Robert James Hodrick : Citation Profile


Are you Robert James Hodrick?

Columbia University

27

H index

32

i10 index

8152

Citations

RESEARCH PRODUCTION:

39

Articles

44

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1979 - 2021). See details.
   Cites by year: 194
   Journals where Robert James Hodrick has often published
   Relations with other researchers
   Recent citing documents: 247.    Total self citations: 38 (0.46 %)

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   Permalink: http://citec.repec.org/pho115
   Updated: 2024-01-16    RAS profile: 2021-06-09    
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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 Robert James Hodrick.

Is cited by:

Bekaert, Geert (84)

Sarno, Lucio (63)

Ang, Andrew (49)

Campbell, John (48)

Thornton, Daniel (41)

Engel, Charles (35)

Wolff, Christian (34)

GUPTA, RANGAN (34)

Bollerslev, Tim (28)

Valente, Giorgio (27)

Wagner, Christian (27)

Cites to:

Campbell, John (44)

Bekaert, Geert (32)

Hansen, Lars (32)

Shiller, Robert (28)

French, Kenneth (23)

Fama, Eugene (21)

Harvey, Campbell (18)

merton, robert (16)

Flood, Robert (14)

Bollerslev, Tim (14)

West, Kenneth (13)

Main data


Where Robert James Hodrick has published?


Journals with more than one article published# docs
Journal of Monetary Economics6
Journal of Finance5
Journal of International Economics3
Journal of Financial Economics3
Journal of International Money and Finance3
Carnegie-Rochester Conference Series on Public Policy3
Journal of Political Economy2
Critical Finance Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc30
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago2

Recent works citing Robert James Hodrick (2024 and 2023)


YearTitle of citing document
2023Oil price shocks and energy transition in Africa. (2023). Nchofoung, Tii. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/064.

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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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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080.

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

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2023Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2023Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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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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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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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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2023A time-varying finance-led model for U.S. business cycles. (2023). Santetti, Marcio. In: Papers. RePEc:arx:papers:2310.05153.

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

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2023.

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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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2023Natural and cyclical unemployment: A stochastic frontier decomposition and economic policy implications. (2023). Moral, Alfonso ; Martín-Román, Ángel ; Cuellarmartin, Jaime ; Martinroman, Angel L. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:5-39.

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2023Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269.

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2023Financial conditions and the well?being of the real estate sector—A bottom?up default analysis on five ASEAN economies. (2023). Yiu, Matthew S ; Sun, Wei. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:41-60.

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2023Is it time for popcorn? Daily box office earnings and aggregate stock returns. (2023). Fortin, Steve ; Oz, Seda. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:2:p:375-401.

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2023.

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2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

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2023Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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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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2023How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208.

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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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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023.

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2023The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392.

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2023.

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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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2023The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276.

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2023Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778.

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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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2023Non-overlap of suitable areas of agro-climatic resources and main planting areas is the main reason for potato drought disaster in Inner Mongolia, China. (2023). Liu, Xingping ; Bao, Yongbin ; Guga, Suri ; Riao, Dao ; Zhang, Jiquan ; Tong, Zhijun. In: Agricultural Water Management. RePEc:eee:agiwat:v:275:y:2023:i:c:s0378377422005807.

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2023Social credit and patent quality: Evidence from China. (2023). Fei, Qingyu ; Yu, Yongze ; Hu, Shan. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001269.

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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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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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2023Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869.

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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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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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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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2023Are greenhouse gas emissions converging in Latin America? Implications for environmental policies. (2023). Molina, José Alberto ; Belloc, Ignacio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:337-356.

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2023The asymmetric impact of exchange rate misalignment on economic growth of India: An application of Hodrick–Prescott filter technique. (2023). Wohar, Mark ; Nosheen, Misbah ; Mahmood, Fatima ; Iqbal, Javed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:809-823.

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2023Club convergence of labor market institutions in the European Union. (2023). Arčabić, Vladimir ; Dumani, Lucija Rogi ; Arabi, Vladimir ; Obadi, Alka. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:876-896.

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2023Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. (2023). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota ; Fernandes, Mario Correia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1046-1058.

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2023Assessment of Fiji’s exchange rate. (2023). Vuniivi, Viliame ; Prakash, Branesh ; Prabheesh, K P. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1282-1305.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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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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2023Macroeconomic volatility and the current account: Extending the evidence. (2023). Jalles, Joao ; Karras, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001463.

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2023A time-varying Phillips curve with global factors: Are global factors important?. (2023). Poon, Aubrey ; Kabundi, Alain ; Wu, Ping. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002353.

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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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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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2023The energy transition and export diversification in oil-dependent countries: The role of structural factors. (2023). Omgba, Luc Desire ; Karanfil, Fatih. In: Ecological Economics. RePEc:eee:ecolec:v:204:y:2023:i:pb:s0921800922003421.

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2023The Holt–Winters filter and the one-sided HP filter: A close correspondence. (2023). Drehmann, Mathias ; Alfaro, Rodrigo. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522003998.

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2023Financial integration and international risk spillovers. (2023). Lee, Dongwon. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000745.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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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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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023Robust Covariance Matrix Estimation in Time Series: A Review. (2023). Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:36-61.

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2023Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620.

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2023Credit gaps as banking crisis predictors: A different tune for middle- and low-income countries. (2023). el Ouardi, Sofiane ; Bouvatier, Vincent. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000067.

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2023Salience theory in price and trading volume: Evidence from China. (2023). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:38-61.

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2023Option price implied information and REIT returns. (2023). Zhan, Xintong ; Song, Linjia ; Cao, Jie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:13-28.

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2023Coreversal: The booms and busts of arbitrage activities in China. (2023). Zheng, Weinan ; Shen, Luyao ; Qiu, Zhigang ; Liu, Xin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:51-65.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023Disagreement, speculation, and the idiosyncratic volatility. (2023). Jiang, Ying ; Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:232-250.

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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023Global political risk and international stock returns. (2023). Zenios, Stavros A ; Pagliardi, Giovanni ; Gala, Vito D. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:78-102.

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2023The money-inflation nexus revisited. (2023). Zorner, Thomas O ; Ringwald, Leopold. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:293-333.

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2023Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412.

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2023The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness. (2023). Trinh, Hai Hong ; Truong, HA ; Hao, Wei ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000622.

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2023A memory in the bond: Green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework. (2023). Mishra, Tapas ; Tian, Shu ; Uddin, Gazi Salah ; Parhi, Mamata ; Park, Donghyun. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001500.

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2023Let’s talk about risk! Stock market effects of risk disclosure for European energy utilities. (2023). Walther, Thomas ; Schiemann, Frank ; Dusterhoft, Maximilian. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s014098832300292x.

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2023Disentangling the asymmetric effect of financialization on the green output gap. (2023). Lee, Chien-Chiang ; Yahya, Farzan. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003973.

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2023Energy price shocks and stabilization policies in the MATRIX model. (2023). Vergalli, Sergio ; Ciola, Emanuele ; Rizzati, Massimiliano ; Bazzana, Davide ; Turco, Enrico. In: Energy Policy. RePEc:eee:enepol:v:177:y:2023:i:c:s0301421523001520.

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2023COVID-19 and finance scholarship: A systematic and bibliometric analysis. (2023). Sureka, Riya ; Kumar, Satish ; Goodell, John W ; Boubaker, Sabri. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004082.

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2023The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124.

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2023Tracking investor gambling intensity. (2023). Xu, Changxin ; Yang, Li Hua ; Zhu, Hongbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004185.

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2023The impact of idiosyncratic risk on corporate financialisation——Evidence from China. (2023). Peng, Biyu ; Mohamed, Zinb Abduljabbar ; Zhong, Huaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000078.

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2023A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns. (2023). Huang, Zhaodan ; Han, Yufeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000339.

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2023Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388.

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2023Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467.

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2023Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492.

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2023Investor propensity to speculate and price delay in emerging markets. (2023). Peng, Shu-Cing ; Hsin, Chin-Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300073x.

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2023Left-tail momentum and tail properties of return distributions: A case of Korea. (2023). Park, Jong Won ; Eom, Yunsung. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000868.

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2023Informative or distracting: CSR disclosure of peer firms and analyst forecast accuracy. (2023). Zhang, Lei ; Hu, YI ; Jin, Shuchang ; Ni, Juan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000911.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2023The annual report tone and return Comovement—Evidence from Chinas stock market. (2023). Xue, Wenjun ; Wang, Feifei ; Liu, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001266.

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2023The destabilizing effect of mutual fund herding: Evidence from China. (2023). Hu, YU ; He, Zhongzhi ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001278.

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2023Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292.

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2023Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents. (2023). Obrimah, Oghenovo A. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000892.

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

Works by Robert James Hodrick:


YearTitleTypeCited
1990Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? In: American Economic Review.
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article7
1990On Testing for Speculative Bubbles. In: Journal of Economic Perspectives.
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article171
1986 Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance.
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article42
1986Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 42
paper
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance.
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article285
1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 285
paper
2001Expectations Hypotheses Tests In: Journal of Finance.
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article180
2000Expectations Hypotheses Tests.(2000) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 180
paper
2006The Cross?Section of Volatility and Expected Returns In: Journal of Finance.
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article1248
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1248
paper
2009International Stock Return Comovements In: Journal of Finance.
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article350
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 350
paper
2008International stock return comovements.(2008) In: Working Paper Series.
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This paper has nother version. Agregated cites: 350
paper
2005International Stock Return Comovements.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 350
paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 350
paper
1982Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics. In: Canadian Journal of Economics.
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article2
2001Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics? In: CEPR Discussion Papers.
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paper0
2010Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers.
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paper86
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 86
article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 86
paper
2018International Financial Management In: Cambridge Books.
[Citation analysis]
book9
1979On the monetary analysis of exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article4
1982Monetary accomodation and the variability of output, prices, and exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article0
1989U.S. International capital flows: Perspectives from rational maximizing models In: Carnegie-Rochester Conference Series on Public Policy.
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article16
1988U.S. International Capital Flows: Perspectives From Rational Maximizing Models.(1988) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 16
paper
2002Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article23
1981International asset pricing with time-varying risk premia In: Journal of International Economics.
[Full Text][Citation analysis]
article29
1986Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics.
[Full Text][Citation analysis]
article36
1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36
paper
1987Foreign currency futures In: Journal of International Economics.
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article31
1985Foreign Currency Futures.(1985) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 31
paper
2016Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance.
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article5
2014Estimating the Risk-Return Trade-off with Overlapping Data Inference.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
paper
1997On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]
article214
1996On biases in tests of the expectations hypothesis of the term structure of interest rates.(1996) In: Working Paper Series, Issues in Financial Regulation.
[Citation analysis]
This paper has nother version. Agregated cites: 214
paper
1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates.(1996) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 214
paper
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
[Full Text][Citation analysis]
article93
2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93
paper
2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article473
2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 473
paper
1993On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article157
1991On Biases in the Measurement of Foreign Exchange Risk Premiums.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 157
paper
1984An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article117
1983An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117
paper
1986The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article85
1985The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85
paper
1982On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article5
1989Risk, uncertainty, and exchange rates In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article121
1987Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 121
paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article94
1994The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues.
[Citation analysis]
This paper has nother version. Agregated cites: 94
paper
1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94
paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
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This paper has nother version. Agregated cites: 94
paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94
paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article164
1997\Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164
paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164
paper
2002Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics.
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article0
1980Dynamic effects of government policies in an open economy In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article5
1982The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article3
2000Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business.
[Citation analysis]
paper2
1984Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review.
[Full Text][Citation analysis]
article0
1999An International Dynamic Asset Pricing Model In: International Tax and Public Finance.
[Full Text][Citation analysis]
article21
1999An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
1997Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking.
[Citation analysis]
article2122
1981Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2122
paper
1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters.
[Full Text][Citation analysis]
chapter135
1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper10
1983Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In: NBER Working Papers.
[Full Text][Citation analysis]
paper9
1985Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle.(1985) In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
article
1986Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers.
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paper1
1986An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers.
[Full Text][Citation analysis]
paper21
2014Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
2014The Carry Trade: Risks and Drawdowns In: NBER Working Papers.
[Full Text][Citation analysis]
paper44
2017The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44
article
2018Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers.
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paper3
2021Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.(2021) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
article
2020An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper28
1989The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper87
1991The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87
article
1989Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers.
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paper3
1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]
paper34
2002Pricing the Global Industry Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. In: Review of Financial Studies.
[Full Text][Citation analysis]
article710
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy.
[Full Text][Citation analysis]
article861

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