Andrei Gonçalves

University of North Carolina (UNC) at Chapel Hill - Finance Area

Assistant Professor of Finance

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

SCHOLARLY PAPERS

10

DOWNLOADS

4,004

SSRN CITATIONS

56

CROSSREF CITATIONS

12

Scholarly Papers (10)

1.

Reinvestment Risk and the Equity Term Structure

Fisher College of Business Working Paper No. 2017-03-014, Charles A. Dice Center Working Paper No. 2017-14, Kenan Institute of Private Enterprise Research Paper Forthcoming, Journal of Finance, Forthcoming
Number of pages: 118 Posted: 06 Jun 2017 Last Revised: 02 Dec 2020
Andrei Gonçalves
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 714 (43,086)
Citation 6

Abstract:

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Equity Term Structure, Reinvestment Risk, Intertemporal CAPM

2.

The Short Duration Premium

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 90 Posted: 17 Jun 2019 Last Revised: 02 Dec 2020
Andrei Gonçalves
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 631 (50,678)
Citation 9

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Equity Duration, Term Structure of Risk Premia, Intertemporal CAPM, Reinvestment Risk, Value Premium, Profitability Premium

3.

The Fundamental-to-Market Ratio and the Value Premium Decline

Kenan Institute of Private Enterprise Research Paper
Number of pages: 65 Posted: 13 Apr 2020 Last Revised: 10 May 2021
Andrei Gonçalves and Gregory Leonard
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 603 (53,824)
Citation 1

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Value Premium, Book-to-Market, Valuation Ratios, The Cross Section of Expected Returns

4.
Downloads 449 ( 77,491)

Corporate Deleveraging

Fisher College of Business Working Paper No. 2016-03-021, Charles A. Dice Center Working Paper No. 2016-21
Number of pages: 68 Posted: 04 Nov 2016
Harry DeAngelo, Andrei Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance
Downloads 423 (82,478)

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deleveraging, capital structure, payout policy, cash balances, leverage dynamics, financial flexibility, financial distress

Corporate Deleveraging

NBER Working Paper No. w22828
Number of pages: 68 Posted: 14 Nov 2016 Last Revised: 17 May 2021
Harry DeAngelo, Andrei Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance
Downloads 26 (592,842)

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5.

Corporate Deleveraging and Financial Flexibility

Fisher College of Business Working Paper No. 2017-03-028, Charles A. Dice Working Paper No. 2017-03-028
Number of pages: 73 Posted: 17 Nov 2017
Harry DeAngelo, Andrei Gonçalves and René M. Stulz
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance
Downloads 439 (79,803)
Citation 4

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deleveraging, financial flexibility, capital structure, payout policy, cash balances, leverage dynamics, financial distress

Aggregation, Capital Heterogeneity, and the Investment CAPM

Charles A Dice Center Working Paper No. 2017-19, Fisher College of Business Working Paper No. 2017-03-19
Number of pages: 98 Posted: 03 Oct 2017 Last Revised: 12 Jun 2019
Andrei Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 342 (105,307)
Citation 13

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The Investment Model of Asset Pricing, GMM, Structural Estimation, Anomalies, Joint Estimation

Aggregation, Capital Heterogeneity, and the Investment CAPM

Review of Financial Studies, Forthcoming
Number of pages: 97 Posted: 20 Jun 2019
Andrei Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 68 (401,614)
Citation 1

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The Investment CAPM, GMM, Aggregation, Working Capital, Value, Momentum, Investment, Profitability, Joint Estimation

Does the Investment Model Explain Value and Momentum Simultaneously?

NBER Working Paper No. w23910
Number of pages: 62 Posted: 09 Oct 2017 Last Revised: 02 May 2021
Andrei Gonçalves, Chen Xue and Lu Zhang
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 13 (690,365)

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7.

What Moves Equity Markets? A Term Structure Decomposition for Stock Returns

Kenan Institute of Private Enterprise Research Paper No.20-08
Number of pages: 53 Posted: 16 Aug 2019 Last Revised: 23 Sep 2020
Andrei Gonçalves
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 259 (142,457)

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Equity Volatility, Campbell-Shiller Decomposition, Equity Term Structure, Dividend Strips

8.

Unsmoothing Returns of Illiquid Funds

Kenan Institute of Private Enterprise Research Paper No. 20-05, USC Lusk Center of Real Estate Working Paper Series
Number of pages: 70 Posted: 27 Feb 2020 Last Revised: 27 Nov 2020
Spencer Couts, Andrei Gonçalves and Andrea Rossi
University of Southern California - Sol Price School of Public Policy, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Arizona - Department of Finance
Downloads 215 (171,242)

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Illiquidity, Return Unsmoothing, Performance Evaluation, Hedge Funds, Commercial Real Estate

9.

An Intertemporal Risk Factor Model

Kenan Institute of Private Enterprise Research Paper Forthcoming
Number of pages: 104 Posted: 01 Sep 2020 Last Revised: 02 Nov 2020
Fousseni Chabi-Yo, Andrei Gonçalves and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Notre Dame - Mendoza College of Business
Downloads 164 (217,110)

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ICAPM, Intertemporal Risk, Long-term Investors, Factor Models

10.

The Bond, Equity, and Real Estate Term Structures

Kenan Institute of Private Enterprise Research Paper Forthcoming
Number of pages: 67 Posted: 08 Oct 2020 Last Revised: 13 Oct 2020
Spencer Andrews and Andrei Gonçalves
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 107 (301,549)

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Cash Flow Duration, Risk Premia Term Structure, Bond Term Structure, Equity Term Structure, Real Estate Term Structure