 7

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 304 (107,816)
Citation 1

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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 184 (177,904)

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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 45 (446,275)

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55.

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 523 (57,378)
Citation 7

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

56.
Downloads 488 ( 62,567)
Citation 13

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 455 (67,546)

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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 33 (501,760)

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57.

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
Downloads 472 (65,217)

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58.
Downloads 429 ( 73,224)
Citation 28

Taxes on Tax-Exempt Bonds

Number of pages: 64 Posted: 25 Mar 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 223 (148,543)

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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, LongTail Alpha, LLC and Rice University
Downloads 107 (275,597)
Citation 5

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

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, LongTail Alpha, LLC and Rice University
Downloads 53 (415,197)
Citation 2

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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, LongTail Alpha, LLC and Rice University
Downloads 46 (442,213)

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59.

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 309 (106,453)
Citation 1

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60.

CAPM Over the Long Run: 1926-2001

NBER Working Paper No. w11903
Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 12 Jul 2010
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 283 (117,056)
Citation 6

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61.

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 229 (145,149)
Citation 3

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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 Tsinghua University - PBC School of Finance
Downloads 158 (203,015)
Citation 78

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63.

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 114 (262,018)
Citation 2

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64.

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

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
Downloads 31 (499,427)
Citation 11

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65.

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 14 (602,054)
Citation 1
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efficient market hypothesis, CAPM, APT, arbitrage

66.
Downloads 11 (622,534)

Build America Bonds

NBER Working Paper No. w16008
Number of pages: 17 Posted: 30 Sep 2019
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 11 (647,857)

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Build America Bonds

Posted: 02 May 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University

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

Build America Bonds

NBER Working Paper No. w16008
Posted: 21 May 2019
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University

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67.

Factors with Style

Number of pages: 38
BlackRock, Inc - London, BlackRock, Inc, BlackRock and BlackRock, Inc
Downloads 9

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factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift

68.

Towards Green Alpha: Analyzing ESG Exposures Through a Factor Lens

Number of pages: 33
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc
Downloads 3

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ESG, Factors, Mutual Funds.

69.

What Happens with More Funds than Stocks?

Posted: 11 Nov 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

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ETFs, Mutual Funds, Crowding, Factors

70.

Factors and Advisors Portfolios

Posted: 02 Aug 2019
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc

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portfolio, factors, risk premia, risk

71.

Model Portfolios

Posted: 19 Mar 2018 Last Revised: 27 Aug 2019
BlackRock, Inc, BlackRock, Inc - San Francisco, BlackRock, Inc - San Francisco and BlackRock, Inc

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Portfolio Construction/Optimization; Strategic Asset Allocation; Tactical Asset Allocation; Single Factors; ETFs; Factor Investing; Implementation

72.

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

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

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Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios

73.

Estimating Time-Varying Factor Exposures

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

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74.

Capacity of Smart Beta Strategies: A Transaction Cost Perspective

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

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Capacity, smart beta, factor risk premium, transaction cost

75.

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

Posted: 12 Oct 2012 Last Revised: 02 Oct 2017
Andrew Ang, Neil Nabar and Samuel Wald
BlackRock, Inc, Fidelity Investments, Inc. - Fidelity Management & Research and Fidelity Investments, Inc. - Fidelity Management & Research

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Real Estate, Direct Real Estate Investments, REITs

76.

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

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