Details about Robert James Hodrick

E-mail:
Homepage:	http://www.columbia.edu/~rh169
Workplace:	Finance & Economics Department, Graduate School of Business, Columbia University, (more information at EDIRC)

Access statistics for papers by Robert James Hodrick.

Last updated 2008-01-14. Update your information in the RePEc Author Service.

Short-id: pho115

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Working Papers

2008

1. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc

2006

2. International Stock Return Comovements
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in
   NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations

2004

3. The Cross-Section of Volatility and Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Finance (2006)

2002

4. Pricing the Global Industry Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2001

5. Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2000

6. Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?
   Working Papers, Columbia - Graduate School of Business
7. Evaluating the Specification Errors of Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Financial Economics (2001)
8. Expectations Hypotheses Tests
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

1999

9. An International Dynamic Asset Pricing Model
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in International Tax and Public Finance (1999)

1997

10. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations
    See Also Journal Article in Journal of Monetary Economics (2001)

1996

11. On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations
    See Also Journal Article in Journal of Financial Economics (1997)

1994

12. The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994)
    See Also Journal Article in Journal of Monetary Economics (1997)

1992

13. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (1992)
14. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1991

15. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
16. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of International Money and Finance (1993)

1989

17. Risk, Uncertainty and Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Monetary Economics (1989)
18. Testable Implications of Indeterminacies in Models with Rational Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
19. The Variability of Velocity in Cash-In-Advance Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Political Economy (1991)
20. U.S. International Capital Flows: Perspectives From Rational Maximizing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1989)

1987

21. Asset Price Volatility, Bubbles, and Process Switching
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (1986)

1986

22. An Evaluation of Recent Evidence on Stock Market Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
23. Money and the Open Economy Business Cycle: A Flexible Price Model
    NBER Working Papers, National Bureau of Economic Research, Inc
24. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in The Quarterly Journal of Economics (1985)
25. The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of International Money and Finance (1986)

1985

26. Foreign Currency Futures
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Journal of International Economics (1987)
27. Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of International Economics (1986)

1983

28. An Investigation of Risk and Return in Forward Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of International Money and Finance (1984)

1981

29. Post-War U.S. Business Cycles: An Empirical Investigation
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations
    See Also Journal Article in Journal of Money, Credit and Banking (1997)

Journal Articles

2006

1. The Cross-Section of Volatility and Expected Returns
   Journal of Finance, 2006, 61, (1), 259-299 View citations
   See Also Working Paper (2004)

2002

2. Comment on:: Time varying liquidity in foreign exchange
   Journal of Monetary Economics, 2002, 49, (5), 1053-1055
3. Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
   Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1275-1299 View citations

2001

4. Evaluating the specification errors of asset pricing models
   Journal of Financial Economics, 2001, 62, (2), 327-376 View citations
   See Also Working Paper (2000)
5. Peso problem explanations for term structure anomalies
   Journal of Monetary Economics, 2001, 48, (2), 241-270 View citations
   See Also Working Paper (1997)

1999

6. An International Dynamic Asset Pricing Model
   International Tax and Public Finance, 1999, 6, (4), 597-620 View citations
   See Also Working Paper (1999)

1997

7. On biases in tests of the expectations hypothesis of the term structure of interest rates
   Journal of Financial Economics, 1997, 44, (3), 309-348 View citations
   See Also Working Paper (1996)
8. Postwar U.S. Business Cycles: An Empirical Investigation
   Journal of Money, Credit and Banking, 1997, 29, (1), 1-16 View citations
   See Also Working Paper (1981)
9. The implications of first-order risk aversion for asset market risk premiums
   Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations
   See Also Working Paper (1994)

1993

10. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 View citations
    See Also Working Paper (1991)

1992

11. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 View citations
    See Also Working Paper (1992)
12. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
    Review of Financial Studies, 1992, 5, (3), 357-86 View citations

1991

13. The Variability of Velocity in Cash-in-Advance Models
    Journal of Political Economy, 1991, 99, (2), 358-84 View citations
    See Also Working Paper (1989)

1990

14. On Testing for Speculative Bubbles
    Journal of Economic Perspectives, 1990, 4, (2), 85-101 View citations
15. Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?
    American Economic Review, 1990, 80, (2), 186-91 View citations

1989

16. Risk, uncertainty, and exchange rates
    Journal of Monetary Economics, 1989, 23, (3), 433-459 View citations
    See Also Working Paper (1989)
17. U.S. International capital flows: Perspectives from rational maximizing models
    Carnegie-Rochester Conference Series on Public Policy, 1989, 30, 231-288
    See Also Working Paper (1989)

1987

18. Foreign currency futures
    Journal of International Economics, 1987, 22, (1-2), 1-24 View citations
    See Also Working Paper (1985)

1986

19. Asset Price Volatility, Bubbles, and Process Switching
    Journal of Finance, 1986, 41, (4), 831-42 View citations
    See Also Working Paper (1987)
20. Real aspects of exchange rate regime choice with collapsing fixed rates
    Journal of International Economics, 1986, 21, (3-4), 215-232 View citations
    See Also Working Paper (1985)
21. The covariation of risk premiums and expected future spot exchange rates
    Journal of International Money and Finance, 1986, 5, (1), S5-S21 View citations
    See Also Working Paper (1986)

1985

22. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    The Quarterly Journal of Economics, 1985, 100, (5), 887-914 View citations
    See Also Working Paper (1986)

1984

23. An investigation of risk and return in forward foreign exchange
    Journal of International Money and Finance, 1984, 3, (1), 5-29 View citations
    See Also Working Paper (1983)
24. Exchange Rate and Price Dynamics with Asymmetric Information
    International Economic Review, 1984, 25, (3), 513-26

1982

25. Monetary accomodation and the variability of output, prices, and exchange rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 16, 87-92
26. Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics
    Canadian Journal of Economics, 1982, 15, (1), 143-64
27. The dynamic adjustment path for perfectly foreseen changes in monetary policy
    Journal of Monetary Economics, 1982, 9, (2), 185-201 View citations

1981

28. International asset pricing with time-varying risk premia
    Journal of International Economics, 1981, 11, (4), 573-587 View citations

1980

29. Dynamic effects of government policies in an open economy
    Journal of Monetary Economics, 1980, 6, (2), 213-239 View citations
30. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 View citations

1979

31. On the monetary analysis of exchange rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1979, 11, 103-121