| 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 |
742 |
1 |
5 |
29 |
2,128 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
1 |
31 |
0 |
2 |
12 |
147 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
0 |
1 |
5 |
101 |
| Build America Bonds |
0 |
1 |
1 |
32 |
1 |
3 |
5 |
148 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
1 |
259 |
0 |
0 |
7 |
750 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
0 |
201 |
0 |
2 |
8 |
797 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
1 |
1 |
86 |
1 |
3 |
18 |
280 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
1 |
1 |
251 |
1 |
3 |
16 |
845 |
| Do demographic changes affect risk premiums? Evidence from international data |
0 |
0 |
0 |
106 |
0 |
1 |
5 |
470 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
1 |
5 |
211 |
1 |
7 |
46 |
700 |
| Downside Risk |
0 |
0 |
7 |
340 |
1 |
3 |
23 |
943 |
| Downside Risk and the Momentum Effect |
0 |
0 |
0 |
393 |
2 |
2 |
10 |
1,672 |
| Hedge Fund Leverage |
2 |
4 |
9 |
163 |
3 |
8 |
32 |
536 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
5 |
246 |
2 |
4 |
19 |
633 |
| How do Regimes Affect Asset Allocation? |
0 |
1 |
5 |
370 |
1 |
6 |
36 |
896 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
246 |
0 |
0 |
1 |
897 |
| Inflation and Individual Equities |
1 |
5 |
10 |
52 |
2 |
9 |
24 |
212 |
| Inflation and Individual Equities |
0 |
0 |
1 |
6 |
1 |
1 |
6 |
32 |
| International Asset Allocation with Time-Varying Correlations |
0 |
0 |
1 |
918 |
1 |
1 |
7 |
2,671 |
| Is IPO Underperformance a Peso Problem? |
0 |
0 |
0 |
61 |
0 |
0 |
7 |
459 |
| Liability Investment with Downside Risk |
0 |
0 |
0 |
7 |
0 |
0 |
10 |
117 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
1 |
1 |
24 |
0 |
1 |
15 |
160 |
| Monetary Policy Shifts and the Term Structure |
1 |
1 |
1 |
218 |
5 |
7 |
45 |
618 |
| No-Arbitrage Taylor Rules |
0 |
0 |
3 |
135 |
1 |
5 |
29 |
438 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
33 |
0 |
0 |
5 |
183 |
| Portfolio Choice with Illiquid Assets |
1 |
4 |
13 |
103 |
5 |
9 |
42 |
312 |
| Portfolio Performance Attribution via Shapley Value |
1 |
2 |
4 |
9 |
2 |
4 |
24 |
34 |
| Regime Changes and Financial Markets |
0 |
0 |
3 |
198 |
0 |
1 |
9 |
431 |
| Regime Changes and Financial Markets |
0 |
0 |
1 |
59 |
2 |
4 |
21 |
244 |
| Regime Switches in Interest Rates |
1 |
4 |
12 |
1,145 |
2 |
8 |
46 |
2,834 |
| Risk, Return and Dividends |
0 |
1 |
3 |
145 |
0 |
4 |
14 |
292 |
| Risk, Return and Dividends |
0 |
0 |
0 |
20 |
1 |
1 |
8 |
104 |
| Search for a Common Factor in Public and Private Real Estate Returns |
0 |
0 |
0 |
3 |
2 |
3 |
17 |
152 |
| Stock Return Predictability: Is it There? |
0 |
1 |
5 |
1,146 |
4 |
8 |
65 |
3,190 |
| Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
0 |
0 |
7 |
205 |
0 |
2 |
20 |
464 |
| Tax-Aware Portfolio Construction via Convex Optimization |
0 |
0 |
2 |
12 |
0 |
0 |
9 |
21 |
| Taxes on Tax-Exempt Bonds |
0 |
0 |
0 |
54 |
2 |
5 |
21 |
297 |
| Testing Conditional Factor Models |
0 |
2 |
2 |
310 |
1 |
3 |
3 |
641 |
| Testing Conditional Factor Models |
0 |
0 |
1 |
122 |
0 |
1 |
7 |
368 |
| The Cross-Section of Volatility and Expected Returns |
1 |
2 |
4 |
598 |
1 |
7 |
25 |
1,913 |
| The Joint Cross Section of Stocks and Options |
0 |
2 |
2 |
55 |
0 |
2 |
4 |
176 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
252 |
5 |
8 |
21 |
754 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
1 |
1 |
449 |
0 |
3 |
18 |
1,103 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
1 |
2 |
450 |
3 |
7 |
20 |
1,664 |
| Why Stocks May Disappoint |
0 |
0 |
1 |
288 |
1 |
1 |
31 |
1,009 |
| Total Working Papers |
8 |
36 |
118 |
10,768 |
55 |
155 |
845 |
32,836 |
| 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 |
1 |
14 |
493 |
2 |
10 |
70 |
1,647 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
3 |
8 |
1 |
4 |
10 |
77 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
0 |
0 |
2 |
35 |
1 |
4 |
27 |
235 |
| Asymmetric correlations of equity portfolios |
1 |
5 |
25 |
598 |
7 |
26 |
105 |
1,506 |
| CAPM over the long run: 1926-2001 |
0 |
2 |
11 |
276 |
0 |
3 |
27 |
743 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
1 |
160 |
1 |
2 |
19 |
612 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
1 |
5 |
23 |
594 |
4 |
19 |
236 |
1,791 |
| Downside Risk |
7 |
19 |
66 |
390 |
13 |
55 |
175 |
1,262 |
| Downside risk |
0 |
2 |
9 |
65 |
3 |
15 |
67 |
455 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
3 |
9 |
24 |
89 |
8 |
17 |
63 |
274 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
0 |
0 |
1 |
34 |
0 |
2 |
23 |
132 |
| Hedge fund leverage |
1 |
2 |
14 |
115 |
8 |
20 |
61 |
558 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
3 |
11 |
53 |
486 |
13 |
34 |
178 |
1,611 |
| Interest Rate Risk Management |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
8 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
3 |
15 |
31 |
1,309 |
| Investment beliefs of endowments |
0 |
0 |
1 |
13 |
0 |
0 |
10 |
45 |
| Is Ipo Underperformance a Peso Problem? |
0 |
0 |
0 |
16 |
0 |
0 |
6 |
165 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
12 |
0 |
1 |
3 |
141 |
| Monetary Policy Shifts and the Term Structure |
1 |
1 |
2 |
120 |
4 |
7 |
37 |
430 |
| No-arbitrage Taylor rules |
0 |
0 |
2 |
203 |
2 |
5 |
29 |
922 |
| Portfolio Choice with Illiquid Assets |
3 |
4 |
12 |
35 |
5 |
8 |
28 |
140 |
| Regime Changes and Financial Markets |
0 |
1 |
3 |
167 |
2 |
11 |
31 |
691 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
0 |
11 |
44 |
1,157 |
| Risk, return, and dividends |
0 |
0 |
1 |
124 |
0 |
2 |
10 |
410 |
| Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches |
0 |
0 |
2 |
8 |
0 |
0 |
7 |
42 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
0 |
0 |
2 |
230 |
| Stock Return Predictability: Is it There? |
0 |
0 |
4 |
18 |
1 |
6 |
47 |
143 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
1 |
4 |
20 |
302 |
2 |
7 |
53 |
852 |
| Taxes on Tax‐Exempt Bonds |
1 |
1 |
4 |
49 |
3 |
4 |
10 |
249 |
| Testing conditional factor models |
3 |
7 |
23 |
265 |
4 |
14 |
54 |
721 |
| The Cross‐Section of Volatility and Expected Returns |
0 |
3 |
19 |
675 |
9 |
26 |
115 |
2,466 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
1 |
4 |
18 |
189 |
3 |
9 |
43 |
474 |
| The Joint Cross Section of Stocks and Options |
2 |
4 |
7 |
60 |
4 |
9 |
23 |
279 |
| The Term Structure of Real Rates and Expected Inflation |
1 |
2 |
9 |
224 |
2 |
5 |
26 |
706 |
| The term structure of real rates and expected inflation |
0 |
1 |
4 |
411 |
0 |
2 |
19 |
1,291 |
| Using Stocks or Portfolios in Tests of Factor Models |
0 |
3 |
10 |
18 |
0 |
6 |
33 |
74 |
| What does the yield curve tell us about GDP growth? |
3 |
4 |
11 |
322 |
8 |
21 |
77 |
1,196 |
| What does the yield curve tell us about GDP growth? |
0 |
0 |
1 |
858 |
1 |
2 |
9 |
2,750 |
| Why stocks may disappoint |
1 |
2 |
11 |
230 |
3 |
13 |
58 |
691 |
| Total Journal Articles |
33 |
97 |
411 |
7,741 |
117 |
395 |
1,871 |
28,485 |
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