Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
Downloads
19,001
(222)
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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9,699
(790)
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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6,650
(1,512)
Abstract:
Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk
Downloads
5,829
( 1,888)
Citation
1,090
Number of pages: 56
Posted: 05 Apr 2005
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads
4,024
(3,512)
Abstract:
Systematic risk, stochastic volatility, idiosyncratic volatility
NBER Working Paper No. w10852
Number of pages: 57
Posted: 27 Oct 2004
Last Revised: 26 Feb 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
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1,805
(13,113)
Abstract:
Downloads
4,897
( 2,569)
Citation
9
Number of pages: 15
Posted: 12 Nov 2011
BlackRock, Inc and Independent
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3,500
(4,444)
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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1,397
(19,365)
Abstract:
-
Downloads
3,566
( 4,389)
Citation
42
Columbia Business School Research Paper No. 13-83
Number of pages: 64
Posted: 18 Nov 2013
Last Revised: 22 Jun 2014
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
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2,641
(7,103)
Abstract:
Netspar Discussion Paper No. 06/2014-021, Saïd Business School WP 2014-8
Number of pages: 44
Posted: 02 Jul 2014
Last Revised: 18 Feb 2017
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
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925
(35,420)
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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3,425
(4,733)
Abstract:
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
Downloads
3,231
( 5,207)
Citation
51
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
BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads
1,541
(16,750)
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 Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads
1,384
(19,641)
Abstract:
implied volatility, risk premiums, predictability, short-term momentum
Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69
Posted: 19 Oct 2013
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
Downloads
219
(194,442)
Abstract:
implied volatility, risk premiums, predictability, short-term momentum
NBER Working Paper No. w19590
Number of pages: 96
Posted: 01 Nov 2013
Last Revised: 13 Jul 2022
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - McDonough School of Business and Fordham university
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87
(399,424)
Abstract:
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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3,181
(5,347)
Abstract:
book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta
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
Downloads
3,127
(5,524)
Abstract:
carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
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3,025
(5,825)
Abstract:
Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT
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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2,990
(5,945)
Abstract:
ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson
Downloads
2,988
( 5,952)
Citation
100
Number of pages: 53
Posted: 23 Mar 2001
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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2,461
(7,931)
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: 06 Jun 2021
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
527
(74,422)
Abstract:
Number of pages: 59
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads
2,907
(6,218)
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
Downloads
2,858
(6,388)
Abstract:
illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model
Downloads
2,663
( 7,120)
Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
2,279
(8,963)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 14 Apr 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
384
(108,470)
Abstract:
Downloads
2,621
( 7,316)
Citation
50
Number of pages: 46
Posted: 26 Oct 2010
Last Revised: 01 Oct 2014
Downloads
1,937
(11,680)
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
Downloads
313
(135,734)
Abstract:
Asset allocation, liquidity, alternative assets, liquidity crises
Management Science, November 2014, Columbia Business School Research Paper No. 14-52
Number of pages: 46
Posted: 03 Oct 2014
Downloads
307
(138,648)
Abstract:
Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises
NBER Working Paper No. w19436
Number of pages: 47
Posted: 14 Sep 2013
Last Revised: 11 Aug 2022
Downloads
64
(475,072)
Abstract:
Downloads
2,491
( 7,932)
Citation
32
Number of pages: 70
Posted: 01 Jun 1998
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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2,157
(9,814)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Apr 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
334
(126,842)
Abstract:
Downloads
2,178
( 9,821)
Citation
126
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
Downloads
1,551
(16,589)
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
Last Revised: 24 Apr 2022
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
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627
(59,678)
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:
Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48
Posted: 07 May 2015
Last Revised: 29 Jul 2019
BlackRock, Inc, Georgetown University - Department of Finance and SUSTech Business School
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2,030
(11,064)
Abstract:
Chinese local government debt, real estate, political risk, government guarantee
AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65
Posted: 17 Mar 2008
Last Revised: 11 Aug 2020
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
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1,955
(11,754)
Abstract:
Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss
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1,936
( 11,931)
Citation
156
Number of pages: 64
Posted: 16 Jul 2003
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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1,515
(17,177)
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: 02 May 2021
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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399
(103,746)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia University - Columbia Business School, Finance
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22
(708,472)
The Term Structure of Real Rates and Expected Inflation
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Abstract:
Downloads
1,915
( 12,140)
Citation
60
NBER Working Paper No. w13739
Number of pages: 52
Posted: 24 Jan 2008
Last Revised: 16 Jan 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
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737
(48,305)
Abstract:
Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52
Posted: 21 Oct 2011
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
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677
(54,063)
Abstract:
Number of pages: 52
Posted: 19 Mar 2008
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia University - Columbia Business School, Finance and Rice University
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501
(79,289)
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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1,872
(12,581)
Abstract:
Downloads
1,792
( 13,478)
Citation
242
Number of pages: 40
Posted: 23 Jan 2005
BlackRock, Inc, Stanford University and Board of Governors of the Federal Reserve System
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1,493
(17,529)
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: 28 Feb 2022
BlackRock, Inc, Stanford University and Board of Governors of the Federal Reserve System
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299
(142,462)
Abstract:
Downloads
1,696
( 14,736)
Citation
10
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
1,220
(23,814)
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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472
(85,195)
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
Downloads
4
(887,824)
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 Business School, Nanyang Technological University, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne
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1,670
(15,083)
Abstract:
market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands
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
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads
1,655
(15,306)
Abstract:
Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
Downloads
1,602
( 16,055)
Citation
29
Number of pages: 35
Posted: 27 May 2002
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
1,219
(23,839)
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: 18 Jul 2022
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Downloads
383
(108,794)
Abstract:
Columbia Business School Research Paper No. 14-37
Number of pages: 49
Posted: 30 Aug 2014
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads
1,461
(18,440)
Abstract:
municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes
Downloads
1,448
( 18,704)
Citation
55
Number of pages: 54
Posted: 02 Aug 2010
Last Revised: 15 Jun 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
Downloads
1,271
(22,355)
Abstract:
capital structure, long-short positions, exposure, hedging, systemic risk
NBER Working Paper No. w16801
Number of pages: 60
Posted: 28 Feb 2011
Last Revised: 30 May 2021
BlackRock, Inc, Ellington Management Group and Citi Private Bank
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177
(235,729)
Abstract:
Number of pages: 29
Posted: 22 Sep 2010
Andrew Ang
BlackRock, Inc
Downloads
1,369
(20,324)
Abstract:
legitimacy, performance, management, government, equilibrium, long run
Number of pages: 32
Posted: 30 Jul 2012
BlackRock, Inc and Dartmouth College - Tuck School of Business
Downloads
1,362
(20,477)
Abstract:
Downloads
1,279
( 22,536)
Citation
62
Netspar Discussion Paper No. 06/2011-068
Number of pages: 34
Posted: 30 Aug 2011
BlackRock, Inc and UCSD
Downloads
1,157
(25,709)
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
Last Revised: 13 Jun 2022
BlackRock, Inc and UCSD
Downloads
108
(346,982)
Abstract:
CEPR Discussion Paper No. DP8480
Number of pages: 35
Posted: 20 Jul 2011
BlackRock, Inc and UCSD
Downloads
14
(780,155)
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:
Number of pages: 49
Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads
1,271
(22,744)
Abstract:
Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression
Downloads
1,249
( 23,354)
Citation
16
Number of pages: 50
Posted: 20 Apr 2004
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,006
(31,472)
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 2022
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads
243
(175,749)
Abstract:
Downloads
1,227
( 23,894)
Citation
41
Number of pages: 46
Posted: 31 May 2002
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,028
(30,520)
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: 11 Jun 2022
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads
199
(212,557)
Abstract:
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
Downloads
1,186
( 25,201)
Citation
17
Number of pages: 49
Posted: 30 Oct 2008
Last Revised: 17 Nov 2012
BlackRock, Inc and Vanderbilt University - Finance
Downloads
755
(46,785)
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
Downloads
190
(221,537)
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
Downloads
184
(227,874)
Abstract:
NBER Working Paper No. w15937
Number of pages: 56
Posted: 26 Apr 2010
Last Revised: 20 Jul 2022
BlackRock, Inc and Vanderbilt University - Finance
Downloads
57
(503,157)
Abstract:
Downloads
1,135
( 26,859)
Citation
124
Number of pages: 44
Posted: 22 Nov 1999
BlackRock, Inc and Stanford University
Downloads
822
(41,782)
Abstract:
NBER Working Paper No. w8363
Number of pages: 51
Posted: 28 Jun 2001
Last Revised: 09 May 2022
BlackRock, Inc and Stanford University
Downloads
313
(135,734)
Abstract:
Downloads
1,056
( 29,806)
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.
Downloads
869
(38,690)
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: 08 Aug 2022
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
Downloads
187
(224,632)
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
Downloads
1,051
( 30,011)
Citation
55
AFA 2010 Atlanta Meetings Paper
Number of pages: 47
Posted: 04 Mar 2009
BlackRock, Inc and University College London
Downloads
535
(73,068)
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
Downloads
444
(91,654)
Abstract:
NBER Working Paper No. w17561
Number of pages: 59
Posted: 04 Nov 2011
Last Revised: 27 Jun 2021
BlackRock, Inc and University College London
Downloads
72
(446,169)
Abstract:
Downloads
1,021
( 31,271)
Citation
77
Number of pages: 55
Posted: 30 Mar 2000
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads
843
(40,335)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 09 Apr 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance and University of California, San Diego (UCSD) - Rady School of Management
Downloads
178
(234,552)
Abstract:
Downloads
956
( 34,329)
Citation
22
Number of pages: 59
Posted: 04 Feb 2003
BlackRock, Inc and European Central Bank (ECB)
Downloads
586
(65,083)
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)
Downloads
242
(176,480)
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)
Downloads
128
(306,963)
Abstract:
Downloads
942
( 35,021)
Citation
19
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
Downloads
622
(60,308)
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
Downloads
320
(132,640)
Abstract:
Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule
Downloads
935
( 35,411)
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
Downloads
608
(62,099)
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
Downloads
327
(129,699)
Abstract:
Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies
Downloads
844
( 40,835)
Citation
196
Number of pages: 45
Posted: 21 Apr 2011
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads
330
(128,461)
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
Downloads
239
(178,697)
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
Downloads
221
(192,679)
Abstract:
NBER Working Paper No. w16982
Number of pages: 46
Posted: 02 May 2011
Last Revised: 28 May 2022
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads
54
(515,988)
Abstract:
Number of pages: 43
Posted: 02 Apr 2022
BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Downloads
830
(41,837)
Abstract:
cryptocurrency, Bitcoin, crypto trading strategy, asset allocation with crypto, portfolio choice, cumulative prospect theory
Downloads
795
( 44,256)
Citation
7
Number of pages: 28
Posted: 25 May 2012
Last Revised: 16 Oct 2012
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads
431
(94,883)
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 University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads
364
(115,200)
Abstract:
-
Number of pages: 40
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads
786
(44,916)
Abstract:
Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract
Downloads
664
( 56,145)
Citation
8
Number of pages: 25
Posted: 12 Apr 2011
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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339
(124,842)
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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235
(181,596)
Abstract:
NBER Working Paper No. w17798
Number of pages: 30
Posted: 07 Feb 2012
Last Revised: 18 Feb 2022
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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90
(391,107)
Abstract:
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658
( 56,799)
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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579
(66,091)
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: 30 May 2022
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
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79
(423,240)
Abstract:
Number of pages: 47
Posted: 06 Oct 2020
Last Revised: 15 Mar 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc - San Francisco and BlackRock, Inc
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631
(59,923)
Abstract:
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630
( 60,067)
Citation
21
NBER Working Paper No. w15270
Number of pages: 53
Posted: 25 Aug 2009
Last Revised: 24 Mar 2022
BlackRock, Inc, Columbia Business SchoolHEC Montreal, Columbia University - Columbia Business School, Economics and Inter-American Development Bank (IADB)
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358
(117,410)
Abstract:
AFA 2009 San Francisco Meetings Paper
Number of pages: 47
Posted: 17 Mar 2008
Columbia Business SchoolHEC Montreal, Columbia University - Columbia Business School, Economics and BlackRock, Inc
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272
(157,083)
Abstract:
Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model
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605
( 63,225)
Citation
260
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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371
(112,715)
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 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance and Board of Governors of the Federal Reserve System
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234
(182,346)
Abstract:
Downloads
604
( 63,357)
Citation
25
Number of pages: 56
Posted: 21 Nov 2004
BlackRock, Inc, Columbia University - Columbia Business School, Economics and Stanford University
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501
(79,289)
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: 01 Apr 2022
BlackRock, Inc, Columbia University - Columbia Business School, Economics and Stanford University
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103
(358,339)
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 Research Department, Federal Reserve Bank of Atlanta
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549
(71,504)
Abstract:
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548
( 71,668)
Citation
14
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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490
(81,488)
Abstract:
municipal bonds, advance refunding, public finance
NBER Working Paper No. w19459
Number of pages: 59
Posted: 20 Sep 2013
Last Revised: 04 Mar 2022
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
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58
(499,052)
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia University - Columbia Business School, Finance and BlackRock, Inc
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544
(72,291)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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517
( 77,044)
Citation
30
Number of pages: 64
Posted: 25 Mar 2008
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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245
(174,349)
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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135
(294,725)
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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72
(446,169)
Abstract:
NBER Working Paper No. w14496
Number of pages: 48
Posted: 25 Nov 2008
Last Revised: 12 Aug 2022
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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65
(471,233)
Abstract:
Number of pages: 22
Posted: 05 Dec 2016
BlackRock, Inc, BlackRock, Inc and BlackRock
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383
(109,638)
Abstract:
Number of pages: 41
Posted: 07 May 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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366
(115,339)
Abstract:
FX, Asset allocation
NBER Working Paper No. w11903
Number of pages: 54
Posted: 24 Jan 2006
Last Revised: 11 Jul 2022
University of California, Davis - Graduate School of Management and BlackRock, Inc
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300
(142,711)
Abstract:
Number of pages: 44
Posted: 10 Jan 2022
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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290
(147,887)
Abstract:
Net Zero, SBTI, Paris Agreement, Multi-Asset Investing, Climate Investing, Climate Change, Stock Returns
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 University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
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279
(153,701)
Abstract:
NBER Working Paper No. w8643
Number of pages: 48
Posted: 14 Dec 2001
Last Revised: 13 Feb 2022
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
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275
(155,949)
Abstract:
Journal of Investment Management, Q2 2022
Number of pages: 39
Posted: 03 Feb 2022
Blackrock, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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269
(159,524)
Abstract:
ESG, ESG alpha, Sustainable Alpha, Sovereign Bonds, Corporate Bonds, Paris Alignment, Net Zero, Sustainability, ESG Flows, Carbon Intensity, SBTI Commitments
Number of pages: 35
Posted: 30 Jun 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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211
(201,321)
Abstract:
Public Pensions, Risk Management, Portfolio Optimization, Alternative Investments
Journal of Investment Consulting, Vol. 21, No. 1, pp. 30-44, 2022
Number of pages: 17
Posted: 31 May 2022
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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58
(499,052)
Abstract:
Public Pension Portfolios, Alternative Investments, Leverage, Portable Alpha Strategies
Journal of Investment Consulting, Vol. 20, No. 1, 2020, pp. 4-11
Number of pages: 10
Posted: 13 Jan 2021
Andrew Ang
BlackRock, Inc
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268
(160,150)
Abstract:
[Andrew Ang, Factor Investing, Portfolio Design
Number of pages: 24
Posted: 01 Jun 2021
BlackRock AI Labs, Stanford University - Department of Electrical Engineering, affiliation not provided to SSRN , Stanford University and BlackRock, Inc
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267
(160,738)
Abstract:
Social Security, optimization, lifecycle models
Number of pages: 24
Posted: 20 Dec 2021
BlackRock, Inc, BlackRock, Inc. and BlackRock, Inc
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148
(273,250)
Abstract:
knapsack algorithm, active management, manager selection, information ratio, mean-variance optimization
Number of pages: 19
Posted: 25 Aug 2011
BlackRock, Inc and Vanderbilt University - Finance
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130
(302,141)
Abstract:
NBER Working Paper No. w19309
Number of pages: 77
Posted: 10 Aug 2013
Last Revised: 06 Apr 2022
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
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65
(464,919)
Abstract:
NBER Working Paper No. w16008
Number of pages: 17
Posted: 30 Sep 2019
Last Revised: 30 Mar 2022
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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35
(614,476)
Abstract:
Posted: 02 May 2010
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Abstract:
Municipal debt, tax-exempt bonds, public finance, tax subsidy
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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17
(727,094)
The Efficient Market Theory and Evidence: Implications for Active Investment Management
This is a Now Publishers (01/14-3995) paper. Now Publishers (01/14-3995) charges $39.95 .
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Abstract:
efficient market hypothesis, CAPM, APT, arbitrage
Posted: 18 Oct 2021
Last Revised: 23 Nov 2021
BlackRock, Inc, Blackrock, BlackRock, Inc - San Francisco, BlackRock, Inc and BlackRock, Inc
Abstract:
Macro factors, style factors, factor timing, US core index, fixed income
Climate Alpha with Predictors Also Improving Company Efficiency
Joshua Kazdin, Katharina Schwaiger, Viktoria-Sophie Wendt, Andrew Ang
The Journal of Impact and ESG Investing Nov 2021, 2 (2) 35-56; DOI: 10.3905/jesg.2021.1.030
Posted: 16 Aug 2021
Last Revised: 13 Jan 2022
BlackRock, Inc - San Francisco, BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc
Abstract:
Posted: 15 Jul 2020
BlackRock, Inc - London, BlackRock, Inc, BlackRock and BlackRock, Inc
Abstract:
factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift
The Journal of Impact and ESG Investing, Fall 2020, 1 (1) 26-45; DOI: https://doi.org/10.3905/jesg.2020.1.1.026
Posted: 10 Feb 2020
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Abstract:
factors, factor investing, sustainable investing, ESG, CSR, socially responsible investing, corporate culture, intangible value, green patents
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, https://jii.pm-research.com/content/8/3/39
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
Posted: 07 May 2004
Columbia University - Columbia Business School, Finance and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
