| 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 |
4 |
751 |
1 |
1 |
15 |
2,191 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
159 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
0 |
0 |
3 |
115 |
| Build America Bonds |
0 |
0 |
0 |
33 |
2 |
2 |
5 |
156 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
0 |
259 |
1 |
2 |
5 |
759 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
1 |
202 |
1 |
2 |
6 |
806 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
0 |
1 |
87 |
2 |
2 |
8 |
297 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
0 |
1 |
255 |
0 |
1 |
7 |
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 |
0 |
1 |
7 |
746 |
| Downside Risk |
0 |
2 |
4 |
356 |
1 |
4 |
22 |
996 |
| Downside Risk and the Momentum Effect |
0 |
0 |
0 |
398 |
1 |
5 |
9 |
1,697 |
| Hedge Fund Leverage |
1 |
2 |
2 |
167 |
1 |
5 |
11 |
585 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
1 |
251 |
0 |
0 |
8 |
651 |
| How do Regimes Affect Asset Allocation? |
0 |
0 |
0 |
375 |
0 |
1 |
6 |
962 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
248 |
0 |
0 |
2 |
907 |
| Inflation and Individual Equities |
0 |
0 |
0 |
55 |
1 |
2 |
7 |
230 |
| Inflation and Individual Equities |
0 |
0 |
1 |
8 |
0 |
0 |
3 |
44 |
| International Asset Allocation with Time-Varying Correlations |
0 |
2 |
3 |
924 |
0 |
2 |
5 |
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 |
0 |
1 |
2 |
167 |
| Monetary Policy Shifts and the Term Structure |
0 |
0 |
0 |
219 |
0 |
2 |
7 |
686 |
| No-Arbitrage Taylor Rules |
0 |
1 |
1 |
36 |
0 |
1 |
1 |
217 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
138 |
0 |
0 |
1 |
450 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
1 |
108 |
0 |
1 |
5 |
340 |
| Portfolio Performance Attribution via Shapley Value |
0 |
0 |
3 |
32 |
0 |
3 |
16 |
96 |
| Regime Changes and Financial Markets |
0 |
3 |
9 |
74 |
2 |
10 |
30 |
297 |
| Regime Changes and Financial Markets |
0 |
1 |
6 |
208 |
1 |
4 |
22 |
472 |
| Regime Switches in Interest Rates |
0 |
1 |
7 |
1,162 |
0 |
2 |
16 |
2,906 |
| Risk, Return and Dividends |
1 |
1 |
1 |
147 |
1 |
1 |
3 |
305 |
| 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 |
2 |
4 |
10 |
189 |
| Stock Return Predictability: Is it There? |
0 |
3 |
14 |
1,176 |
3 |
14 |
42 |
3,333 |
| 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 |
0 |
312 |
0 |
0 |
0 |
644 |
| Testing Conditional Factor Models |
0 |
0 |
1 |
128 |
0 |
1 |
8 |
391 |
| The Cross-Section of Volatility and Expected Returns |
0 |
1 |
4 |
609 |
0 |
4 |
17 |
1,977 |
| The Joint Cross Section of Stocks and Options |
1 |
1 |
2 |
58 |
1 |
2 |
7 |
191 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
253 |
0 |
1 |
3 |
798 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
1 |
3 |
455 |
0 |
1 |
6 |
1,139 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
0 |
1 |
456 |
0 |
0 |
4 |
1,717 |
| Why Stocks May Disappoint |
0 |
0 |
0 |
289 |
0 |
0 |
2 |
1,090 |
| Total Working Papers |
3 |
19 |
75 |
10,999 |
21 |
89 |
353 |
34,294 |
| 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 |
0 |
9 |
517 |
3 |
6 |
44 |
1,793 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
1 |
9 |
0 |
2 |
6 |
92 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
0 |
0 |
0 |
38 |
0 |
0 |
5 |
282 |
| Asymmetric correlations of equity portfolios |
1 |
2 |
7 |
627 |
2 |
6 |
21 |
1,649 |
| CAPM over the long run: 1926-2001 |
0 |
1 |
3 |
289 |
0 |
3 |
11 |
786 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
1 |
3 |
166 |
0 |
4 |
10 |
635 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
2 |
10 |
614 |
3 |
11 |
43 |
1,941 |
| Downside Risk |
3 |
4 |
17 |
477 |
8 |
13 |
48 |
1,484 |
| Downside risk |
0 |
0 |
3 |
74 |
3 |
4 |
10 |
557 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
2 |
5 |
30 |
169 |
5 |
12 |
51 |
424 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
143 |
| Hedge fund leverage |
3 |
5 |
11 |
138 |
4 |
8 |
32 |
631 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
1 |
2 |
10 |
550 |
3 |
10 |
47 |
1,902 |
| Interest Rate Risk Management |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
18 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
15 |
27 |
71 |
1,452 |
| Investment beliefs of endowments |
0 |
0 |
1 |
17 |
0 |
0 |
1 |
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 |
2 |
3 |
4 |
129 |
4 |
7 |
15 |
497 |
| No-arbitrage Taylor rules |
1 |
1 |
1 |
210 |
1 |
1 |
1 |
958 |
| Portfolio Choice with Illiquid Assets |
1 |
1 |
7 |
53 |
3 |
8 |
18 |
193 |
| Regime Changes and Financial Markets |
1 |
4 |
26 |
219 |
6 |
16 |
79 |
832 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
2 |
2 |
13 |
1,229 |
| 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 |
2 |
5 |
17 |
1 |
2 |
13 |
70 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
0 |
0 |
1 |
234 |
| Stock Return Predictability: Is it There? |
0 |
4 |
7 |
31 |
3 |
10 |
17 |
235 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
1 |
1 |
10 |
338 |
4 |
5 |
29 |
969 |
| Taxes on Tax‐Exempt Bonds |
2 |
3 |
4 |
55 |
2 |
3 |
11 |
272 |
| Testing conditional factor models |
1 |
2 |
4 |
286 |
2 |
6 |
19 |
806 |
| The Cross‐Section of Volatility and Expected Returns |
2 |
8 |
28 |
734 |
12 |
34 |
149 |
2,803 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
4 |
5 |
16 |
224 |
10 |
13 |
32 |
554 |
| The Joint Cross Section of Stocks and Options |
0 |
1 |
11 |
86 |
5 |
10 |
34 |
357 |
| The Term Structure of Real Rates and Expected Inflation |
1 |
2 |
8 |
242 |
2 |
5 |
22 |
759 |
| The term structure of real rates and expected inflation |
0 |
0 |
0 |
413 |
0 |
0 |
4 |
1,337 |
| Using Stocks or Portfolios in Tests of Factor Models |
0 |
0 |
5 |
43 |
0 |
2 |
18 |
145 |
| What does the yield curve tell us about GDP growth? |
0 |
0 |
1 |
860 |
1 |
2 |
6 |
2,759 |
| What does the yield curve tell us about GDP growth? |
0 |
0 |
8 |
354 |
6 |
16 |
39 |
1,322 |
| Why stocks may disappoint |
0 |
0 |
1 |
243 |
0 |
3 |
6 |
763 |
| Total Journal Articles |
27 |
59 |
251 |
8,496 |
110 |
251 |
931 |
31,667 |
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