| 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 |
3 |
745 |
1 |
5 |
25 |
2,148 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
2 |
33 |
0 |
0 |
7 |
152 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks |
0 |
0 |
0 |
14 |
0 |
0 |
6 |
106 |
| Build America Bonds |
0 |
0 |
1 |
32 |
0 |
0 |
4 |
149 |
| CAPM Over the Long Run: 1926-2001 |
0 |
0 |
0 |
259 |
0 |
0 |
4 |
754 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
0 |
201 |
0 |
0 |
2 |
797 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? |
0 |
0 |
1 |
86 |
0 |
0 |
7 |
284 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
0 |
1 |
2 |
252 |
0 |
5 |
15 |
857 |
| Do demographic changes affect risk premiums? Evidence from international data |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
470 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
1 |
1 |
4 |
214 |
4 |
9 |
28 |
721 |
| Downside Risk |
0 |
0 |
6 |
346 |
1 |
3 |
18 |
958 |
| Downside Risk and the Momentum Effect |
1 |
4 |
4 |
397 |
2 |
6 |
11 |
1,681 |
| Hedge Fund Leverage |
0 |
0 |
4 |
163 |
1 |
3 |
18 |
546 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
0 |
0 |
1 |
247 |
0 |
2 |
7 |
636 |
| How do Regimes Affect Asset Allocation? |
0 |
0 |
1 |
370 |
3 |
12 |
40 |
930 |
| How to Discount Cashflows with Time-Varying Expected Returns |
0 |
0 |
0 |
246 |
0 |
0 |
3 |
900 |
| Inflation and Individual Equities |
0 |
0 |
1 |
7 |
1 |
3 |
9 |
40 |
| Inflation and Individual Equities |
1 |
1 |
7 |
54 |
2 |
2 |
16 |
219 |
| International Asset Allocation with Time-Varying Correlations |
1 |
1 |
1 |
919 |
1 |
3 |
6 |
2,676 |
| Is IPO Underperformance a Peso Problem? |
0 |
0 |
1 |
62 |
0 |
0 |
1 |
460 |
| Liability Investment with Downside Risk |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
121 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
1 |
24 |
0 |
1 |
2 |
161 |
| Monetary Policy Shifts and the Term Structure |
0 |
0 |
1 |
218 |
4 |
11 |
38 |
649 |
| No-Arbitrage Taylor Rules |
0 |
0 |
0 |
33 |
2 |
4 |
9 |
192 |
| No-Arbitrage Taylor Rules |
0 |
0 |
2 |
137 |
0 |
0 |
12 |
445 |
| Portfolio Choice with Illiquid Assets |
0 |
0 |
7 |
106 |
1 |
2 |
18 |
321 |
| Portfolio Performance Attribution via Shapley Value |
0 |
0 |
15 |
22 |
3 |
5 |
30 |
60 |
| Regime Changes and Financial Markets |
1 |
1 |
2 |
61 |
1 |
2 |
10 |
250 |
| Regime Changes and Financial Markets |
0 |
0 |
0 |
198 |
2 |
4 |
9 |
439 |
| Regime Switches in Interest Rates |
0 |
2 |
8 |
1,149 |
4 |
13 |
40 |
2,866 |
| Risk, Return and Dividends |
0 |
0 |
1 |
145 |
1 |
2 |
10 |
298 |
| Risk, Return and Dividends |
0 |
0 |
0 |
20 |
1 |
1 |
4 |
107 |
| Search for a Common Factor in Public and Private Real Estate Returns |
0 |
0 |
0 |
3 |
1 |
7 |
15 |
164 |
| Stock Return Predictability: Is it There? |
3 |
4 |
8 |
1,153 |
9 |
16 |
56 |
3,238 |
| Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
0 |
0 |
1 |
206 |
0 |
0 |
7 |
469 |
| Tax-Aware Portfolio Construction via Convex Optimization |
0 |
0 |
4 |
16 |
1 |
1 |
8 |
29 |
| Taxes on Tax-Exempt Bonds |
0 |
0 |
0 |
54 |
1 |
6 |
19 |
311 |
| Testing Conditional Factor Models |
0 |
0 |
3 |
311 |
0 |
0 |
4 |
642 |
| Testing Conditional Factor Models |
0 |
0 |
1 |
123 |
2 |
3 |
5 |
372 |
| The Cross-Section of Volatility and Expected Returns |
1 |
3 |
7 |
603 |
7 |
13 |
29 |
1,935 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
3 |
56 |
2 |
2 |
7 |
181 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
2 |
450 |
1 |
7 |
20 |
1,120 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
0 |
252 |
4 |
12 |
30 |
776 |
| What Does the Yield Curve Tell us about GDP Growth? |
0 |
0 |
3 |
452 |
5 |
13 |
38 |
1,695 |
| Why Stocks May Disappoint |
0 |
0 |
0 |
288 |
11 |
18 |
37 |
1,045 |
| Total Working Papers |
9 |
19 |
108 |
10,840 |
79 |
197 |
689 |
33,370 |
| 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 |
1 |
5 |
10 |
502 |
4 |
14 |
58 |
1,695 |
| Advance Refundings of Municipal Bonds |
0 |
0 |
0 |
8 |
0 |
0 |
8 |
81 |
| Asset Pricing in the Dark: The Cross-Section of OTC Stocks |
1 |
1 |
2 |
37 |
7 |
10 |
24 |
255 |
| Asymmetric correlations of equity portfolios |
1 |
3 |
13 |
606 |
8 |
22 |
74 |
1,554 |
| CAPM over the long run: 1926-2001 |
1 |
1 |
5 |
279 |
1 |
1 |
14 |
754 |
| Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
0 |
0 |
1 |
161 |
0 |
0 |
5 |
615 |
| Do macro variables, asset markets, or surveys forecast inflation better? |
0 |
1 |
8 |
597 |
5 |
11 |
57 |
1,829 |
| Downside Risk |
2 |
5 |
64 |
435 |
6 |
18 |
151 |
1,358 |
| Downside risk |
0 |
0 |
6 |
69 |
6 |
12 |
64 |
504 |
| Estimating Private Equity Returns from Limited Partner Cash Flows |
2 |
7 |
23 |
103 |
5 |
12 |
49 |
306 |
| Factor risk premiums and invested capital: calculations with stochastic discount factors |
1 |
1 |
3 |
37 |
1 |
1 |
6 |
136 |
| Hedge fund leverage |
0 |
0 |
5 |
118 |
1 |
2 |
30 |
568 |
| High idiosyncratic volatility and low returns: International and further U.S. evidence |
5 |
14 |
38 |
513 |
21 |
64 |
155 |
1,732 |
| Interest Rate Risk Management |
0 |
0 |
1 |
2 |
0 |
0 |
2 |
10 |
| International Asset Allocation With Regime Shifts |
0 |
0 |
0 |
1 |
1 |
5 |
50 |
1,344 |
| Investment beliefs of endowments |
0 |
0 |
0 |
13 |
0 |
1 |
1 |
46 |
| Is Ipo Underperformance a Peso Problem? |
0 |
0 |
0 |
16 |
0 |
0 |
2 |
167 |
| Locked Up by a Lockup: Valuing Liquidity as a Real Option |
0 |
0 |
0 |
12 |
1 |
1 |
3 |
143 |
| Monetary Policy Shifts and the Term Structure |
2 |
2 |
5 |
124 |
7 |
13 |
33 |
456 |
| No-arbitrage Taylor rules |
0 |
0 |
2 |
205 |
3 |
5 |
17 |
934 |
| Portfolio Choice with Illiquid Assets |
0 |
1 |
8 |
39 |
2 |
5 |
20 |
152 |
| Regime Changes and Financial Markets |
1 |
5 |
13 |
179 |
3 |
9 |
35 |
715 |
| Regime Switches in Interest Rates |
0 |
0 |
0 |
0 |
1 |
10 |
42 |
1,188 |
| Risk, return, and dividends |
0 |
0 |
0 |
124 |
2 |
2 |
5 |
413 |
| Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches |
0 |
0 |
0 |
8 |
0 |
4 |
7 |
49 |
| Short rate nonlinearities and regime switches |
0 |
0 |
0 |
77 |
0 |
0 |
2 |
232 |
| Stock Return Predictability: Is it There? |
0 |
1 |
2 |
20 |
8 |
17 |
46 |
183 |
| Systemic sovereign credit risk: Lessons from the U.S. and Europe |
1 |
3 |
13 |
311 |
3 |
14 |
43 |
888 |
| Taxes on Tax‐Exempt Bonds |
0 |
0 |
2 |
50 |
2 |
2 |
10 |
255 |
| Testing conditional factor models |
0 |
1 |
14 |
272 |
7 |
12 |
49 |
756 |
| The Cross‐Section of Volatility and Expected Returns |
0 |
2 |
15 |
687 |
5 |
10 |
81 |
2,521 |
| The Efficient Market Theory and Evidence: Implications for Active Investment Management |
0 |
1 |
10 |
195 |
0 |
4 |
26 |
491 |
| The Joint Cross Section of Stocks and Options |
0 |
0 |
6 |
62 |
3 |
4 |
20 |
290 |
| The Term Structure of Real Rates and Expected Inflation |
0 |
0 |
5 |
227 |
0 |
1 |
20 |
721 |
| The term structure of real rates and expected inflation |
0 |
0 |
1 |
411 |
0 |
8 |
21 |
1,310 |
| Using Stocks or Portfolios in Tests of Factor Models |
1 |
3 |
11 |
26 |
3 |
10 |
32 |
100 |
| What does the yield curve tell us about GDP growth? |
1 |
4 |
14 |
332 |
3 |
10 |
56 |
1,231 |
| What does the yield curve tell us about GDP growth? |
0 |
0 |
0 |
858 |
0 |
0 |
3 |
2,751 |
| Why stocks may disappoint |
0 |
1 |
7 |
235 |
0 |
16 |
45 |
723 |
| Total Journal Articles |
20 |
62 |
307 |
7,951 |
119 |
330 |
1,366 |
29,456 |
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