27
H index
32
i10 index
8152
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pho115 |
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 30 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 3 |
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago | 2 |
Year | Title of citing document | |
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2023 | Oil 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. Full description at Econpapers || Download paper | |
2023 | Oil 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. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2023 | On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2023 | Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Online 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. Full description at Econpapers || Download paper | |
2023 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | A time-varying finance-led model for U.S. business cycles. (2023). Santetti, Marcio. In: Papers. RePEc:arx:papers:2310.05153. Full description at Econpapers || Download paper | |
2023 | Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110. Full description at Econpapers || Download paper | |
2023 | Adaptive Bayesian Learning with Action and State-Dependent Signal Variance. (2023). Hou, Kaiwen. In: Papers. RePEc:arx:papers:2311.12878. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | Natural 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. Full description at Econpapers || Download paper | |
2023 | Extracting 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. Full description at Econpapers || Download paper | |
2023 | Financial 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. Full description at Econpapers || Download paper | |
2023 | Is 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Understanding 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. Full description at Econpapers || Download paper | |
2023 | Risk 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. Full description at Econpapers || Download paper | |
2023 | Average 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. Full description at Econpapers || Download paper | |
2023 | Co?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. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | Beliefs 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. Full description at Econpapers || Download paper | |
2023 | Pricing 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778. Full description at Econpapers || Download paper | |
2023 | Investor-driven corporate finance: evidence from insurance markets. (2023). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20232816. Full description at Econpapers || Download paper | |
2023 | Price 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. Full description at Econpapers || Download paper | |
2023 | Non-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. Full description at Econpapers || Download paper | |
2023 | Social 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. Full description at Econpapers || Download paper | |
2023 | Leadership 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Wage 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. Full description at Econpapers || Download paper | |
2023 | Asymmetric 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Interest 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. Full description at Econpapers || Download paper | |
2023 | Trade 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. Full description at Econpapers || Download paper | |
2023 | Social 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. Full description at Econpapers || Download paper | |
2023 | Are 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Club 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. Full description at Econpapers || Download paper | |
2023 | Modelling 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. Full description at Econpapers || Download paper | |
2023 | Assessment 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. Full description at Econpapers || Download paper | |
2023 | Currency 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Idiosyncratic 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Sovereign 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Financial integration and international risk spillovers. (2023). Lee, Dongwon. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000745. Full description at Econpapers || Download paper | |
2023 | Canonical 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. Full description at Econpapers || Download paper | |
2023 | Bootstrap 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. Full description at Econpapers || Download paper | |
2023 | Uniform 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. Full description at Econpapers || Download paper | |
2023 | Robust 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. Full description at Econpapers || Download paper | |
2023 | Do 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. Full description at Econpapers || Download paper | |
2023 | Credit 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. Full description at Econpapers || Download paper | |
2023 | Salience 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. Full description at Econpapers || Download paper | |
2023 | Option 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. Full description at Econpapers || Download paper | |
2023 | Coreversal: 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. Full description at Econpapers || Download paper | |
2023 | Overlapping 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. Full description at Econpapers || Download paper | |
2023 | Disagreement, 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. Full description at Econpapers || Download paper | |
2023 | Cross-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. Full description at Econpapers || Download paper | |
2023 | Global 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Let’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. Full description at Econpapers || Download paper | |
2023 | Disentangling 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. Full description at Econpapers || Download paper | |
2023 | Energy 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. Full description at Econpapers || Download paper | |
2023 | COVID-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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Tracking 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Unemployment 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. Full description at Econpapers || Download paper | |
2023 | Long-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. Full description at Econpapers || Download paper | |
2023 | Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492. Full description at Econpapers || Download paper | |
2023 | Investor 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. Full description at Econpapers || Download paper | |
2023 | Left-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. Full description at Econpapers || Download paper | |
2023 | Informative 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. Full description at Econpapers || Download paper | |
2023 | Possibility 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Copula 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. Full description at Econpapers || Download paper | |
2023 | Outside 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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1986 | Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers. [Full Text][Citation analysis] 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. [Full Text][Citation analysis] | article | 285 |
1991 | Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 285 | paper | |
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2000 | Expectations Hypotheses Tests.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 180 | paper | |
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2004 | The 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 | |
2009 | International Stock Return Comovements In: Journal of Finance. [Full Text][Citation analysis] | article | 350 |
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1985 | Real 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 | |
1987 | Foreign currency futures In: Journal of International Economics. [Full Text][Citation analysis] | article | 31 |
1985 | Foreign Currency Futures.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
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1997 | On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 214 |
1996 | On 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 | |
1996 | On 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 | |
2001 | Evaluating the specification errors of asset pricing models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 93 |
2000 | Evaluating 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 | |
2009 | High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 473 |
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1993 | On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 157 |
1991 | On 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 | |
1984 | An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 117 |
1983 | An 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 | |
1986 | The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 85 |
1985 | The 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 | |
1982 | On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 5 |
1989 | Risk, uncertainty, and exchange rates In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 121 |
1987 | Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 121 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 94 |
1994 | The 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 | |
1994 | The 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 | |
1997 | The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | paper | |
1997 | The 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 | |
2001 | Peso problem explanations for term structure anomalies In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 164 |
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 | |
1997 | Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 164 | paper | |
2002 | Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
1980 | Dynamic effects of government policies in an open economy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 5 |
1982 | The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 3 |
2000 | Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business. [Citation analysis] | paper | 2 |
1984 | Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
1999 | An International Dynamic Asset Pricing Model In: International Tax and Public Finance. [Full Text][Citation analysis] | article | 21 |
1999 | An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
1997 | Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 2122 |
1981 | Post-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 | |
1983 | Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters. [Full Text][Citation analysis] | chapter | 135 |
1991 | Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 10 |
1983 | Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
1985 | Optimal 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 | |
1986 | Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1986 | An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2014 | Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | The Carry Trade: Risks and Drawdowns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 44 |
2017 | The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
2018 | Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Taking 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 | |
2020 | An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
1989 | The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 87 |
1991 | The 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 | |
1989 | Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
1992 | Financial Market Efficiency Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2002 | Pricing the Global Industry Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
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1980 | Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 861 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team