Geert Bekaert

Columbia Business School - Finance and Economics

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

95

DOWNLOADS
Rank 157

SSRN RANKINGS

Top 157

in Total Papers Downloads

83,792

SSRN CITATIONS
Rank 30

SSRN RANKINGS

Top 30

in Total Papers Citations

4,206

CROSSREF CITATIONS

6,274

Scholarly Papers (95)

1.
Downloads 4,753 ( 2,184)
Citation 15

Emerging Equity Markets in a Globalizing World

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 09 Apr 2017
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 4,549 (2,315)
Citation 18

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Emerging markets, GDP weights, Market integration, Market segmentation, Illiquidity, Liquidity, Portfolio risk, Portfolio correlation, Market capitalization, Risk characteristics, Cross-sectional volatility, Valuation ratios, Asset class

Emerging Equity Markets in a Globalizing World

Netspar Discussion Paper No. 05/2014-024
Number of pages: 29 Posted: 08 Jul 2014
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 204 (180,864)
Citation 14

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Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,379 (3,821)
Citation 17

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Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 10 Mar 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 101 (318,641)
Citation 13

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Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (627,121)
Citation 27
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Liquidity pricing, emerging markets, return predictability

Liquidity and Expected Returns: Lessons from Emerging Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

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G12, G15, F30

3.
Downloads 3,350 ( 3,958)
Citation 121

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 3,305 (3,972)
Citation 26

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factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety

The Determinants of Stock and Bond Return Comovements

NBER Working Paper No. w15260
Number of pages: 59 Posted: 18 Aug 2009 Last Revised: 14 Mar 2021
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 45 (493,646)
Citation 5

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4.

Emerging Markets Finance

Number of pages: 68 Posted: 22 Jan 2003
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 3,160 (4,409)
Citation 55

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Market liberalization, portfolio flows, market reforms, economic growth, risk sharing, contagion, privatization, capital flows, market microstructure, inequality, productivity, volatility of capital flows, performance of emerging market investments

5.
Downloads 2,884 ( 5,160)
Citation 94

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 23 Mar 2001
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,414 (6,784)
Citation 102

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Present value model, predictability, international predictability, short rates, dividend yield, earnings yield

Stock Return Predictability: Is it There?

NBER Working Paper No. w8207
Number of pages: 53 Posted: 31 Mar 2001 Last Revised: 06 Jun 2021
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 470 (73,462)

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Inflation and the Stock Market: Understanding the 'Fed Model'

Number of pages: 40 Posted: 29 Apr 2008 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 2,598 (5,997)
Citation 5

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Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

Inflation and the Stock Market: Understanding the 'Fed Model'

Journal of Monetary Economics, Vol. 57, No. 3, pp. 278-294, 2010
Number of pages: 40 Posted: 21 Oct 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 176 (206,664)
Citation 25

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Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,254 (7,589)
Citation 1

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International Asset Allocation with Time-Varying Correlations

NBER Working Paper No. w7056
Number of pages: 65 Posted: 15 Sep 2000 Last Revised: 14 Apr 2021
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 347 (104,704)
Citation 3

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8.
Downloads 2,285 ( 7,540)
Citation 222

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2,035 (8,940)
Citation 8

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Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 94 (333,975)
Citation 1

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 76 (380,717)
Citation 13

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 57 (444,128)
Citation 9

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Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

NBER Working Paper No. w16397
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 22 Apr 2021
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 20 (641,926)

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Risk, Uncertainty and Monetary Policy

CEPR Discussion Paper No. DP8154
Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 3 (781,302)
Citation 70
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

9.
Downloads 2,268 ( 7,654)
Citation 120

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 1,692 (12,031)
Citation 11

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

ECB Working Paper No. 1675
Number of pages: 36 Posted: 04 Jul 2014
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 340 (107,234)
Citation 32

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option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability

The VIX, the Variance Premium and Stock Market Volatility

Netspar Discussion Paper No. 10/2013-035
Number of pages: 36 Posted: 19 Oct 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 200 (184,282)
Citation 1

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

NBER Working Paper No. w18995
Number of pages: 41 Posted: 28 Apr 2013 Last Revised: 28 May 2021
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 36 (537,958)
Citation 29

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10.
Downloads 2,212 ( 7,965)
Citation 83

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 2,147 (8,201)
Citation 2

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 13 Jun 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 59 (436,521)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 6 (755,130)
Citation 35
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

11.
Downloads 1,911 ( 10,117)
Citation 12

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 1,786 (11,043)
Citation 3

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currency carry trade, currency risk factors

Good Carry, Bad Carry

Number of pages: 77 Posted: 04 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 119 (285,682)
Citation 2

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currency carry trade, predictability, currency risk factors

Good Carry, Bad Carry

NBER Working Paper No. w25420
Number of pages: 78 Posted: 07 Jan 2019 Last Revised: 12 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 5 (763,676)
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Good Carry, Bad Carry

CEPR Discussion Paper No. DP13463
Number of pages: 80 Posted: 23 Jan 2019
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 1 (805,500)
Citation 5
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currency carry trade, currency risk factors, predictability

12.
Downloads 1,895 ( 10,240)
Citation 41

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,856 (10,375)
Citation 1

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idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058
Number of pages: 75 Posted: 07 Jun 2010 Last Revised: 19 May 2021
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 36 (537,958)
Citation 1

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Aggregate Idiosyncratic Volatility

CEPR Discussion Paper No. DP8149
Number of pages: 65 Posted: 27 Dec 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 3 (781,302)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

13.
Downloads 1,875 ( 10,412)
Citation 152

The Term Structure of Real Rates and Expected Inflation

Number of pages: 64 Posted: 16 Jul 2003
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,476 (14,923)
Citation 10

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regime-switching term structure model, inflation risk premium, business cycles

The Term Structure of Real Rates and Expected Inflation

NBER Working Paper No. w12930
Number of pages: 68 Posted: 24 Feb 2007 Last Revised: 02 May 2021
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 377 (95,319)
Citation 1

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The Term Structure of Real Rates and Expected Inflation

Number of pages: 67 Posted: 14 Sep 2004
Andrew Ang and Geert Bekaert
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads 22 (627,121)
Citation 17
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14.
Downloads 1,621 ( 13,103)
Citation 132

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,517 (14,292)
Citation 11

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Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration

International Stock Return Comovements

NBER Working Paper No. w11906
Number of pages: 57 Posted: 22 Jan 2006 Last Revised: 01 Mar 2021
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 68 (405,352)
Citation 17

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International Stock Return Comovements

CEPR Discussion Paper No. 5955
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 36 (537,958)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

15.
Downloads 1,544 ( 14,155)
Citation 29

How Do Regimes Affect Asset Allocation?

Number of pages: 35 Posted: 27 May 2002
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,188 (20,831)
Citation 20

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market timing, tactical asset allocation, regime switching, international diversification

How Do Regimes Affect Asset Allocation?

NBER Working Paper No. w10080
Number of pages: 28 Posted: 14 Nov 2003 Last Revised: 19 Jul 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 356 (101,788)
Citation 2

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16.
Downloads 1,529 ( 14,379)
Citation 270

Does Financial Liberalization Spur Growth?

Number of pages: 52 Posted: 19 Apr 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,396 (16,294)
Citation 54

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Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 133 (261,212)
Citation 23

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17.
Downloads 1,509 ( 14,674)
Citation 34

Flights to Safety

National Bank of Belgium Working Paper No. 230
Number of pages: 75 Posted: 13 Oct 2012 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 1,214 (20,179)
Citation 3

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

Columbia Business School Research Paper No. 18-58
Number of pages: 75 Posted: 19 Jul 2018 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 108 (304,182)
Citation 14

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

FEDS Working Paper No. 2014-46
Number of pages: 59 Posted: 29 Jun 2014
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 100 (320,698)
Citation 13

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flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds

Flights to Safety

Netspar Discussion Paper No. 05/2013-034
Number of pages: 72 Posted: 19 Oct 2013 Last Revised: 16 Jan 2019
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 72 (392,697)
Citation 3

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

NBER Working Paper No. w19095
Number of pages: 76 Posted: 31 May 2013 Last Revised: 06 Mar 2021
Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 15 (680,584)
Citation 6

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18.

Home Bias Revisited

Number of pages: 62 Posted: 19 Feb 2009
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,449 (15,658)
Citation 40

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Home bias, international asset allocation, portfolio choice, international diversification

19.
Downloads 1,432 ( 15,966)
Citation 29

Regime Switches in Interest Rates

Number of pages: 70 Posted: 01 Jun 1998
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,167 (21,418)
Citation 30

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Regime Switches in Interest Rates

NBER Working Paper No. w6508
Number of pages: 71 Posted: 12 Jul 2000 Last Revised: 08 Apr 2008
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 265 (140,057)

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20.
Downloads 1,418 ( 16,230)
Citation 1

Currency Factors

Management Science forthcoming
Number of pages: 47 Posted: 23 Aug 2017 Last Revised: 10 Jun 2021
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 1,404 (16,143)
Citation 2

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Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Dollar Factor; Carry; Value; Global Pricing Kernels.

Currency Factors

NBER Working Paper No. w25449
Number of pages: 59 Posted: 15 Jan 2019
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 14 (688,616)

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Currency Factors

CEPR Discussion Paper No. DP13464
Number of pages: 61 Posted: 23 Jan 2019
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
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clustering, Currency Baskets, Currency Comovements, Currency Factors, factor models, Global Pricing Kernels

21.
Downloads 1,416 ( 16,261)
Citation 27

Global Crises and Equity Market Contagion

Number of pages: 56 Posted: 03 Jun 2011 Last Revised: 26 Jul 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 1,184 (20,958)
Citation 2

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contagion; financial crisis; equity markets; global transmission; market integration; country risk; factor model; financial policies; FX reserves, current account

Global Crises and Equity Market Contagion

ECB Working Paper No. 1381
Number of pages: 48 Posted: 13 Sep 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 86 (353,363)

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Contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

Number of pages: 55 Posted: 16 Mar 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 69 (402,162)
Citation 4

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contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

Netspar Discussion Paper No. 05/2011-070
Number of pages: 57 Posted: 31 Aug 2011 Last Revised: 23 Nov 2012
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 42 (507,726)
Citation 1

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contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

Global Crises and Equity Market Contagion

NBER Working Paper No. w17121
Number of pages: 57 Posted: 20 Jun 2011 Last Revised: 14 Apr 2021
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 30 (572,193)
Citation 6

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Global Crises and Equity Market Contagion

CEPR Discussion Paper No. DP8438
Number of pages: 44 Posted: 16 Jun 2011
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 5 (763,676)
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contagion, country risk, current account, equity markets, factor model, financial crisis, financial policies, FX reserves, global transmission, market integration

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Number of pages: 29 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 1,242 (19,474)
Citation 9

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macroeconomic volatility, business cycles, COVID-19

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-Time Analysis

FEDS Working Paper No. 2020-049
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 147 (240,954)

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Business cycles, COVID-19, Macroeconomic volatility

The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,181 (21,041)
Citation 25

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010 Last Revised: 25 Apr 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 30 (572,193)

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24.

Research in Emerging Markets Finance: Looking to the Future

Number of pages: 27 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 1,211 (20,602)
Citation 36

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Emerging markets, International Cost of Capital, Financial openness, dating integration, market segmentation, market integration, capital flows, contagion, market correlations, emerging market volatility, emerging return skewness, emerging return kurtosis

25.
Downloads 1,202 ( 20,838)
Citation 186

Market Integration and Contagion

Number of pages: 39 Posted: 22 Mar 2002
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,134 (22,345)
Citation 8

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Market Integration and Contagion

NBER Working Paper No. w9510
Number of pages: 35 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Geert Bekaert, Campbell R. Harvey and Angela Ng
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 68 (405,352)
Citation 21

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26.
Downloads 1,167 ( 21,799)
Citation 46

Emerging Equity Market Volatility

Number of pages: 78 Posted: 09 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 1,007 (26,612)
Citation 47

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Emerging markets, volatility, capital market reforms, asymmetric volatility, country risk, market liberalization, financial openness, market integration, market segmentation

Emerging Equity Market Volatility

NBER Working Paper No. w5307
Number of pages: 79 Posted: 26 Aug 2000 Last Revised: 24 Sep 2010
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 160 (224,430)

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27.
Downloads 1,113 ( 23,353)
Citation 87

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,034 (25,599)
Citation 3

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Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 79 (372,198)
Citation 11

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28.
Downloads 1,103 ( 23,673)
Citation 13

Stock and Bond Pricing in an Affine Economy

EFA 2002 Berlin Meetings
Number of pages: 54 Posted: 21 Feb 2002
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads 1,031 (25,714)
Citation 13

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Stock and Bond Pricing in an Affine Economy

NBER Working Paper No. w7346
Number of pages: 52 Posted: 05 Feb 2000 Last Revised: 28 Jan 2021
Steven R. Grenadier and Geert Bekaert
Stanford Graduate School of Business and Columbia Business School - Finance and Economics
Downloads 72 (392,697)
Citation 1

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29.
Downloads 1,076 ( 24,559)
Citation 13

The Time Variation in Risk Appetite and Uncertainty

Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 47 Posted: 14 Nov 2017 Last Revised: 11 Feb 2021
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 1,054 (24,907)
Citation 5

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Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.

The Time Variation in Risk Appetite and Uncertainty

NBER Working Paper No. w25673
Number of pages: 78 Posted: 26 Mar 2019 Last Revised: 24 Feb 2021
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 22 (627,121)
Citation 10

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Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 31 Jul 2009 Last Revised: 28 Jun 2011
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 986 (27,456)
Citation 13

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Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Number of pages: 50 Posted: 18 Mar 2011 Last Revised: 29 Oct 2014
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 61 (429,163)
Citation 3

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Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability

Asset Return Dynamics Under Bad Environment Good Environment Fundamentals

NBER Working Paper No. w15222
Number of pages: 52 Posted: 18 Aug 2009 Last Revised: 04 Feb 2021
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 21 (634,456)

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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

CEPR Discussion Paper No. DP8150
Number of pages: 52 Posted: 27 Dec 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 2 (792,275)
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium

31.
Downloads 1,061 ( 25,058)
Citation 60

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,013 (26,383)
Citation 2

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Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 10 May 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 48 (480,328)
Citation 3

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32.
Downloads 1,038 ( 25,847)
Citation 21

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 994 (27,126)
Citation 3

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Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary

Political Risk Spreads

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 44 (498,306)
Citation 9

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33.
Downloads 1,013 ( 26,783)
Citation 30

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 872 (32,666)
Citation 7

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financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 86 (353,363)
Citation 9

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Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 19 Sep 2012
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 55 (451,834)

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34.
Downloads 972 ( 28,402)
Citation 76

Why Stocks May Disappoint

Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 818 (35,624)
Citation 21

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Why Stocks May Disappoint

NBER Working Paper No. w7783
Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 09 Apr 2021
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 154 (231,793)
Citation 7

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35.
Downloads 929 ( 30,350)
Citation 27

The Dynamics of Emerging Market Equity Flows

Number of pages: 61 Posted: 24 Sep 1999
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 883 (32,096)

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The Dynamics of Emerging Market Equity Flows

NBER Working Paper No. w7219
Number of pages: 62 Posted: 26 Jun 2000 Last Revised: 25 Mar 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 46 (489,080)

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36.

Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's

Number of pages: 34 Posted: 11 Jun 2020 Last Revised: 12 Oct 2020
Global AI Corp, Columbia Business School - Finance and Economics, Global AI Co and Global AI Corp
Downloads 846 (34,552)
Citation 1

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ESG, SDG, asset management, fiduciary duty, alpha, sustainable investing, risk factors

37.
Downloads 843 ( 34,727)
Citation 39

Stock and Bond Returns with Moody Investors

AFA 2006 Boston Meetings Paper
Number of pages: 61 Posted: 17 Mar 2005
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 761 (39,356)
Citation 5

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Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors

Stock and Bond Returns with Moody Investors

NBER Working Paper No. w12247
Number of pages: 63 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 52 (463,581)
Citation 1

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Stock and Bond Returns with Moody Investors

CEPR Discussion Paper No. 5951
Number of pages: 65 Posted: 18 Aug 2004
Geert Bekaert, Eric Engstrom and Steven R. Grenadier
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Stanford Graduate School of Business
Downloads 30 (572,193)
Citation 6
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Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence

38.
Downloads 829 ( 35,496)
Citation 493

Time-Varying World Market Integration

Number of pages: 49 Posted: 12 Sep 2005
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 761 (39,356)
Citation 404

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Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching

Time-Varying World Market Integration

NBER Working Paper No. w4843
Number of pages: 49 Posted: 11 Jun 2000 Last Revised: 28 Mar 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 68 (405,352)
Citation 18

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Time-Varying World Market Integration

Posted: 03 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business

Abstract:

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What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 441 (79,334)

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Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Jun 2015 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 371 (97,018)
Citation 23

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Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress

40.

Inflation Risk and the Inflation Risk Premium

Number of pages: 54 Posted: 06 May 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 800 (37,263)
Citation 8

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Inflation risk, risk premium, hedge, inflation protected bond, term structure model

41.

Political Risk and International Valuation

Columbia Business School Research Paper No. 15-83
Number of pages: 54 Posted: 11 Sep 2015 Last Revised: 09 Dec 2015
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 793 (37,831)
Citation 4

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Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation

42.

Globalization and Asset Prices

Number of pages: 97 Posted: 10 Mar 2010
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 768 (39,457)
Citation 10

Abstract:

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globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model

43.
Downloads 727 ( 42,527)
Citation 7

Macroeconomic Regimes

Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55 Posted: 26 May 2011 Last Revised: 23 Jun 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 659 (47,854)

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Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy

Macroeconomic Regimes

Netspar Discussion Paper No. 05/2011-071
Number of pages: 54 Posted: 31 Aug 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 47 (484,689)
Citation 7

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monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve

Macroeconomic Regimes

NBER Working Paper No. w17090
Number of pages: 54 Posted: 31 May 2011 Last Revised: 14 Mar 2021
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 21 (634,456)

Abstract:

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44.
Downloads 682 ( 46,342)
Citation 87

Expectations Hypotheses Tests

Number of pages: 46 Posted: 03 Jan 2001
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 631 (50,633)
Citation 3

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Expectations Hypotheses Tests

NBER Working Paper No. w7609
Number of pages: 46 Posted: 25 Apr 2000 Last Revised: 18 Apr 2021
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 51 (467,662)
Citation 7

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45.
Downloads 681 ( 46,455)
Citation 74

Foreign Speculators and Emerging Equity Markets

Duke Univ. Fuqua School of Business WP 9721
Number of pages: 56 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 619 (51,966)
Citation 75

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Equity Market Liberalization, Cost of Capital, Investment Growth, Economic Growth, Liberalization and Risk, Country Correlations, Country Betas, Country Volatility

Foreign Speculators and Emerging Equity Markets

NBER Working Paper No. w6312
Number of pages: 57 Posted: 30 Aug 2000 Last Revised: 02 Apr 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 62 (425,592)

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46.
Downloads 680 ( 46,547)
Citation 80

Emerging Equity Markets and Economic Development

Number of pages: 41 Posted: 14 Aug 2000
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 615 (52,405)

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Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 20 Mar 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 65 (415,256)
Citation 11

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47.

Economic and Financial Integration in Europe

Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13 Posted: 17 Apr 2017
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 679 (46,634)
Citation 3

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis

48.
Downloads 612 ( 53,420)
Citation 3

Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 464 (74,639)

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macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-058
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 66 (411,935)

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Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 58 (440,266)
Citation 2

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bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016 Last Revised: 29 May 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 24 (612,507)

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Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 540 (61,806)
Citation 12

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GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 55 (451,834)
Citation 7

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Bad Environments Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 5 (763,676)
Citation 1

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non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Number of pages: 95 Posted: 31 Mar 2014 Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 512 (66,017)
Citation 1

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International Diversification, Microdata, 401(k) Portfolios

Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms

Netspar Discussion Paper No. 02/2014-025
Number of pages: 95 Posted: 08 Jul 2014 Last Revised: 12 Apr 2016
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 85 (355,936)
Citation 10

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International Diversification, Micro Data, 401(k) Plans

51.
Downloads 584 ( 56,679)
Citation 68

New-Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49 Posted: 07 Jun 2005 Last Revised: 28 Jun 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 456 (76,257)

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Phillips curve, term structure, New-Keynesian model

New Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010, Columbia Business School Research Paper No. 11-29
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 55 (451,834)

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New-Keynesian Macroeconomics and the Term Structure

NBER Working Paper No. w11340
Number of pages: 62 Posted: 16 Jun 2005 Last Revised: 28 Jun 2010
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 43 (503,027)

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New-Keynesian Macroeconomics and the Term Structure

CEPR Discussion Paper No. 5956
Number of pages: 51 Posted: 03 Jan 2007
Geert Bekaert, Seonghoon Cho and Antonio Moreno
Columbia Business School - Finance and Economics, School of Economics, Yonsei University and School of Economics and Business, University of Navarra
Downloads 30 (572,193)
Citation 12
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Monetary policy, inflation target, term structure of interest rates, Phillips curve

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 09 Aug 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 349 (104,050)
Citation 4

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ARIMA, Phillips curve, forecasting, term structure models

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

NBER Working Paper No. w11538
Number of pages: 55 Posted: 19 Sep 2005 Last Revised: 13 Jul 2010
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 214 (172,765)
Citation 34

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53.
Downloads 555 ( 60,387)
Citation 22

Uncovered Interest Rate Parity and the Term Structure

Number of pages: 57 Posted: 06 Feb 2002
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 498 (68,423)

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Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test

Uncovered Interest Rate Parity and the Term Structure

NBER Working Paper No. w8795
Number of pages: 57 Posted: 21 Feb 2002 Last Revised: 26 Oct 2010
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 57 (444,128)
Citation 3

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54.
Downloads 552 ( 60,799)
Citation 87

Risk, Uncertainty and Asset Prices

Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56 Posted: 08 Aug 2005
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 477 (72,163)
Citation 3

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Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 40 (517,462)
Citation 2

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Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University
Downloads 35 (543,439)
Citation 20
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Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure

Risk, Uncertainty, and Asset Prices

Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Rice University

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55.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005 Last Revised: 07 Aug 2020
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 538 (62,764)
Citation 15

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emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration

56.
Downloads 526 ( 64,530)
Citation 31

Dating the Integration of World Equity Markets

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Oct 2001
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 485 (70,670)
Citation 34

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Dating the Integration of World Equity Markets

NBER Working Paper No. w6724
Number of pages: 65 Posted: 17 Jul 2000 Last Revised: 17 May 2021
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and American University - Department of Finance and Real Estate
Downloads 41 (512,533)

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57.

Short Rate Nonlinearities and Regime Switches

Number of pages: 37 Posted: 08 Dec 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 525 (64,690)
Citation 8

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Short rate, term spread, drift, volatility, regime-switching

58.
Downloads 505 ( 67,842)
Citation 9

Globalization and Asset Returns

Duke I&E Research Paper No. 2016-40, Columbia Business School Research Paper No. 16-64
Number of pages: 79 Posted: 28 Aug 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services
Downloads 505 (67,128)
Citation 9

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Market integration, market segmentation, financial openness, trade openness, contagion, convergence, return comovements

Globalization and Asset Returns

Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016
Posted: 18 Nov 2016
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, Columbia University - Columbia Business School and PriceWaterhouseCoopers LLP - Financial services

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Capital Flows and the Behavior of Emerging Market Equity Returns

Fuqua School of Business Working Paper No. 9807
Number of pages: 51 Posted: 08 May 2000
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 367 (98,295)
Citation 16

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Capital Markets, U.S. Equity Flows, Distribution of Equity Returns, Economic Growth

Capital Flows and the Behavior of Emerging Market Equity Returns

NBER Working Paper No. w6669
Number of pages: 77 Posted: 14 Jul 2000 Last Revised: 24 Mar 2021
Geert Bekaert and Campbell R. Harvey
Columbia Business School - Finance and Economics and Duke University - Fuqua School of Business
Downloads 95 (331,659)

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60.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 438 (80,725)
Citation 4

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61.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 410 (87,193)
Citation 14

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Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility

Risk and Return in International Corporate Bond Markets

Columbia Business School Research Paper Forthcoming
Number of pages: 60 Posted: 16 May 2019 Last Revised: 18 Nov 2020
Geert Bekaert and Roberto A. De Santis
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Directorate General Economics
Downloads 280 (132,191)

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Corporate bond markets; CAPM; international market integration; asset class integration; bond ratings; risk; return; market efficiency tests; comovement.

Risk and Return in International Corporate Bond Markets

ECB Working Paper No. 20202452
Number of pages: 173 Posted: 11 Aug 2020
Roberto A. De Santis and Geert Bekaert
European Central Bank (ECB) - Directorate General Economics and Columbia Business School - Finance and Economics
Downloads 109 (302,213)

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asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk

63.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 78 Posted: 15 May 2020 Last Revised: 20 Mar 2021
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 342 (107,225)
Citation 27

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals

FEDS Working Paper No. 2015-53
Number of pages: 65 Posted: 08 Oct 2015
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 303 (121,620)
Citation 35

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VIX, equity premium, habit, risk aversion, skewness

Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals

Number of pages: 82 Posted: 26 Aug 2015 Last Revised: 29 Apr 2019
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 25 (605,323)
Citation 1

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habit, volatility premium, non-Gaussian distribution, consumption

On the Link between the Volatility and Skewness of Growth

Number of pages: 54 Posted: 27 Oct 2012 Last Revised: 28 Feb 2018
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 249 (149,219)

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Volatility, Skewness, Development, Financial Frictions, Growth Spurts, Business Cycles

On the Link between the Volatility and Skewness of Growth

Columbia Business School Research Paper Forthcoming
Number of pages: 64 Posted: 24 Oct 2019
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 41 (512,533)
Citation 2

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Volatility, Skewness, Development, Financial frictions, Growth spurts, Business cycles

On the Link between the Volatility and Skewness of Growth

NBER Working Paper No. w18556
Number of pages: 43 Posted: 22 Nov 2012 Last Revised: 15 Mar 2021
Geert Bekaert and Alexander A. Popov
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 7 (746,562)

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66.

Inflation and the Inflation Risk Premium

Economic Policy, Vol. 25, No. 64, pp. 757-806, October 2010, Columbia Business School Research Paper No. 11-28
Number of pages: 49 Posted: 21 Oct 2011
Geert Bekaert and Xiaozheng Sandra Wang
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 273 (136,477)
Citation 4

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67.

An Anatomy of Central and Eastern European Equity Markets

Columbia Business School Research Paper No. 15-71
Number of pages: 81 Posted: 29 Jul 2015
Lieven Baele, Geert Bekaert and Larissa Schäfer
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Frankfurt School of Finance & Management
Downloads 258 (144,515)
Citation 2

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Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice

68.

On the Global Financial Market Integration ‘Swoosh’ and the Trilemma

Columbia Business School Research Paper No. 17-17
Number of pages: 41 Posted: 24 Jan 2017 Last Revised: 12 May 2019
Geert Bekaert and Arnaud Mehl
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 249 (149,745)
Citation 6

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Financial Globalization and Deglobalization, Market Integration, Factor Model, U-Shape vs. J-Shape Hypotheses, Monetary Policy Trilemma, Dilemma Hypothesis

69.
Downloads 211 (175,412)
Citation 2

The Variance Risk Premium in Equilibrium Models

Number of pages: 66 Posted: 03 Apr 2020 Last Revised: 28 May 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 208 (177,583)

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variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics, bad volatility

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 3 (781,302)
Citation 2
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70.

International Yield Co-movements

Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 87 Posted: 19 Jun 2019 Last Revised: 06 Jun 2021
Geert Bekaert and Andrey Ermolov
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 206 (179,442)
Citation 1

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sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium

Conditioning Information and Variance Bounds on Pricing Kernels

Number of pages: 44 Posted: 09 Oct 2001
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 178 (204,570)
Citation 17

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Conditioning Information and Variance Bounds on Pricing Kernels

NBER Working Paper No. w6880
Number of pages: 41 Posted: 08 Feb 1999 Last Revised: 21 Apr 2021
Geert Bekaert and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 28 (584,867)

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72.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 71 Posted: 11 Jan 2019 Last Revised: 14 May 2021
Geert Bekaert, Xue Wang and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 198 (186,157)

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return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables

73.

Variance Risk in Global Markets

Columbia Business School Research Paper Forthcoming
Number of pages: 63 Posted: 29 Aug 2019
Geert Bekaert, Robert J. Hodrick and Andrea Kiguel
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
Downloads 181 (201,593)

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variance risk, asset pricing, emerging market returns, currency returns

74.

The (Re)allocation of Bank Risk

Columbia Business School Research Paper Forthcoming
Number of pages: 48 Posted: 24 Aug 2019
Geert Bekaert and Johannes Breckenfelder
Columbia Business School - Finance and Economics and European Central Bank (ECB) - Financial Research
Downloads 155 (230,047)
Citation 2

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bank risk, security holdings, portfolio rebalancing

75.

The Global Crisis and Equity Market Contagion

DIW Berlin Discussion Paper No. 1352, Columbia Business School Research Paper No. 14-26
Number of pages: 64 Posted: 30 Jan 2014 Last Revised: 15 Sep 2014
Columbia Business School - Finance and Economics, European Central Bank (ECB), DIW Berlin and European Central Bank (ECB)
Downloads 129 (266,211)
Citation 43

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contagion, financial crisis, equity markets, global transmission, market integration, country risk, factor model, financial policies, FX reserves, current account

76.

Asymmetric Volatility and Risk in Equity Markets

NBER Working Paper No. w6022
Number of pages: 60 Posted: 25 May 2006
Geert Bekaert and Guojun Wu
Columbia Business School - Finance and Economics and University of Houston
Downloads 125 (272,628)
Citation 18

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77.

The China-U.S. Equity Valuation Gap

Number of pages: 94 Posted: 05 Mar 2021 Last Revised: 26 May 2021
Geert Bekaert, Shuojia Ke and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 96 (326,961)
Citation 1

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Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading

Diversification, Integration and Emerging Market Closed-End Funds

NBER Working Paper No. w4990
Number of pages: 62 Posted: 11 Aug 2000 Last Revised: 20 Feb 2021
Geert Bekaert and Michael S. Urias
Columbia Business School - Finance and Economics and Morgan Stanley
Downloads 85 (355,936)
Citation 3

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Diversification, Integration and Emerging Market Closed-End Funds

Posted: 07 Jul 1998
Geert Bekaert
Columbia Business School - Finance and Economics

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79.

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

NBER Working Paper No. w3790
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 12 May 2021
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 76 (376,702)
Citation 1

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80.

Inflation and the Stock Market:Understanding the "Fed Model"

NBER Working Paper No. w15024
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 22 Jul 2010
Geert Bekaert and Eric Engstrom
Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 73 (385,271)

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81.

Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks

Number of pages: 60 Posted: 15 Jan 2021 Last Revised: 07 May 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 67 (403,521)

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uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk

82.

On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates

NBER Working Paper No. t0191
Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 12 Jul 2010
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 64 (413,199)
Citation 9

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83.

On Biases in the Measurement of Foreign Exchange Risk Premiums

NBER Working Paper No. w3861
Number of pages: 39 Posted: 10 Jul 2007 Last Revised: 22 Jul 2010
Geert Bekaert and Robert J. Hodrick
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 49 (467,821)
Citation 5

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The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

NBER Working Paper No. w4624
Number of pages: 50 Posted: 19 Dec 2000 Last Revised: 20 Feb 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 36 (537,958)

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The Implications of First-Order Risk Aversion for Asset Market Risk Premiums

Posted: 15 Sep 1999
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

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85.

Online Appendix for 'Currency Factors'

Number of pages: 15 Posted: 13 May 2020 Last Revised: 21 Jan 2021
Arash Aloosh and Geert Bekaert
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 35 (530,921)

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Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels

"Peso Problem" Explanations for Term Structure Anomalies

NBER Working Paper No. w6147
Number of pages: 65 Posted: 01 Jul 2000 Last Revised: 19 Apr 2021
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 34 (548,984)
Citation 9

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'Peso Problem' Explanations for Term Structure Anomalies

Research Paper No. 1445, FRB Chicago Working Paper No. 1997-07
Posted: 10 Aug 1998
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

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87.

Target Zones and Exchange Rates: An Empirical Investigation

NBER Working Paper No. w5445
Number of pages: 52 Posted: 01 Jul 2000 Last Revised: 20 May 2021
Geert Bekaert and Stephen Gray
Columbia Business School - Finance and Economics and affiliation not provided to SSRN
Downloads 28 (569,067)
Citation 1

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88.

On the Global Financial Market Integration “Swoosh” and the Trilemma

NBER Working Paper No. w23124
Number of pages: 73 Posted: 07 Feb 2017 Last Revised: 08 Mar 2021
Geert Bekaert and Arnaud Mehl
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 17 (641,998)
Citation 1

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89.

Who is Internationally Diversified? Evidence from 296 401(K)

NBER Working Paper No. w21236
Number of pages: 79 Posted: 08 Jun 2015
Columbia Business School - Finance and Economics, Financial Engines, Inc., Financial Engines, Inc. and Federal Reserve Bank of Chicago
Downloads 16 (649,147)

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The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

NBER Working Paper No. w4818
Number of pages: 54 Posted: 20 Sep 2010 Last Revised: 03 Mar 2021
Geert Bekaert
Columbia Business School - Finance and Economics
Downloads 13 (696,829)
Citation 5

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The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 14 May 1998
Geert Bekaert
Columbia Business School - Finance and Economics

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91.

Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments

Number of pages: 46 Posted: 11 Jun 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 6 (724,859)

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business cycles, inflation, identification, non-Gaussian distributions, sign restrictions, Great Recession, COVID-19

92.

How Regimes Affect Asset Allocation?

Posted: 07 May 2004
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc

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Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation

93.

Is There a Free Lunch in Emerging Market Equities?

Posted: 15 Aug 1998
Geert Bekaert and Michael S. Urias
Columbia Business School - Finance and Economics and Morgan Stanley

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94.

The Contribution of Speculators to Effective Financial Markets

Catalyst Institute Monograph Series
Posted: 13 Feb 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

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95.

The Role of Capital Markets in Economic Growth

Catalyst Institute Monograph Series
Posted: 30 Jan 1997
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Pontifical Catholic University - Department of Economics

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