Andrew Ang : Citation Profile

Are you Andrew Ang?

Columbia University (50% share)
National Bureau of Economic Research (NBER) (50% share)

27

H index

38

i10 index

8923

Citations

RESEARCH PRODUCTION:

39

Articles

45

Papers

1

Books

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 371
   Journals where Andrew Ang has often published
   Relations with other researchers
   Recent citing documents: 391.    Total self citations: 45 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan374
   Updated: 2024-04-18    RAS profile: 2021-03-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew Ang.

Is cited by:

Guidolin, Massimo (123)

Bekaert, Geert (73)

Rudebusch, Glenn (69)

GUPTA, RANGAN (57)

Favero, Carlo (45)

Ravazzolo, Francesco (39)

Bauer, Michael (37)

Demirer, Riza (35)

Niu, Linlin (35)

Inghelbrecht, Koen (35)

Moreno, Antonio (35)

Cites to:

Campbell, John (56)

Bekaert, Geert (46)

Hodrick, Robert (30)

Harvey, Campbell (30)

Fama, Eugene (26)

Shiller, Robert (25)

French, Kenneth (23)

Jagannathan, Ravi (20)

Duffie, Darrell (17)

Stambaugh, Robert (17)

West, Kenneth (17)

Main data

Where Andrew Ang has published?

Journals with more than one article published# docs
Journal of Finance6
Journal of Financial Economics6
The Review of Financial Studies4
Proceedings3
Journal of Monetary Economics3
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc35
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Papers / arXiv.org2

Recent works citing Andrew Ang (2024 and 2023)

YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2023Variable importance without impossible data. (2022). Seiler, Benjamin B ; Owen, Art B ; Mase, Masayoshi. In: Papers. RePEc:arx:papers:2205.15750.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Limiting sequential decompositions and applications in finance. (2022). Christiansen, Marcus C ; Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2212.06733.

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2023Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163.

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2023Axiomatic characterization of pointwise Shapley decompositions. (2023). Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2303.07773.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947.

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2023Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778.

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2023HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848.

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2023On Adaptive Portfolio Management with Dynamic Black-Litterman Approach. (2023). Hsieh, Chung-Han ; Li, Chi-Lin. In: Papers. RePEc:arx:papers:2307.03391.

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2023Action-State Dependent Dynamic Model Selection. (2023). Sancetta, Alessio ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:2307.04754.

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2023Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694.

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2023Identification Robust Inference for the Risk Premium in Term Structure Models. (2023). Kong, Lingwei ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2307.12628.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2023Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2023Adaptive Bayesian Learning with Action and State-Dependent Signal Variance. (2023). Hou, Kaiwen. In: Papers. RePEc:arx:papers:2311.12878.

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2023Modelling the Term Structure with Trends in Yields and Cycles in Excess Returns. (2023). Fernandez-Fuertes, Ruben ; Favero, Carlo A. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23210.

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2023Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency. (2023). Feunou, Bruno ; Kyeong, James ; Azizova, Chinara. In: Discussion Papers. RePEc:bca:bocadp:23-19.

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2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574.

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2023Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor. (2023). Equiza-Goñi, Juan ; Moreno, Antonio ; Gimeno, Ricardo ; Thomas, Carlos. In: Working Papers. RePEc:bde:wpaper:2303.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

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2023Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243.

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2023A robust model for the term structure of interest rates: some applications in Colombia. (2023). Rodriguez-Novoa, Daniela ; Cabrera-Rodriguez, Wilmar Alexander ; Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1255.

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2023.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2023The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376.

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2024Risk aversion and favourite–longshot bias in a competitive fixed?odds betting market. (2024). Whelan, Karl. In: Economica. RePEc:bla:econom:v:91:y:2024:i:361:p:188-209.

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2023.

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2023.

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2023Diagnostics for asset pricing models. (2023). Zhou, Guofu ; He, AI. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:4:p:617-642.

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2023Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782.

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2023The price impact of analyst revisions and the state of the economy: Evidence around the world. (2023). Su, Chen. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:887-930.

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2023Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436.

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2023Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232.

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2023Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237.

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2023.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023The midterm election effect on US stock returns: Some practical considerations for investors. (2023). Wagner, Moritz ; Biakowski, Jdrzej ; Anderson, Warwick. In: Working Papers in Economics. RePEc:cbt:econwp:23/05.

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2023Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492.

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2023Investor-driven corporate finance: evidence from insurance markets. (2023). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20232816.

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2023Price setting on the two sides of the Atlantic: evidence from supermarket-scanner data. (2023). Karadi, Peter ; Wursten, Jesse ; Seiler, Pascal ; Bachiller, Javier Sanchez ; Amann, Juergen. In: Working Paper Series. RePEc:ecb:ecbwps:20232853.

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2023Leadership in a pandemic: Do more able managers keep firms out of trouble?. (2023). Truong, Cameron ; Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001034.

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2023The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229.

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2023Intentional and spurious herding behavior: A sentiment driven analysis. (2023). Pochea, Maria Miruna ; Filip, Angela Maria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000242.

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2023Company name fluency and stock returns. (2023). , Remco ; van den Assem, Martijn J ; Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000333.

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2023Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?. (2023). Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000485.

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2023Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651.

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2023The equity value implications of court ideology: Evidence from federal judge turnover. (2023). Rizzo, Emanuele A ; Cassella, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000391.

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2023Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246.

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2023Hedge funds trading strategies and leverage. (2023). Mu, Congming ; Lu, Lei ; Liu, Wenqiong ; Huang, Wenli. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s016518892300043x.

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2023Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173.

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2023Tourism-led economic growth across the business cycle: Evidence from Europe (1995–2021). (2023). Perez-Montiel, Jose ; Ozcelebi, Oguzhan ; Portella-Carbo, Ferran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1241-1253.

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2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

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2023Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19. (2023). Yousaf, Imran ; Farid, Saqib ; Tiwari, Aviral Kumar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003327.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2023Idiosyncratic risk and cross-section of stock returns in emerging European markets. (2023). Wojtowicz, Tomasz ; Czapkiewicz, Anna ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001347.

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2023Sovereign yield curves and the COVID-19 in emerging markets. (2023). Moura, Rubens ; Candelon, Bertrand. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002651.

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2023Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

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2023Revisiting time series momentum in Chinas commodity futures market: Evidence on sources of momentum profits. (2023). Dong, Minyi ; Song, Wuqi ; Ming, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003346.

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2023Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644.

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2023The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

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2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

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2023Analyzing quantile spillover effects among international financial markets. (2023). Pan, NA ; Liu, Tangyong ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000049.

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2023Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil. (2023). Neves, Joo Pedro ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000566.

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2023Nonparametric modeling for the time-varying persistence of inflation. (2023). Li, Luyang ; Chen, LI ; Yu, Deshui. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000654.

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2023The role of macroeconomic uncertainty in the determination of the natural rate of interest. (2023). Kempa, Bernd ; Zou, Feina ; Berger, Tino. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002161.

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2023A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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More than 100 citations found, this list is not complete...

Works by Andrew Ang:

YearTitleTypeCited
2009Testing Conditional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper83
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 83		article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 83		paper
2012Regime Changes and Financial Markets In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article185
2011Regime Changes and Financial Markets.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		paper
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		paper
2021Tax-Aware Portfolio Construction via Convex Optimization In: Papers.
[Full Text][Citation analysis]		paper1
2021Portfolio Performance Attribution via Shapley Value In: Papers.
[Full Text][Citation analysis]		paper5
2002Regime Switches in Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]		article520
1998Regime Switches in Interest Rates.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 520		paper
2018Investment beliefs of endowments In: European Financial Management.
[Full Text][Citation analysis]		article6
2010Locked Up by a Lockup: Valuing Liquidity as a Real Option In: Financial Management.
[Full Text][Citation analysis]		article13
2010Locked Up by a Lockup: Valuing Liquidity as a Real Option.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2006The Cross?Section of Volatility and Expected Returns In: Journal of Finance.
[Full Text][Citation analysis]		article1263
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1263		paper
2008The Term Structure of Real Rates and Expected Inflation In: Journal of Finance.
[Full Text][Citation analysis]		article307
2004The Term Structure of Real Rates and Expected Inflation.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 307		paper
2004The term structure of real rates and expected inflation.(2004) In: Proceedings.
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2007The Term Structure of Real Rates and Expected Inflation.(2007) In: NBER Working Papers.
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2010Taxes on Tax?Exempt Bonds In: Journal of Finance.
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2008Taxes on Tax-Exempt Bonds.(2008) In: NBER Working Papers.
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2014The Joint Cross Section of Stocks and Options In: Journal of Finance.
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2013The Joint Cross Section of Stocks and Options.(2013) In: NBER Working Papers.
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2017Advance Refundings of Municipal Bonds In: Journal of Finance.
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2013Advance Refundings of Municipal Bonds.(2013) In: NBER Working Papers.
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2018Estimating Private Equity Returns from Limited Partner Cash Flows In: Journal of Finance.
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2005Risk, Return and Dividends In: University of California at Los Angeles, Anderson Graduate School of Management.
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2007Risk, return, and dividends.(2007) In: Journal of Financial Economics.
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2007Risk, Return and Dividends.(2007) In: NBER Working Papers.
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2006Is IPO Underperformance a Peso Problem?.(2006) In: NBER Working Papers.
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2020Using Stocks or Portfolios in Tests of Factor Models In: Journal of Financial and Quantitative Analysis.
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2003Do demographic changes affect risk premiums? Evidence from international data In: Working Paper Series.
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2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data.(2003) In: NBER Working Papers.
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2005Do Demographic Changes Affect Risk Premiums? Evidence from International Data.(2005) In: The Journal of Business.
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2002Short rate nonlinearities and regime switches In: Journal of Economic Dynamics and Control.
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2003What does the yield curve tell us about GDP growth?.(2003) In: Proceedings.
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2004What Does the Yield Curve Tell us about GDP Growth?.(2004) In: NBER Working Papers.
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2005CAPM Over the Long Run: 1926-2001.(2005) In: NBER Working Papers.
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2011Hedge fund leverage In: Journal of Financial Economics.
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2011Hedge Fund Leverage.(2011) In: NBER Working Papers.
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2002Asymmetric correlations of equity portfolios In: Journal of Financial Economics.
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2005Why stocks may disappoint In: Journal of Financial Economics.
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2000Why Stocks May Disappoint.(2000) In: NBER Working Papers.
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2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
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2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
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2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables In: Journal of Monetary Economics.
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2001A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.(2001) In: NBER Working Papers.
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2007Do macro variables, asset markets, or surveys forecast inflation better? In: Journal of Monetary Economics.
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2006Do macro variables, asset markets, or surveys forecast inflation better?.(2006) In: Finance and Economics Discussion Series.
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2005Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?.(2005) In: NBER Working Papers.
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2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe.(2011) In: NBER Working Papers.
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2005No-arbitrage Taylor rules In: Proceedings.
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2007No-Arbitrage Taylor Rules.(2007) In: NBER Working Papers.
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2005No-Arbitrage Taylor Rules.(2005) In: 2005 Meeting Papers.
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2005Downside risk In: Proceedings.
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2005Downside Risk.(2005) In: NBER Working Papers.
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2006Downside Risk.(2006) In: The Review of Financial Studies.
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2012Inflation and Individual Equities In: Post-Print.
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2012Inflation and Individual Equities.(2012) In: NBER Working Papers.
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2014Portfolio Choice with Illiquid Assets In: Management Science.
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2013Portfolio Choice with Illiquid Assets.(2013) In: NBER Working Papers.
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2009Monetary Policy Shifts and the Term Structure In: NBER Working Papers.
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2011Monetary Policy Shifts and the Term Structure.(2011) In: The Review of Economic Studies.
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2010Build America Bonds In: NBER Working Papers.
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2013Asset Pricing in the Dark: The Cross-Section of OTC Stocks.(2013) In: The Review of Financial Studies.
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1999International Asset Allocation with Time-Varying Correlations In: NBER Working Papers.
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2001Stock Return Predictability: Is it There? In: NBER Working Papers.
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2007Stock Return Predictability: Is it There?.(2007) In: The Review of Financial Studies.
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2001Downside Risk and the Momentum Effect In: NBER Working Papers.
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2011The Efficient Market Theory and Evidence: Implications for Active Investment Management In: Foundations and Trends(R) in Finance.
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2002International Asset Allocation With Regime Shifts In: The Review of Financial Studies.
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2014Asset Management: A Systematic Approach to Factor Investing In: OUP Catalogue.
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2018Factor risk premiums and invested capital: calculations with stochastic discount factors In: Journal of Asset Management.
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1997Interest Rate Risk Management In: North American Actuarial Journal.
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2012Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches In: Quarterly Journal of Finance (QJF).
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