| 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 |
1 |
4 |
751 |
0 |
3 |
15 |
2,190 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
159 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
0 |
0 |
5 |
115 |
| Build America Bonds |
0 |
0 |
0 |
33 |
0 |
0 |
3 |
154 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
0 |
259 |
0 |
1 |
4 |
758 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
1 |
202 |
0 |
1 |
6 |
805 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
0 |
1 |
87 |
0 |
0 |
6 |
295 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
0 |
1 |
255 |
1 |
2 |
8 |
877 |
| Do demographic changes affect risk premiums? Evidence from international data |
0 |
0 |
0 |
106 |
0 |
2 |
3 |
474 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
0 |
2 |
216 |
1 |
4 |
7 |
746 |
| Downside Risk |
1 |
2 |
4 |
356 |
2 |
4 |
21 |
995 |
| Downside Risk and the Momentum Effect |
0 |
0 |
0 |
398 |
4 |
5 |
8 |
1,696 |
| Hedge Fund Leverage |
1 |
1 |
1 |
166 |
3 |
5 |
12 |
584 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
1 |
251 |
0 |
1 |
8 |
651 |
| How do Regimes Affect Asset Allocation? |
0 |
0 |
1 |
375 |
0 |
1 |
10 |
962 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
248 |
0 |
0 |
3 |
907 |
| Inflation and Individual Equities |
0 |
0 |
1 |
8 |
0 |
1 |
3 |
44 |
| Inflation and Individual Equities |
0 |
0 |
0 |
55 |
1 |
1 |
6 |
229 |
| International Asset Allocation with Time-Varying Correlations |
2 |
2 |
4 |
924 |
2 |
2 |
6 |
2,687 |
| Is IPO Underperformance a Peso Problem? |
0 |
0 |
0 |
62 |
0 |
1 |
3 |
463 |
| Liability Investment with Downside Risk |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
132 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
24 |
1 |
1 |
2 |
167 |
| Monetary Policy Shifts and the Term Structure |
0 |
0 |
0 |
219 |
0 |
2 |
7 |
686 |
| No-Arbitrage Taylor Rules |
1 |
1 |
1 |
36 |
1 |
1 |
1 |
217 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
138 |
0 |
0 |
1 |
450 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
1 |
108 |
1 |
1 |
5 |
340 |
| Portfolio Performance Attribution via Shapley Value |
0 |
0 |
3 |
32 |
1 |
4 |
17 |
96 |
| Regime Changes and Financial Markets |
0 |
3 |
9 |
74 |
4 |
8 |
28 |
295 |
| Regime Changes and Financial Markets |
1 |
1 |
6 |
208 |
2 |
3 |
22 |
471 |
| Regime Switches in Interest Rates |
0 |
1 |
7 |
1,162 |
1 |
3 |
16 |
2,906 |
| Risk, Return and Dividends |
0 |
0 |
0 |
146 |
0 |
1 |
2 |
304 |
| Risk, Return and Dividends |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
108 |
| Search for a Common Factor in Public and Private Real Estate Returns |
0 |
0 |
0 |
3 |
0 |
3 |
9 |
187 |
| Stock Return Predictability: Is it There? |
0 |
6 |
15 |
1,176 |
2 |
16 |
42 |
3,330 |
| Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
0 |
0 |
0 |
210 |
0 |
1 |
2 |
483 |
| Tax-Aware Portfolio Construction via Convex Optimization |
0 |
0 |
2 |
20 |
0 |
0 |
3 |
37 |
| Taxes on Tax-Exempt Bonds |
0 |
0 |
0 |
54 |
0 |
2 |
5 |
327 |
| Testing Conditional Factor Models |
0 |
0 |
1 |
128 |
0 |
1 |
8 |
391 |
| Testing Conditional Factor Models |
0 |
0 |
0 |
312 |
0 |
0 |
0 |
644 |
| The Cross-Section of Volatility and Expected Returns |
1 |
1 |
4 |
609 |
3 |
6 |
18 |
1,977 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
1 |
57 |
0 |
2 |
6 |
190 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
253 |
0 |
2 |
3 |
798 |
| The Term Structure of Real Rates and Expected Inflation |
1 |
3 |
3 |
455 |
1 |
4 |
6 |
1,139 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
0 |
1 |
456 |
0 |
1 |
4 |
1,717 |
| Why Stocks May Disappoint |
0 |
0 |
0 |
289 |
0 |
0 |
2 |
1,090 |
| Total Working Papers |
8 |
22 |
75 |
10,996 |
31 |
97 |
354 |
34,273 |
| 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 |
3 |
9 |
517 |
1 |
7 |
41 |
1,790 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
1 |
9 |
0 |
4 |
6 |
92 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
0 |
0 |
1 |
38 |
0 |
1 |
6 |
282 |
| Asymmetric correlations of equity portfolios |
1 |
2 |
6 |
626 |
2 |
5 |
22 |
1,647 |
| CAPM over the long run: 1926-2001 |
0 |
1 |
4 |
289 |
2 |
4 |
13 |
786 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
1 |
1 |
4 |
166 |
4 |
4 |
11 |
635 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
1 |
3 |
10 |
614 |
5 |
13 |
45 |
1,938 |
| Downside Risk |
0 |
6 |
15 |
474 |
0 |
12 |
44 |
1,476 |
| Downside risk |
0 |
0 |
3 |
74 |
0 |
2 |
7 |
554 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
1 |
5 |
31 |
167 |
2 |
9 |
53 |
419 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
143 |
| Hedge fund leverage |
2 |
3 |
9 |
135 |
3 |
7 |
30 |
627 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
0 |
1 |
12 |
549 |
2 |
10 |
50 |
1,899 |
| Interest Rate Risk Management |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
18 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
4 |
18 |
59 |
1,437 |
| Investment beliefs of endowments |
0 |
0 |
2 |
17 |
0 |
0 |
2 |
53 |
| Is Ipo Underperformance a Peso Problem? |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
169 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
145 |
| Monetary Policy Shifts and the Term Structure |
0 |
1 |
2 |
127 |
0 |
3 |
12 |
493 |
| No-arbitrage Taylor rules |
0 |
0 |
0 |
209 |
0 |
0 |
0 |
957 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
8 |
52 |
3 |
5 |
18 |
190 |
| Regime Changes and Financial Markets |
1 |
6 |
25 |
218 |
3 |
14 |
73 |
826 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
0 |
3 |
12 |
1,227 |
| Risk, return, and dividends |
0 |
0 |
0 |
124 |
0 |
0 |
2 |
417 |
| Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches |
1 |
1 |
5 |
16 |
1 |
2 |
13 |
69 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
0 |
0 |
1 |
234 |
| Stock Return Predictability: Is it There? |
3 |
5 |
7 |
31 |
3 |
8 |
14 |
232 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
0 |
0 |
11 |
337 |
1 |
2 |
29 |
965 |
| Taxes on Tax‐Exempt Bonds |
0 |
1 |
2 |
53 |
0 |
2 |
10 |
270 |
| Testing conditional factor models |
0 |
1 |
3 |
285 |
3 |
5 |
18 |
804 |
| The Cross‐Section of Volatility and Expected Returns |
3 |
8 |
26 |
732 |
14 |
36 |
145 |
2,791 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
1 |
4 |
14 |
220 |
1 |
6 |
25 |
544 |
| The Joint Cross Section of Stocks and Options |
0 |
4 |
13 |
86 |
2 |
9 |
32 |
352 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
3 |
7 |
241 |
1 |
7 |
20 |
757 |
| The term structure of real rates and expected inflation |
0 |
0 |
0 |
413 |
0 |
2 |
6 |
1,337 |
| Using Stocks or Portfolios in Tests of Factor Models |
0 |
0 |
6 |
43 |
2 |
3 |
22 |
145 |
| What does the yield curve tell us about GDP growth? |
0 |
3 |
8 |
354 |
0 |
16 |
34 |
1,316 |
| What does the yield curve tell us about GDP growth? |
0 |
1 |
1 |
860 |
0 |
2 |
5 |
2,758 |
| Why stocks may disappoint |
0 |
0 |
1 |
243 |
2 |
3 |
6 |
763 |
| Total Journal Articles |
15 |
63 |
246 |
8,469 |
61 |
224 |
889 |
31,557 |
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