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Details about Andrew Ang

E-mail:
Homepage:http://www.columbia.edu/~aa610
Workplace:Finance and Economics Department, Graduate School of Business, Columbia University, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Andrew Ang.

Last updated 2014-10-18. Update your information in the RePEc Author Service.

Short-id: pan374


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Working Papers

2013

  1. Advance Refundings of Municipal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Asset Pricing in the Dark: The Cross Section of OTC Stocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Review of Financial Studies (2013)
  3. Liability Investment with Downside Risk
    NBER Working Papers, National Bureau of Economic Research, Inc
  4. Portfolio Choice with Illiquid Assets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  5. Search for a Common Factor in Public and Private Real Estate Returns
    NBER Working Papers, National Bureau of Economic Research, Inc
  6. The Joint Cross Section of Stocks and Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2014)

2012

  1. Inflation and Individual Equities
    Economics Papers from University Paris Dauphine, Paris Dauphine University Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (1)

2011

  1. Hedge Fund Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Journal of Financial Economics (2011)
  2. Regime Changes and Financial Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (9)

    See also Journal Article in Annual Review of Financial Economics (2012)
  3. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in Journal of Monetary Economics (2013)
  4. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (7)

    See also Journal Article in Journal of Financial Economics (2012)

2010

  1. Build America Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Financial Management (2010)

2009

  1. Monetary Policy Shifts and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    See also Journal Article in Review of Economic Studies (2011)

2008

  1. Do Funds-of-Funds Deserve Their Fees-on-Fees?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in Journal of Financial Economics (2009)
  3. Taxes on Tax-Exempt Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Finance (2010)

2007

  1. No-Arbitrage Taylor Rules
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (42)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (22)

    See also Journal Article in Proceedings (2005)
  2. Risk, Return and Dividends
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005) Downloads

    See also Journal Article in Journal of Financial Economics (2007)
  3. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (34)

    See also Journal Article in Journal of Finance (2008)

2006

  1. Do macro variables, asset markets, or surveys forecast inflation better?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (14)

    See also Journal Article in Journal of Monetary Economics (2007)
  2. Is IPO Underperformance a Peso Problem?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)

2005

  1. CAPM Over the Long Run: 1926-2001
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Journal of Empirical Finance (2007)
  2. Downside Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Review of Financial Studies (2006)

2004

  1. The Cross-Section of Volatility and Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Finance (2006)
  2. What Does the Yield Curve Tell us about GDP Growth?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Do Demographic Changes Affect Risk Premiums? Evidence from International Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (6)

    See also Journal Article in The Journal of Business (2005)
  2. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
  3. How to Discount Cashflows with Time-Varying Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Finance (2004)

2001

  1. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (121)
    See also Journal Article in Journal of Monetary Economics (2003)
  2. Downside Risk and the Momentum Effect
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
  3. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (160)

2000

  1. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Journal Article in Journal of Financial Economics (2005)

1999

  1. International Asset Allocation with Time-Varying Correlations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)

1998

  1. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (42)
    See also Journal Article in Journal of Business & Economic Statistics (2002)

Journal Articles

2014

  1. The Joint Cross Section of Stocks and Options
    Journal of Finance, 2014, 69, (5), 2279-2337 Downloads
    See also Working Paper (2013)

2013

  1. Asset Pricing in the Dark: The Cross-Section of OTC Stocks
    Review of Financial Studies, 2013, 26, (12), 2985-3028 Downloads
    See also Working Paper (2013)
  2. Systemic sovereign credit risk: Lessons from the U.S. and Europe
    Journal of Monetary Economics, 2013, 60, (5), 493-510 Downloads View citations (8)
    See also Working Paper (2011)

2012

  1. Regime Changes and Financial Markets
    Annual Review of Financial Economics, 2012, 4, (1), 313-337 Downloads View citations (4)
    See also Working Paper (2011)
  2. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 Downloads View citations (11)
    See also Working Paper (2011)

2011

  1. Hedge fund leverage
    Journal of Financial Economics, 2011, 102, (1), 102-126 Downloads View citations (11)
    See also Working Paper (2011)
  2. Monetary Policy Shifts and the Term Structure
    Review of Economic Studies, 2011, 78, (2), 429-457 Downloads View citations (21)
    See also Working Paper (2009)
  3. The Efficient Market Theory and Evidence: Implications for Active Investment Management
    Foundations and Trends(R) in Finance, 2011, 5, (3), 157-242 Downloads

2010

  1. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    Financial Management, 2010, 39, (3), 1069-1096 Downloads View citations (3)
    See also Working Paper (2010)
  2. Taxes on Tax-Exempt Bonds
    Journal of Finance, 2010, 65, (2), 565-601 Downloads View citations (6)
    See also Working Paper (2008)

2009

  1. High idiosyncratic volatility and low returns: International and further U.S. evidence
    Journal of Financial Economics, 2009, 91, (1), 1-23 Downloads View citations (79)
    See also Working Paper (2008)

2008

  1. The Term Structure of Real Rates and Expected Inflation
    Journal of Finance, 2008, 63, (2), 797-849 Downloads View citations (63)
    Also in Proceedings, 2004, (Mar) (2004) Downloads View citations (46)

    See also Working Paper (2007)

2007

  1. CAPM over the long run: 1926-2001
    Journal of Empirical Finance, 2007, 14, (1), 1-40 Downloads View citations (35)
    See also Working Paper (2005)
  2. Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics, 2007, 54, (4), 1163-1212 Downloads View citations (130)
    See also Working Paper (2006)
  3. Is Ipo Underperformance a Peso Problem?
    Journal of Financial and Quantitative Analysis, 2007, 42, (03), 565-594 Downloads View citations (4)
    See also Working Paper (2006)
  4. Risk, return, and dividends
    Journal of Financial Economics, 2007, 85, (1), 1-38 Downloads View citations (8)
    See also Working Paper (2007)

2006

  1. Downside Risk
    Review of Financial Studies, 2006, 19, (4), 1191-1239 Downloads View citations (65)
    Also in Proceedings, 2005 (2005) Downloads View citations (1)

    See also Working Paper (2005)
  2. The Cross-Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 Downloads View citations (271)
    See also Working Paper (2004)
  3. What does the yield curve tell us about GDP growth?
    Journal of Econometrics, 2006, 131, (1-2), 359-403 Downloads View citations (162)
    Also in Proceedings, 2003, (Mar) (2003) Downloads View citations (61)

    See also Working Paper (2004)

2005

  1. Do Demographic Changes Affect Risk Premiums? Evidence from International Data
    The Journal of Business, 2005, 78, (1), 341-380 Downloads View citations (14)
    See also Working Paper (2003)
  2. No-arbitrage Taylor rules
    Proceedings, 2005 Downloads View citations (114)
    See also Working Paper (2007)
  3. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 Downloads View citations (39)
    See also Working Paper (2000)

2004

  1. How to Discount Cashflows with Time-Varying Expected Returns
    Journal of Finance, 2004, 59, (6), 2745-2783 Downloads View citations (18)
    See also Working Paper (2003)

2003

  1. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
    Journal of Monetary Economics, 2003, 50, (4), 745-787 Downloads View citations (383)
    See also Working Paper (2001)

2002

  1. Asymmetric correlations of equity portfolios
    Journal of Financial Economics, 2002, 63, (3), 443-494 Downloads View citations (240)
  2. International Asset Allocation With Regime Shifts
    Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (332)
  3. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (257)
    See also Working Paper (1998)
  4. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 Downloads View citations (63)

Books

2014

  1. Asset Management: A Systematic Approach to Factor Investing
    OUP Catalogue, Oxford University Press
 
Page updated 2014-11-27