| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables |
0 |
0 |
2 |
752 |
6 |
19 |
27 |
2,214 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
0 |
34 |
3 |
6 |
7 |
166 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
1 |
4 |
5 |
120 |
| Build America Bonds |
0 |
0 |
0 |
33 |
1 |
2 |
5 |
159 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
0 |
259 |
0 |
3 |
6 |
763 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
0 |
202 |
2 |
6 |
10 |
814 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
0 |
0 |
87 |
1 |
4 |
8 |
303 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
1 |
1 |
256 |
4 |
10 |
12 |
887 |
| Do demographic changes affect risk premiums? Evidence from international data |
0 |
0 |
1 |
107 |
5 |
7 |
13 |
485 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
1 |
5 |
221 |
3 |
8 |
17 |
759 |
| Downside Risk |
0 |
0 |
6 |
360 |
6 |
11 |
28 |
1,019 |
| Downside Risk and the Momentum Effect |
0 |
0 |
0 |
398 |
1 |
8 |
15 |
1,706 |
| Hedge Fund Leverage |
0 |
0 |
2 |
167 |
2 |
5 |
13 |
592 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
0 |
251 |
7 |
20 |
24 |
674 |
| How do Regimes Affect Asset Allocation? |
0 |
0 |
5 |
380 |
6 |
8 |
18 |
979 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
248 |
5 |
6 |
7 |
914 |
| Inflation and Individual Equities |
0 |
0 |
0 |
55 |
4 |
8 |
15 |
243 |
| Inflation and Individual Equities |
0 |
0 |
0 |
8 |
1 |
6 |
8 |
51 |
| International Asset Allocation with Time-Varying Correlations |
0 |
0 |
2 |
924 |
5 |
8 |
15 |
2,700 |
| Is IPO Underperformance a Peso Problem? |
0 |
0 |
0 |
62 |
18 |
18 |
24 |
486 |
| Liability Investment with Downside Risk |
0 |
0 |
0 |
7 |
2 |
7 |
9 |
140 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
24 |
1 |
2 |
4 |
170 |
| Monetary Policy Shifts and the Term Structure |
0 |
0 |
0 |
219 |
0 |
3 |
6 |
690 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
138 |
0 |
2 |
3 |
453 |
| No-Arbitrage Taylor Rules |
0 |
0 |
1 |
36 |
6 |
10 |
14 |
230 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
1 |
109 |
11 |
13 |
17 |
356 |
| Portfolio Performance Attribution via Shapley Value |
0 |
0 |
0 |
32 |
5 |
5 |
13 |
105 |
| Regime Changes and Financial Markets |
1 |
2 |
5 |
212 |
14 |
30 |
57 |
525 |
| Regime Changes and Financial Markets |
0 |
1 |
9 |
80 |
4 |
5 |
34 |
321 |
| Regime Switches in Interest Rates |
0 |
1 |
6 |
1,167 |
2 |
9 |
22 |
2,925 |
| Risk, Return and Dividends |
0 |
0 |
0 |
20 |
17 |
17 |
17 |
125 |
| Risk, Return and Dividends |
1 |
1 |
2 |
148 |
3 |
5 |
7 |
310 |
| Search for a Common Factor in Public and Private Real Estate Returns |
0 |
0 |
0 |
3 |
2 |
8 |
14 |
198 |
| Stock Return Predictability: Is it There? |
0 |
0 |
11 |
1,181 |
13 |
21 |
52 |
3,366 |
| Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
0 |
0 |
2 |
212 |
3 |
10 |
16 |
498 |
| Tax-Aware Portfolio Construction via Convex Optimization |
0 |
0 |
2 |
22 |
2 |
6 |
12 |
49 |
| Taxes on Tax-Exempt Bonds |
0 |
1 |
1 |
55 |
2 |
5 |
10 |
335 |
| Testing Conditional Factor Models |
0 |
0 |
0 |
312 |
3 |
4 |
4 |
648 |
| Testing Conditional Factor Models |
0 |
0 |
0 |
128 |
1 |
4 |
7 |
397 |
| The Cross-Section of Volatility and Expected Returns |
0 |
1 |
3 |
611 |
5 |
12 |
27 |
1,998 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
2 |
59 |
3 |
5 |
10 |
198 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
253 |
3 |
8 |
13 |
809 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
1 |
4 |
456 |
5 |
11 |
16 |
1,151 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
0 |
0 |
456 |
0 |
1 |
3 |
1,719 |
| Why Stocks May Disappoint |
0 |
0 |
0 |
289 |
4 |
5 |
6 |
1,096 |
| Total Working Papers |
2 |
10 |
73 |
11,047 |
192 |
375 |
670 |
34,846 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables |
0 |
2 |
6 |
520 |
9 |
25 |
58 |
1,841 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
1 |
10 |
1 |
2 |
8 |
96 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
0 |
0 |
2 |
40 |
0 |
7 |
12 |
293 |
| Asymmetric correlations of equity portfolios |
1 |
1 |
6 |
630 |
11 |
22 |
37 |
1,679 |
| CAPM over the long run: 1926-2001 |
0 |
0 |
1 |
289 |
3 |
8 |
16 |
798 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
1 |
2 |
167 |
2 |
6 |
13 |
644 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
4 |
10 |
621 |
9 |
23 |
55 |
1,980 |
| Downside Risk |
0 |
6 |
19 |
487 |
16 |
39 |
80 |
1,544 |
| Downside risk |
3 |
5 |
5 |
79 |
5 |
13 |
20 |
572 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
3 |
10 |
26 |
188 |
14 |
27 |
59 |
469 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
0 |
0 |
0 |
40 |
1 |
3 |
4 |
147 |
| Hedge fund leverage |
0 |
2 |
10 |
142 |
1 |
5 |
27 |
647 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
0 |
1 |
5 |
553 |
7 |
19 |
42 |
1,931 |
| Interest Rate Risk Management |
0 |
0 |
0 |
4 |
2 |
7 |
7 |
25 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
20 |
50 |
114 |
1,533 |
| Investment beliefs of endowments |
0 |
0 |
0 |
17 |
1 |
3 |
4 |
57 |
| Is Ipo Underperformance a Peso Problem? |
0 |
0 |
0 |
16 |
0 |
4 |
5 |
174 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
12 |
2 |
2 |
2 |
147 |
| Monetary Policy Shifts and the Term Structure |
0 |
1 |
4 |
130 |
1 |
3 |
14 |
504 |
| Portfolio Choice with Illiquid Assets |
0 |
2 |
3 |
55 |
2 |
10 |
19 |
204 |
| Regime Changes and Financial Markets |
0 |
6 |
23 |
235 |
11 |
34 |
86 |
898 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
13 |
21 |
35 |
1,259 |
| Risk, return, and dividends |
0 |
0 |
0 |
124 |
0 |
1 |
2 |
419 |
| Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches |
0 |
0 |
2 |
17 |
4 |
6 |
13 |
80 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
3 |
7 |
10 |
244 |
| Stock Return Predictability: Is it There? |
0 |
0 |
9 |
35 |
8 |
26 |
56 |
280 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
0 |
0 |
4 |
341 |
5 |
10 |
24 |
987 |
| Taxes on Tax‐Exempt Bonds |
0 |
1 |
5 |
57 |
1 |
3 |
10 |
278 |
| Testing conditional factor models |
0 |
2 |
7 |
291 |
2 |
8 |
22 |
821 |
| The Cross‐Section of Volatility and Expected Returns |
3 |
9 |
31 |
755 |
30 |
98 |
206 |
2,961 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
2 |
7 |
17 |
233 |
3 |
15 |
40 |
578 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
10 |
92 |
2 |
7 |
32 |
375 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
5 |
243 |
3 |
4 |
17 |
767 |
| Using Stocks or Portfolios in Tests of Factor Models |
0 |
0 |
1 |
44 |
3 |
9 |
13 |
155 |
| What does the yield curve tell us about GDP growth? |
0 |
1 |
5 |
356 |
4 |
15 |
52 |
1,352 |
| Why stocks may disappoint |
0 |
0 |
2 |
245 |
2 |
7 |
12 |
772 |
| Total Journal Articles |
12 |
61 |
221 |
7,146 |
201 |
549 |
1,226 |
27,511 |
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