Details about Rui Albuquerque

Access statistics for papers by Rui Albuquerque.

Last updated 2023-05-04. Update your information in the RePEc Author Service.

Short-id: pal94

Working Papers

2015

1. Long-run Bulls and Bears
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)

2012

2. The Value of Control and the Costs of Illiquidity
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Valuation Risk and Asset Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

2011

4. Trade Credit and International Return Comovement
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2010

5. Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   See also Journal Article Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns, The Review of Financial Studies, Society for Financial Studies (2012) View citations (49) (2012)

2009

6. Quantifying private benefits of control from a structural model of block trades
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
   See also Journal Article Quantifying private benefits of control from a structural model of block trades, Journal of Financial Economics, Elsevier (2010) View citations (41) (2010)
7. Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2008

8. Advance Information and Asset Prices
   2008 Meeting Papers, Society for Economic Dynamics View citations (3)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (3)
9. DETERMINANTS OF THE BLOCK PREMIUM AND OF PRIVATE BENEFITS OF CONTROL
   2008 Meeting Papers, Society for Economic Dynamics
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008)

2007

10. Agency Conflicts, Investment, and Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (15)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (2)
    See also Journal Article Agency Conflicts, Investment, and Asset Pricing, Journal of Finance, American Finance Association (2008) View citations (79) (2008)

2006

11. Asymmetric Information in the Stock Market: Economic News and Co-movement
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
12. CEO Power, Compensation and Governance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006)
13. Global Private Information in International Equity Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    See also Journal Article Global private information in international equity markets, Journal of Financial Economics, Elsevier (2009) View citations (89) (2009)
14. Marketwide Private Information in Stocks: Forecasting Currency Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    See also Journal Article Marketwide Private Information in Stocks: Forecasting Currency Returns, Journal of Finance, American Finance Association (2008) View citations (30) (2008)

2005

15. International Equity Flows and Returns: A Quantitative Equilibrium Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in International Finance, University Library of Munich, Germany (2005) View citations (43)
    International Finance, University Library of Munich, Germany (2004) View citations (7)
    Staff Working Papers, Bank of Canada (2004) View citations (5)

2004

16. Characterizing Asymmetric Information in International Equity Markets
    International Finance, University Library of Munich, Germany View citations (11)
17. Investor Protection and Exchange Rates
    2004 Meeting Papers, Society for Economic Dynamics View citations (2)
18. Optimal Currency Hedging
    Finance, University Library of Munich, Germany View citations (6)
    See also Journal Article Optimal currency hedging, Global Finance Journal, Elsevier (2007) View citations (5) (2007)
19. The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment
    International Finance, University Library of Munich, Germany View citations (13)
    See also Journal Article The composition of international capital flows: risk sharing through foreign direct investment, Journal of International Economics, Elsevier (2003) View citations (195) (2003)
20. The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence
    International Finance, University Library of Munich, Germany

2003

21. World market integration through the lens of foreign direct investors
    Policy Research Working Paper Series, The World Bank View citations (21)
    See also Journal Article World market integration through the lens of foreign direct investors, Journal of International Economics, Elsevier (2005) View citations (117) (2005)

2002

22. Optimal Lending Contracts and Firm Dynamics
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (29)

1998

23. On the Dynamics of Trade Reform
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article On the dynamics of trade reform, Journal of International Economics, Elsevier (2000) View citations (17) (2000)

1997

24. Optimal Dynamic Lending Contracts with Imperfect Enforceability
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (36)

Journal Articles

2012

1. Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns
   The Review of Financial Studies, 2012, 25, (5), 1630-1673 View citations (49)
   See also Working Paper Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns, CEPR Discussion Papers (2010) View citations (6) (2010)

2010

2. Comment on: "Optimal taxation in the presence of bailouts"
   Journal of Monetary Economics, 2010, 57, (1), 117-119
3. Quantifying private benefits of control from a structural model of block trades
   Journal of Financial Economics, 2010, 96, (1), 33-55 View citations (41)
   See also Working Paper Quantifying private benefits of control from a structural model of block trades, CEPR Discussion Papers (2009) View citations (5) (2009)

2009

4. Economic News and International Stock Market Co-movement
   Review of Finance, 2009, 13, (3), 401-465 View citations (22)
5. Global private information in international equity markets
   Journal of Financial Economics, 2009, 94, (1), 18-46 View citations (89)
   See also Working Paper Global Private Information in International Equity Markets, CEPR Discussion Papers (2006) View citations (17) (2006)

2008

6. Agency Conflicts, Investment, and Asset Pricing
   Journal of Finance, 2008, 63, (1), 1-40 View citations (79)
   See also Working Paper Agency Conflicts, Investment, and Asset Pricing, NBER Working Papers (2007) View citations (1) (2007)
7. Marketwide Private Information in Stocks: Forecasting Currency Returns
   Journal of Finance, 2008, 63, (5), 2297-2343 View citations (30)
   See also Working Paper Marketwide Private Information in Stocks: Forecasting Currency Returns, CEPR Discussion Papers (2006) View citations (6) (2006)
8. The forward premium puzzle in a model of imperfect information
   Economics Letters, 2008, 99, (3), 461-464 View citations (2)

2007

9. Optimal currency hedging
   Global Finance Journal, 2007, 18, (1), 16-33 View citations (5)
   See also Working Paper Optimal Currency Hedging, Finance (2004) View citations (6) (2004)

2005

10. World market integration through the lens of foreign direct investors
    Journal of International Economics, 2005, 66, (2), 267-295 View citations (117)
    See also Working Paper World market integration through the lens of foreign direct investors, Policy Research Working Paper Series (2003) View citations (21) (2003)

2003

11. The composition of international capital flows: risk sharing through foreign direct investment
    Journal of International Economics, 2003, 61, (2), 353-383 View citations (195)
    See also Working Paper The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment, International Finance (2004) View citations (13) (2004)

2000

12. On the dynamics of trade reform
    Journal of International Economics, 2000, 51, (1), 21-47 View citations (17)
    See also Working Paper On the Dynamics of Trade Reform, NBER Working Papers (1998) View citations (9) (1998)