| 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 |
7 |
14 |
22 |
2,208 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
0 |
34 |
3 |
3 |
4 |
163 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
3 |
3 |
4 |
119 |
| Build America Bonds |
0 |
0 |
0 |
33 |
0 |
1 |
4 |
158 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
0 |
259 |
3 |
3 |
6 |
763 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
0 |
202 |
3 |
5 |
8 |
812 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
0 |
0 |
87 |
2 |
4 |
8 |
302 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
1 |
1 |
256 |
3 |
6 |
9 |
883 |
| Do demographic changes affect risk premiums? Evidence from international data |
0 |
0 |
1 |
107 |
2 |
2 |
8 |
480 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
1 |
6 |
221 |
1 |
5 |
15 |
756 |
| Downside Risk |
0 |
0 |
6 |
360 |
4 |
7 |
24 |
1,013 |
| Downside Risk and the Momentum Effect |
0 |
0 |
0 |
398 |
6 |
7 |
14 |
1,705 |
| Hedge Fund Leverage |
0 |
0 |
2 |
167 |
2 |
4 |
11 |
590 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
0 |
251 |
5 |
14 |
18 |
667 |
| How do Regimes Affect Asset Allocation? |
0 |
1 |
5 |
380 |
1 |
5 |
12 |
973 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
248 |
1 |
2 |
2 |
909 |
| Inflation and Individual Equities |
0 |
0 |
0 |
55 |
2 |
4 |
12 |
239 |
| Inflation and Individual Equities |
0 |
0 |
0 |
8 |
4 |
5 |
7 |
50 |
| International Asset Allocation with Time-Varying Correlations |
0 |
0 |
3 |
924 |
2 |
4 |
11 |
2,695 |
| Is IPO Underperformance a Peso Problem? |
0 |
0 |
0 |
62 |
0 |
2 |
6 |
468 |
| Liability Investment with Downside Risk |
0 |
0 |
0 |
7 |
3 |
5 |
7 |
138 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
24 |
0 |
1 |
3 |
169 |
| Monetary Policy Shifts and the Term Structure |
0 |
0 |
0 |
219 |
3 |
3 |
6 |
690 |
| No-Arbitrage Taylor Rules |
0 |
0 |
1 |
36 |
3 |
5 |
8 |
224 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
138 |
0 |
2 |
3 |
453 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
1 |
109 |
1 |
2 |
6 |
345 |
| Portfolio Performance Attribution via Shapley Value |
0 |
0 |
0 |
32 |
0 |
1 |
8 |
100 |
| Regime Changes and Financial Markets |
0 |
1 |
5 |
211 |
7 |
24 |
47 |
511 |
| Regime Changes and Financial Markets |
0 |
2 |
9 |
80 |
0 |
3 |
30 |
317 |
| Regime Switches in Interest Rates |
1 |
1 |
6 |
1,167 |
4 |
8 |
21 |
2,923 |
| Risk, Return and Dividends |
0 |
0 |
1 |
147 |
2 |
2 |
4 |
307 |
| Risk, Return and Dividends |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
108 |
| Search for a Common Factor in Public and Private Real Estate Returns |
0 |
0 |
0 |
3 |
3 |
6 |
12 |
196 |
| Stock Return Predictability: Is it There? |
0 |
0 |
11 |
1,181 |
4 |
10 |
41 |
3,353 |
| Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
0 |
0 |
2 |
212 |
5 |
8 |
13 |
495 |
| Tax-Aware Portfolio Construction via Convex Optimization |
0 |
0 |
2 |
22 |
2 |
5 |
10 |
47 |
| Taxes on Tax-Exempt Bonds |
0 |
1 |
1 |
55 |
0 |
3 |
8 |
333 |
| Testing Conditional Factor Models |
0 |
0 |
0 |
312 |
1 |
1 |
1 |
645 |
| Testing Conditional Factor Models |
0 |
0 |
0 |
128 |
2 |
3 |
6 |
396 |
| The Cross-Section of Volatility and Expected Returns |
0 |
1 |
4 |
611 |
3 |
9 |
24 |
1,993 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
2 |
59 |
0 |
2 |
7 |
195 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
253 |
3 |
5 |
10 |
806 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
1 |
4 |
456 |
4 |
6 |
11 |
1,146 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
0 |
0 |
456 |
1 |
1 |
3 |
1,719 |
| Why Stocks May Disappoint |
0 |
0 |
0 |
289 |
0 |
1 |
2 |
1,092 |
| Total Working Papers |
1 |
10 |
75 |
11,045 |
105 |
216 |
496 |
34,654 |
| 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 |
7 |
520 |
6 |
22 |
53 |
1,832 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
1 |
10 |
1 |
1 |
7 |
95 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
0 |
0 |
2 |
40 |
4 |
7 |
12 |
293 |
| Asymmetric correlations of equity portfolios |
0 |
0 |
5 |
629 |
7 |
13 |
29 |
1,668 |
| CAPM over the long run: 1926-2001 |
0 |
0 |
1 |
289 |
4 |
5 |
14 |
795 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
1 |
2 |
167 |
2 |
4 |
11 |
642 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
1 |
4 |
10 |
621 |
6 |
21 |
46 |
1,971 |
| Downside Risk |
5 |
8 |
19 |
487 |
16 |
27 |
70 |
1,528 |
| Downside risk |
0 |
2 |
2 |
76 |
5 |
9 |
15 |
567 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
1 |
8 |
26 |
185 |
3 |
16 |
50 |
455 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
0 |
0 |
0 |
40 |
1 |
2 |
3 |
146 |
| Hedge fund leverage |
2 |
2 |
10 |
142 |
3 |
7 |
27 |
646 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
0 |
1 |
5 |
553 |
9 |
14 |
36 |
1,924 |
| Interest Rate Risk Management |
0 |
0 |
0 |
4 |
1 |
5 |
5 |
23 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
20 |
38 |
97 |
1,513 |
| Investment beliefs of endowments |
0 |
0 |
0 |
17 |
1 |
2 |
3 |
56 |
| Is Ipo Underperformance a Peso Problem? |
0 |
0 |
0 |
16 |
2 |
4 |
5 |
174 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
145 |
| Monetary Policy Shifts and the Term Structure |
0 |
1 |
4 |
130 |
0 |
2 |
13 |
503 |
| Portfolio Choice with Illiquid Assets |
1 |
2 |
3 |
55 |
6 |
8 |
17 |
202 |
| Regime Changes and Financial Markets |
3 |
7 |
24 |
235 |
11 |
25 |
81 |
887 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
6 |
10 |
22 |
1,246 |
| 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 |
3 |
17 |
1 |
3 |
11 |
76 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
4 |
4 |
7 |
241 |
| Stock Return Predictability: Is it There? |
0 |
2 |
9 |
35 |
11 |
20 |
48 |
272 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
0 |
0 |
4 |
341 |
2 |
5 |
21 |
982 |
| Taxes on Tax‐Exempt Bonds |
1 |
1 |
5 |
57 |
1 |
2 |
11 |
277 |
| Testing conditional factor models |
2 |
2 |
7 |
291 |
5 |
7 |
22 |
819 |
| The Cross‐Section of Volatility and Expected Returns |
2 |
7 |
32 |
752 |
45 |
77 |
186 |
2,931 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
2 |
5 |
17 |
231 |
7 |
12 |
40 |
575 |
| The Joint Cross Section of Stocks and Options |
0 |
1 |
10 |
92 |
4 |
8 |
32 |
373 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
5 |
243 |
1 |
2 |
16 |
764 |
| Using Stocks or Portfolios in Tests of Factor Models |
0 |
1 |
1 |
44 |
4 |
7 |
12 |
152 |
| What does the yield curve tell us about GDP growth? |
1 |
1 |
6 |
356 |
8 |
15 |
49 |
1,348 |
| Why stocks may disappoint |
0 |
0 |
2 |
245 |
2 |
5 |
10 |
770 |
| Total Journal Articles |
21 |
58 |
222 |
7,134 |
209 |
410 |
1,083 |
27,310 |
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