Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
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18,086
(200)
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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9,609
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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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6,175
(1,448)
Abstract:
Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk
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5,521
( 1,749)
Citation
1,090
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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3,767
(3,348)
Abstract:
Systematic risk, stochastic volatility, idiosyncratic volatility
NBER Working Paper No. w10852
Number of pages: 57
Posted: 27 Oct 2004
Last Revised: 28 Aug 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
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1,754
(11,910)
Abstract:
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4,792
( 2,248)
Citation
9
Number of pages: 15
Posted: 12 Nov 2011
BlackRock, Inc and Independent
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3,446
(3,910)
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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1,346
(17,999)
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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3,285
(4,338)
Abstract:
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
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3,211
( 4,516)
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 Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
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2,369
(7,323)
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 Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
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842
(35,585)
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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3,150
(4,666)
Abstract:
book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta
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3,049
( 4,949)
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 - Robert Emmett McDonough School of Business and Fordham university
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1,509
(15,074)
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 - Robert Emmett McDonough School of Business and Fordham university
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1,277
(19,509)
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 - Robert Emmett McDonough School of Business and Fordham university
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202
(188,614)
Abstract:
implied volatility, risk premiums, predictability, short-term momentum
NBER Working Paper No. w19590
Number of pages: 96
Posted: 01 Nov 2013
Last Revised: 12 Jul 2021
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
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61
(442,768)
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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3,005
(5,070)
Abstract:
carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity
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2,905
( 5,364)
Citation
100
Number of pages: 53
Posted: 23 Mar 2001
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,426
(7,040)
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 Business School - Finance and Economics and BlackRock, Inc
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479
(74,423)
Abstract:
Columbia Business School Research Paper No. 12-60
Number of pages: 64
Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
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2,852
(5,519)
Abstract:
Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT
Number of pages: 59
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
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2,810
(5,656)
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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2,758
(5,838)
Abstract:
illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model
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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2,679
(6,117)
Abstract:
ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson
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2,606
( 6,379)
Citation
16
Number of pages: 80
Posted: 07 Apr 1999
Columbia Business School - Finance and Economics and BlackRock, Inc
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2,256
(7,930)
Abstract:
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 14 Oct 2021
Columbia Business School - Finance and Economics and BlackRock, Inc
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350
(107,389)
Abstract:
Downloads
2,474
( 6,941)
Citation
50
Number of pages: 46
Posted: 26 Oct 2010
Last Revised: 01 Oct 2014
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1,880
(10,639)
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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293
(130,462)
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
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256
(149,944)
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 2021
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45
(509,126)
Abstract:
Downloads
2,050
( 9,417)
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
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1,478
(15,627)
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 2021
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
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572
(59,583)
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:
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1,886
( 10,797)
Citation
156
Number of pages: 64
Posted: 16 Jul 2003
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,483
(15,545)
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 Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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381
(97,519)
Abstract:
Number of pages: 67
Posted: 14 Sep 2004
BlackRock, Inc and Columbia Business School - Finance and Economics
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22
(646,609)
The Term Structure of Real Rates and Expected Inflation
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Abstract:
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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1,851
(11,141)
Abstract:
Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss
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1,848
( 11,166)
Citation
60
NBER Working Paper No. w13739
Number of pages: 52
Posted: 24 Jan 2008
Last Revised: 18 Jul 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
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713
(44,642)
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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658
(49,701)
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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477
(74,797)
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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1,841
(11,210)
Abstract:
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1,749
( 12,172)
Citation
242
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 System
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1,469
(15,750)
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: 30 Aug 2021
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve System
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280
(136,753)
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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1,731
(12,386)
Abstract:
Chinese local government debt, real estate, political risk, government guarantee
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1,637
( 13,523)
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
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1,194
(21,561)
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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442
(81,988)
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
(828,170)
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 Business School, Nanyang Technological University, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne
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1,618
(13,764)
Abstract:
market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands
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1,555
( 14,629)
Citation
29
Number of pages: 35
Posted: 27 May 2002
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,195
(21,539)
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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360
(104,002)
Abstract:
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
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1,491
(15,668)
Abstract:
Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
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1,440
( 16,561)
Citation
32
Number of pages: 70
Posted: 01 Jun 1998
Columbia Business School - Finance and Economics and BlackRock, Inc
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1,170
(22,209)
Abstract:
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Oct 2021
Columbia Business School - Finance and Economics and BlackRock, Inc
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270
(142,049)
Abstract:
Downloads
1,396
( 17,362)
Citation
55
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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1,238
(20,439)
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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158
(234,292)
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
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1,361
(18,048)
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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1,320
(18,854)
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
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1,280
(19,731)
Abstract:
Number of pages: 49
Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
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1,251
(20,458)
Abstract:
Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression
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1,212
( 21,462)
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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988
(28,428)
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 2021
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
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224
(170,955)
Abstract:
Downloads
1,205
( 21,561)
Citation
41
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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1,025
(26,999)
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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180
(209,232)
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
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1,108
( 24,454)
Citation
17
Number of pages: 49
Posted: 30 Oct 2008
Last Revised: 17 Nov 2012
BlackRock, Inc and Vanderbilt University - Finance
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733
(43,055)
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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173
(216,589)
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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169
(221,123)
Abstract:
NBER Working Paper No. w15937
Number of pages: 56
Posted: 26 Apr 2010
Last Revised: 19 Jul 2021
BlackRock, Inc and Vanderbilt University - Finance
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33
(572,040)
Abstract:
Downloads
1,096
( 24,872)
Citation
62
Netspar Discussion Paper No. 06/2011-068
Number of pages: 34
Posted: 30 Aug 2011
BlackRock, Inc and UCSD
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1,019
(27,212)
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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69
(414,763)
Abstract:
CEPR Discussion Paper No. DP8480
Number of pages: 35
Posted: 20 Jul 2011
BlackRock, Inc and UCSD
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8
(761,438)
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:
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1,082
( 25,344)
Citation
124
Number of pages: 44
Posted: 22 Nov 1999
BlackRock, Inc and University of Chicago - Booth School of Business
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797
(38,401)
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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285
(134,308)
Abstract:
Downloads
1,018
( 27,667)
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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850
(35,105)
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: 07 Feb 2021
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
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168
(222,243)
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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995
( 28,577)
Citation
55
AFA 2010 Atlanta Meetings Paper
Number of pages: 47
Posted: 04 Mar 2009
BlackRock, Inc and Aarhus University - CREATESUniversity College London
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516
(67,845)
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 Aarhus University - CREATESUniversity College London
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426
(85,650)
Abstract:
NBER Working Paper No. w17561
Number of pages: 59
Posted: 04 Nov 2011
Last Revised: 27 Jun 2021
BlackRock, Inc and Aarhus University - CREATESUniversity College London
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53
(473,756)
Abstract:
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977
( 29,311)
Citation
77
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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820
(36,910)
Abstract:
NBER Working Paper No. w7783
Number of pages: 46
Posted: 19 Jul 2000
Last Revised: 09 Oct 2021
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
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157
(235,591)
Abstract:
Downloads
906
( 32,663)
Citation
22
Number of pages: 59
Posted: 04 Feb 2003
BlackRock, Inc and European Central Bank (ECB)
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570
(59,860)
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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225
(170,211)
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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111
(307,799)
Abstract:
Downloads
872
( 34,398)
Citation
18
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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573
(59,439)
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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299
(127,668)
Abstract:
Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule
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850
( 35,644)
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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575
(59,165)
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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275
(139,363)
Abstract:
Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies
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779
( 40,175)
Citation
196
Number of pages: 45
Posted: 21 Apr 2011
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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312
(121,908)
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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224
(170,955)
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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205
(186,009)
Abstract:
NBER Working Paper No. w16982
Number of pages: 46
Posted: 02 May 2011
Last Revised: 28 May 2021
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
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38
(543,936)
Abstract:
Number of pages: 40
Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
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755
(41,900)
Abstract:
Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract
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751
( 42,193)
Citation
7
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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412
(89,044)
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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339
(111,361)
Abstract:
-
Downloads
629
( 53,477)
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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564
(60,667)
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: 07 May 2021
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
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65
(428,400)
Abstract:
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595
( 57,348)
Citation
21
NBER Working Paper No. w15270
Number of pages: 53
Posted: 25 Aug 2009
Last Revised: 23 Sep 2021
BlackRock, Inc, Columbia Business SchoolHEC Montreal, Columbia Business School - Economics Department and Inter-American Development Bank (IADB)
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339
(111,361)
Abstract:
AFA 2009 San Francisco Meetings Paper
Number of pages: 47
Posted: 17 Mar 2008
Columbia Business SchoolHEC Montreal, Columbia Business School - Economics Department and BlackRock, Inc
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256
(149,944)
Abstract:
Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model
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572
( 60,257)
Citation
24
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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485
(73,282)
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: 07 Oct 2021
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
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87
(361,862)
Abstract:
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564
( 61,334)
Citation
260
Number of pages: 55
Posted: 09 Aug 2005
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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350
(107,389)
Abstract:
ARIMA, Phillips curve, forecasting, term structure models
NBER Working Paper No. w11538
Number of pages: 55
Posted: 19 Sep 2005
Last Revised: 12 Jul 2021
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
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214
(178,622)
Abstract:
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563
( 61,461)
Citation
8
Number of pages: 25
Posted: 12 Apr 2011
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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312
(121,908)
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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203
(187,715)
Abstract:
NBER Working Paper No. w17798
Number of pages: 30
Posted: 07 Feb 2012
Last Revised: 20 Aug 2021
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
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48
(495,109)
Abstract:
Number of pages: 37
Posted: 08 Dec 2000
Columbia Business School - Finance and Economics and BlackRock, Inc
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526
(66,927)
Abstract:
Short rate, term spread, drift, volatility, regime-switching
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508
( 69,954)
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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470
(76,141)
Abstract:
municipal bonds, advance refunding, public finance
NBER Working Paper No. w19459
Number of pages: 59
Posted: 20 Sep 2013
Last Revised: 03 Sep 2021
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
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38
(543,936)
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 Washington University in St. LouisSaint Louis University
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506
(70,285)
Abstract:
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445
( 82,065)
Citation
30
Number of pages: 64
Posted: 25 Mar 2008
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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225
(170,211)
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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118
(294,697)
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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55
(465,774)
Abstract:
NBER Working Paper No. w14496
Number of pages: 48
Posted: 25 Nov 2008
Last Revised: 12 Aug 2021
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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47
(499,748)
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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352
(107,433)
Abstract:
Number of pages: 22
Posted: 05 Dec 2016
BlackRock, Inc, BlackRock, Inc and BlackRock
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351
(107,779)
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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286
(134,499)
Abstract:
NBER Working Paper No. w8643
Number of pages: 48
Posted: 14 Dec 2001
Last Revised: 15 Aug 2021
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
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243
(158,459)
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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206
(185,344)
Abstract:
Number of pages: 41
Posted: 07 May 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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192
(197,625)
Abstract:
FX, Asset allocation
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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182
(207,248)
Abstract:
[Andrew Ang, Factor Investing, Portfolio Design
Number of pages: 32
Posted: 16 Aug 2021
BlackRock, Inc - San Francisco, BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc
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119
(291,555)
Abstract:
Number of pages: 19
Posted: 25 Aug 2011
BlackRock, Inc and Vanderbilt University - Finance
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116
(296,737)
Abstract:
Number of pages: 35
Posted: 30 Jun 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
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94
(341,748)
Abstract:
Public Pensions, Risk Management, Portfolio Optimization, Alternative Investments
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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45
(499,569)
Abstract:
Social Security, optimization, lifecycle models
NBER Working Paper No. w19309
Number of pages: 77
Posted: 10 Aug 2013
Last Revised: 06 Oct 2021
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
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40
(522,536)
Abstract:
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19
(648,024)
Citation
1
NBER Working Paper No. w16008
Number of pages: 17
Posted: 30 Sep 2019
Last Revised: 07 Oct 2021
BlackRock, Inc, LongTail Alpha, LLC and Rice University
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19
(669,848)
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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15
(677,049)
The Efficient Market Theory and Evidence: Implications for Active Investment Management
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Abstract:
efficient market hypothesis, CAPM, APT, arbitrage
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 Business School - Finance and Economics and BlackRock, Inc
Abstract:
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
Number of pages: 35
BlackRock, Inc, affiliation not provided to SSRN , BlackRock, Inc - San Francisco, BlackRock, Inc and BlackRock, Inc
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0
Abstract:
Macro factors, style factors, factor timing, US core index, fixed income
