Robert J. Hodrick

Columbia Business School - Finance and Economics

Nomura Professor of International Finance

3022 Broadway

New York, NY 10027

United States

National Bureau of Economic Research (NBER)

365 Fifth Avenue, 5th Floor

New York, NY 10016-4309

United States

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 3,074

SSRN RANKINGS

Top 3,074

in Total Papers Downloads

14,541

SSRN CITATIONS
Rank 165

SSRN RANKINGS

Top 165

in Total Papers Citations

1,587

CROSSREF CITATIONS

2,322

Scholarly Papers (41)

1.
Downloads 5,430 ( 1,711)
Citation 1,069

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 3,691 (3,286)
Citation 223

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Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852
Number of pages: 57 Posted: 27 Oct 2004 Last Revised: 01 Mar 2021
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,739 (11,521)
Citation 339

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2.
Downloads 1,895 ( 10,243)
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 (10,377)
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 (538,181)
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 (781,604)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

NBER Working Paper No. w13739
Number of pages: 52 Posted: 24 Jan 2008 Last Revised: 01 Mar 2021
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 710 (43,289)
Citation 15

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 658 (47,972)
Citation 8

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Xiaoyan Zhang, Andrew Ang, Robert J. Hodrick and Yuhang Xing
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 475 (72,548)
Citation 6

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idiosyncratic volatility, Fama-MacBeth regression

4.
Downloads 1,621 ( 13,107)
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 (14,300)
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 (405,497)
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 (538,181)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

5.
Downloads 683 ( 46,253)
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 632 (50,534)
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 (467,833)
Citation 7

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6.
Downloads 656 ( 48,786)
Citation 12

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 601 (53,990)
Citation 1

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currency carry trade, currency risk factors, market efficiency

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433
Number of pages: 65 Posted: 03 Sep 2014 Last Revised: 02 May 2021
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 55 (452,011)
Citation 7

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7.

Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?

Number of pages: 25 Posted: 30 Mar 2000
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 327 (112,757)
Citation 3

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8.

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

Netspar Discussion Paper No. 06/2014-022
Number of pages: 58 Posted: 02 Jul 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 198 (186,249)

Abstract:

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9.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 190 (193,237)
Citation 84

Abstract:

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10.

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 (201,669)

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

11.

Financial Market Efficiency Tests

NBER Working Paper No. w4108
Number of pages: 73 Posted: 23 Apr 2004 Last Revised: 25 Mar 2021
Tim Bollerslev and Robert J. Hodrick
Duke University - Finance and Columbia Business School - Finance and Economics
Downloads 151 (235,117)

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12.

Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement

NBER Working Paper No. t0108
Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 19 Apr 2021
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 129 (266,299)
Citation 58

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13.

Estimating the Risk-Return Trade-Off with Overlapping Data Inference

Netspar Discussion Paper No. 06/2014-020
Number of pages: 43 Posted: 02 Jul 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 118 (284,431)

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14.

An Evaluation of Recent Evidence on Stock Market Bubbles

NBER Working Paper No. w1971
Number of pages: 48 Posted: 10 Feb 2001 Last Revised: 23 May 2021
Robert P. Flood, Robert J. Hodrick and Paul D. Kaplan
International Monetary Fund (IMF) - Research Department, Columbia Business School - Finance and Economics and Morningstar Canada
Downloads 89 (343,100)
Citation 1

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15.

Estimating the Conditional CAPM with Overlapping Data Inference

Number of pages: 95 Posted: 12 Oct 2013
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) and Columbia Business School - Finance and Economics
Downloads 80 (365,890)
Citation 1

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Conditional CAPM, overlapping data inference

16.

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 (376,843)
Citation 1

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17.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 01 Mar 2021
Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim and Xiaoyan Zhang
Brinson Partners, Columbia Business School - Finance and Economics, Brinson Partners and Tsinghua University - PBC School of Finance
Downloads 65 (410,073)

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18.

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
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 64 (413,354)
Citation 9

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19.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000 Last Revised: 09 Jun 2021
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 62 (419,999)
Citation 5

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20.

Risk, Uncertainty and Exchange Rates

NBER Working Paper No. w2429
Number of pages: 61 Posted: 06 Apr 2007 Last Revised: 21 Feb 2021
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 61 (423,408)
Citation 2

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21.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 12 Oct 2010
Robert J. Hodrick, David T. Ng and Paul Sengmueller
Columbia Business School - Finance and Economics, Johnson College of Business and Tilburg University
Downloads 61 (423,408)

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22.

An Investigation of Risk and Return in Forward Foreign Exchange

NBER Working Paper No. w1180
Number of pages: 55 Posted: 15 Mar 2004 Last Revised: 25 Mar 2021
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 54 (448,621)
Citation 2

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23.

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates

NBER Working Paper No. w1749
Number of pages: 37 Posted: 06 Jul 2004 Last Revised: 14 Apr 2021
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 52 (456,124)
Citation 1

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24.

Foreign Currency Futures

NBER Working Paper No. w1743
Number of pages: 51 Posted: 03 May 2004
Robert J. Hodrick and Sanjay Srivastava
Columbia Business School - Finance and Economics and Georgia State University-Robinson College of Business
Downloads 50 (464,034)
Citation 1

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25.

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 (467,979)
Citation 6

Abstract:

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26.

Asset Price Volatility, Bubbles, and Process Switching

NBER Working Paper No. w1867
Number of pages: 26 Posted: 04 Apr 2004 Last Revised: 10 Aug 2010
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 45 (484,593)
Citation 1

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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
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 36 (538,181)

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

Posted: 15 Sep 1999
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

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28.

The Variability of Velocity in Cash-in-Advance Models

NBER Working Paper No. w2891
Number of pages: 49 Posted: 16 Jul 2004 Last Revised: 28 May 2021
Robert J. Hodrick, Narayana Kocherlakota and Deborah J. Lucas
Columbia Business School - Finance and Economics, University of Minnesota - Twin Cities - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 35 (531,135)

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"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
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago
Downloads 34 (549,216)
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
Geert Bekaert, Robert J. Hodrick and David A. Marshall
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Federal Reserve Bank of Chicago

Abstract:

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30.

Estimating the Conditional CAPM with Overlapping Data Inference

Netspar Discussion Paper No. 02/2013-031
Number of pages: 96 Posted: 19 Oct 2013
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) - W.P. Carey School of Business and Columbia Business School - Finance and Economics
Downloads 33 (541,531)
Citation 1

Abstract:

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31.

Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?

Number of pages: 39 Posted: 06 Dec 2001
Robert J. Hodrick and Maria Vassalou
Columbia Business School - Finance and Economics and Centre for Economic Policy Research (CEPR)
Downloads 30 (557,743)
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Exchange rates, interest rates, bond returns, multi-country models

32.

Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates

NBER Working Paper No. w1603
Number of pages: 39 Posted: 28 Jun 2004
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 27 (575,503)

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33.

Money and the Open Economy Business Cycle: a Flexible Price Model

NBER Working Paper No. w1967
Number of pages: 49 Posted: 19 Jun 2004 Last Revised: 19 May 2021
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 26 (581,775)

Abstract:

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34.

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

NBER Working Paper No. w20245
Number of pages: 58 Posted: 23 Jun 2014 Last Revised: 26 Apr 2021
Esben Hedegaard and Robert J. Hodrick
AQR Capital Management, LLC and Columbia Business School - Finance and Economics
Downloads 21 (614,675)

Abstract:

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35.

Testable Implications of Indeterminacies in Models with Rational Expectations

NBER Working Paper No. w2903
Number of pages: 33 Posted: 04 Jul 2004 Last Revised: 09 Jun 2021
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 21 (614,675)

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36.

Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle

NBER Working Paper No. w1089
Number of pages: 64 Posted: 19 Jun 2004 Last Revised: 25 Jun 2010
Robert P. Flood and Robert J. Hodrick
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Downloads 16 (649,381)

Abstract:

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37.

Estimating the Risk-Return Trade-Off with Overlapping Data Inference

NBER Working Paper No. w19969
Number of pages: 41 Posted: 19 Mar 2014
Esben Hedegaard and Robert J. Hodrick
Arizona State University (ASU) and Columbia Business School - Finance and Economics
Downloads 13 (671,531)
Citation 2

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38.

U.S. International Capital Flows: Perspectives from Rational Maximizing Models

NBER Working Paper No. w2729
Number of pages: 57 Posted: 18 Dec 2010
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 8 (709,501)

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39.

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications

NBER Working Paper No. w25092
Number of pages: 45 Posted: 01 Oct 2018
Robert J. Hodrick and Tuomas Tomunen
Columbia Business School - Finance and Economics and Boston College - Department of Finance
Downloads 7 (717,230)
Citation 1

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40.

An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data

NBER Working Paper No. w26750
Number of pages: 51 Posted: 18 Feb 2020 Last Revised: 03 Feb 2021
Robert J. Hodrick
Columbia Business School - Finance and Economics
Downloads 4 (740,773)
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41.

Post-War U.S. Business Cycles: An Empirical Investigation

JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4 (February 1997)
Posted: 04 May 2000
Robert J. Hodrick and Edward C. Prescott
Columbia Business School - Finance and Economics and Arizona State University (ASU) - Economics Department

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