Jacob Boudoukh

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

31

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15,203

SSRN CITATIONS
Rank 962

SSRN RANKINGS

Top 962

in Total Papers Citations

265

CROSSREF CITATIONS

917

Scholarly Papers (31)

1.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,351 (3,871)
Citation 3

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2.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 3,257 (4,087)
Citation 2

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

Information, Trading, and Volatility: Evidence from Firm-Specific News

Number of pages: 54 Posted: 25 Dec 2012 Last Revised: 01 Dec 2017
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, IDC Herzliya - Arison School of Business and New York University (NYU) - Department of Finance
Downloads 943 (28,722)
Citation 16

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text analysis, excess volatility, roll R2, information and asset prices.

Which News Moves Stock Prices? A Textual Analysis

NBER Working Paper No. w18725
Number of pages: 46 Posted: 26 Jan 2013 Last Revised: 01 Mar 2021
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, IDC Herzliya - Arison School of Business and New York University (NYU) - Department of Finance
Downloads 209 (174,213)
Citation 5

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4.

Optimal Currency Hedging for International Equity Portfolios

Financial Analyst Journal - Forthcoming
Number of pages: 30 Posted: 16 Oct 2018 Last Revised: 08 Jun 2019
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 916 (30,417)

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International equity portfolio, Currency risk, Optimal hedging, Carry, Value, Momentum

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Number of pages: 37 Posted: 27 Dec 2003
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 719 (41,813)
Citation 1

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

NBER Working Paper No. w10651
Number of pages: 75 Posted: 25 May 2006 Last Revised: 10 Aug 2010
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 124 (271,662)
Citation 37

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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Journal of Finance, Forthcoming
Posted: 07 Feb 2006
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 691 (44,144)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 81 (361,858)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NBER Working Paper No. w7214
Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 20 Mar 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 54 (449,927)

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Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 670 (46,035)
Citation 6

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Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 559 (58,154)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NBER Working Paper No. w7213
Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 19 Mar 2021
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 42 (501,482)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 35 (536,529)

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9.
Downloads 625 ( 51,025)
Citation 125

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 433 (79,803)
Citation 1

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long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NYU Working Paper No. SC-AM-05-11
Number of pages: 40 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 78 (370,226)

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The Myth of Long-Horizon Predictability

NBER Working Paper No. w11841
Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 01 Aug 2009
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 72 (387,726)
Citation 18

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The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031
Number of pages: 39 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 42 (501,482)
Citation 1

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The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008
Posted: 08 Aug 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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G12, G14, C12

10.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 427 (81,934)
Citation 15

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011
Number of pages: 54 Posted: 10 Jun 2003
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 265 (138,077)

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excess volatility, nonlinear, state dependence

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05
Number of pages: 25 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 32 (553,268)

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NBER Working Paper No. w9515
Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 26 (590,801)
Citation 1

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011
Number of pages: 55 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 24 (604,843)
Citation 2

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04
Number of pages: 54 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 18 (648,896)

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Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 04 Nov 2019
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 287 (126,937)

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Liquidity, International Bond Pricing, Financial Crisis, Euro Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

NBER Working Paper No. w22576
Number of pages: 49 Posted: 31 Aug 2016 Last Revised: 10 Mar 2021
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 39 (515,970)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NBER Working Paper No. w11840
Number of pages: 33 Posted: 27 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 79 (367,372)
Citation 1

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032
Number of pages: 33 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 62 (420,373)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 34 (542,131)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. SC-AM-05-12
Number of pages: 34 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 28 (577,481)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 21 (626,539)

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14.
Downloads 221 (165,601)
Citation 6

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 142 (244,394)
Citation 1

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Optimal Risk Management Using Options

NBER Working Paper No. w6158
Number of pages: 45 Posted: 25 May 2006 Last Revised: 01 May 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 79 (367,372)

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Optimal Risk Management Using Options

Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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15.
Downloads 193 (187,726)
Citation 6

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 184 (195,907)
Citation 5

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410
Number of pages: 41 Posted: 22 Jun 2020
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 9 (720,491)
Citation 3
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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 106 (304,305)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University
Downloads 69 (397,167)

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 116 (285,336)
Citation 14

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013
Number of pages: 52 Posted: 11 Nov 2008
Jacob Boudoukh, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University
Downloads 52 (457,755)
Citation 5

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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18.

Is There a Dollar Risk Factor?

Number of pages: 23 Posted: 04 Nov 2018
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 167 (213,037)
Citation 1

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Exchange Rates, Dollar, Carry, Factor

19.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950
Number of pages: 48 Posted: 09 Sep 2011
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 155 (226,856)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 122 (275,028)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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21.
Downloads 90 (336,310)

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 62 (420,373)

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Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 28 (577,481)

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22.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019
Number of pages: 32 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 89 (338,605)

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23.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 68 (395,343)

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24.

Do Asset Prices Reflect Fundamentals?

NYU Working Paper No. FIN-02-043
Number of pages: 51 Posted: 03 Nov 2008
Jacob Boudoukh, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University
Downloads 59 (424,929)

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25.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07
Number of pages: 51 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 57 (431,935)
Citation 1

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26.

The Financial Crisis: Whence and Whither?

Israel Economic Review, Vol. 8, No. 2, 2010
Number of pages: 6 Posted: 20 Dec 2012
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah
Downloads 21 (606,731)

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27.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Department of Finance

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Portfolio Management: trading and execution, Portfolio Management: private client focus

28.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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29.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University

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30.

Can Market-Timers Time Markets? Evidence on the Predictability of Stock Returns from Asset Allocation Funds

Posted: 26 Apr 1998
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah

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31.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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