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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 2021-03-15. Update your information in the RePEc Author Service.

Short-id: pan374


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Working Papers

2021

  1. Portfolio Performance Attribution via Shapley Value
    Papers, arXiv.org Downloads View citations (5)
  2. Tax-Aware Portfolio Construction via Convex Optimization
    Papers, arXiv.org Downloads View citations (1)

2013

  1. Advance Refundings of Municipal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article Advance Refundings of Municipal Bonds, Journal of Finance, American Finance Association (2017) Downloads View citations (8) (2017)
  2. Asset Pricing in the Dark: The Cross Section of OTC Stocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)
    See also Journal Article Asset Pricing in the Dark: The Cross-Section of OTC Stocks, The Review of Financial Studies, Society for Financial Studies (2013) Downloads View citations (37) (2013)
  3. Liability Investment with Downside Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
  4. Portfolio Choice with Illiquid Assets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article Portfolio Choice with Illiquid Assets, Management Science, INFORMS (2014) Downloads View citations (34) (2014)
  5. Search for a Common Factor in Public and Private Real Estate Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
  6. The Joint Cross Section of Stocks and Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article The Joint Cross Section of Stocks and Options, Journal of Finance, American Finance Association (2014) Downloads View citations (117) (2014)

2012

  1. Inflation and Individual Equities
    Post-Print, HAL Downloads View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (16)

2011

  1. Hedge Fund Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (113)
    See also Journal Article Hedge fund leverage, Journal of Financial Economics, Elsevier (2011) Downloads View citations (112) (2011)
  2. Regime Changes and Financial Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (52)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (50)

    See also Journal Article Regime Changes and Financial Markets, Annual Review of Financial Economics, Annual Reviews (2012) Downloads View citations (133) (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 (49)
    See also Journal Article Systemic sovereign credit risk: Lessons from the U.S. and Europe, Journal of Monetary Economics, Elsevier (2013) Downloads View citations (220) (2013)
  4. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (14)

    See also Journal Article Testing conditional factor models, Journal of Financial Economics, Elsevier (2012) Downloads View citations (68) (2012)

2010

  1. Build America Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article Locked Up by a Lockup: Valuing Liquidity as a Real Option, Financial Management, Financial Management Association International (2010) Downloads View citations (15) (2010)

2009

  1. Monetary Policy Shifts and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (40)
    See also Journal Article Monetary Policy Shifts and the Term Structure, The Review of Economic Studies, Review of Economic Studies Ltd (2011) Downloads View citations (79) (2011)

2008

  1. Do Funds-of-Funds Deserve Their Fees-on-Fees?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
  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 (23)
    See also Journal Article High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics, Elsevier (2009) Downloads View citations (460) (2009)
  3. Taxes on Tax-Exempt Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article Taxes on Tax‐Exempt Bonds, Journal of Finance, American Finance Association (2010) Downloads View citations (23) (2010)

2007

  1. No-Arbitrage Taylor Rules
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (82)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (54)

    See also Journal Article No-arbitrage Taylor rules, Proceedings, Federal Reserve Bank of San Francisco (2005) Downloads View citations (142) (2005)
  2. Risk, Return and Dividends
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    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 Risk, return, and dividends, Journal of Financial Economics, Elsevier (2007) Downloads View citations (18) (2007)
  3. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (34)

    See also Journal Article The Term Structure of Real Rates and Expected Inflation, Journal of Finance, American Finance Association (2008) Downloads View citations (235) (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 (43)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (30)

    See also Journal Article Do macro variables, asset markets, or surveys forecast inflation better?, Journal of Monetary Economics, Elsevier (2007) Downloads View citations (592) (2007)
  2. Is IPO Underperformance a Peso Problem?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Is Ipo Underperformance a Peso Problem?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) Downloads View citations (12) (2007)

2005

  1. CAPM Over the Long Run: 1926-2001
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article CAPM over the long run: 1926-2001, Journal of Empirical Finance, Elsevier (2007) Downloads View citations (123) (2007)
  2. Downside Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article Downside Risk, The Review of Financial Studies, Society for Financial Studies (2006) Downloads View citations (133) (2006)

2004

  1. The Cross-Section of Volatility and Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article The Cross‐Section of Volatility and Expected Returns, Journal of Finance, American Finance Association (2006) Downloads View citations (1262) (2006)
  2. What Does the Yield Curve Tell us about GDP Growth?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    See also Journal Article What does the yield curve tell us about GDP growth?, Journal of Econometrics, Elsevier (2006) Downloads View citations (408) (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 (20)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (14)

    See also Journal Article Do Demographic Changes Affect Risk Premiums? Evidence from International Data, The Journal of Business, University of Chicago Press (2005) Downloads View citations (45) (2005)
  2. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
  3. How to Discount Cashflows with Time-Varying Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

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 (123)
    See also Journal Article A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics, Elsevier (2003) Downloads View citations (1022) (2003)
  2. Downside Risk and the Momentum Effect
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
  3. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (183)
    See also Journal Article Stock Return Predictability: Is it There?, The Review of Financial Studies, Society for Financial Studies (2007) Downloads View citations (564) (2007)

2000

  1. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    See also Journal Article Why stocks may disappoint, Journal of Financial Economics, Elsevier (2005) Downloads View citations (115) (2005)

1999

  1. International Asset Allocation with Time-Varying Correlations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (64)

1998

  1. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (81)
    See also Journal Article Regime Switches in Interest Rates, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (485) (2002)

Journal Articles

2020

  1. Using Stocks or Portfolios in Tests of Factor Models
    Journal of Financial and Quantitative Analysis, 2020, 55, (3), 709-750 Downloads View citations (21)

2018

  1. Estimating Private Equity Returns from Limited Partner Cash Flows
    Journal of Finance, 2018, 73, (4), 1751-1783 Downloads View citations (28)
  2. Factor risk premiums and invested capital: calculations with stochastic discount factors
    Journal of Asset Management, 2018, 19, (3), 145-155 Downloads
  3. Investment beliefs of endowments
    European Financial Management, 2018, 24, (1), 3-33 Downloads View citations (6)

2017

  1. Advance Refundings of Municipal Bonds
    Journal of Finance, 2017, 72, (4), 1645-1682 Downloads View citations (8)
    See also Working Paper Advance Refundings of Municipal Bonds, NBER Working Papers (2013) Downloads View citations (2) (2013)

2014

  1. Portfolio Choice with Illiquid Assets
    Management Science, 2014, 60, (11), 2737-2761 Downloads View citations (34)
    See also Working Paper Portfolio Choice with Illiquid Assets, NBER Working Papers (2013) Downloads View citations (17) (2013)
  2. The Joint Cross Section of Stocks and Options
    Journal of Finance, 2014, 69, (5), 2279-2337 Downloads View citations (117)
    See also Working Paper The Joint Cross Section of Stocks and Options, NBER Working Papers (2013) Downloads View citations (3) (2013)

2013

  1. Asset Pricing in the Dark: The Cross-Section of OTC Stocks
    The Review of Financial Studies, 2013, 26, (12), 2985-3028 Downloads View citations (37)
    See also Working Paper Asset Pricing in the Dark: The Cross Section of OTC Stocks, NBER Working Papers (2013) Downloads View citations (38) (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 (220)
    See also Working Paper Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe, NBER Working Papers (2011) Downloads View citations (49) (2011)

2012

  1. Regime Changes and Financial Markets
    Annual Review of Financial Economics, 2012, 4, (1), 313-337 Downloads View citations (133)
    See also Working Paper Regime Changes and Financial Markets, NBER Working Papers (2011) Downloads View citations (52) (2011)
  2. Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches
    Quarterly Journal of Finance (QJF), 2012, 02, (03), 1-27 Downloads View citations (7)
  3. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 Downloads View citations (68)
    See also Working Paper Testing Conditional Factor Models, NBER Working Papers (2011) Downloads View citations (16) (2011)

2011

  1. Hedge fund leverage
    Journal of Financial Economics, 2011, 102, (1), 102-126 Downloads View citations (112)
    See also Working Paper Hedge Fund Leverage, NBER Working Papers (2011) Downloads View citations (113) (2011)
  2. Monetary Policy Shifts and the Term Structure
    The Review of Economic Studies, 2011, 78, (2), 429-457 Downloads View citations (79)
    See also Working Paper Monetary Policy Shifts and the Term Structure, NBER Working Papers (2009) Downloads View citations (40) (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 View citations (3)

2010

  1. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    Financial Management, 2010, 39, (3), 1069-1096 Downloads View citations (15)
    See also Working Paper Locked Up by a Lockup: Valuing Liquidity as a Real Option, NBER Working Papers (2010) Downloads View citations (14) (2010)
  2. Taxes on Tax‐Exempt Bonds
    Journal of Finance, 2010, 65, (2), 565-601 Downloads View citations (23)
    See also Working Paper Taxes on Tax-Exempt Bonds, NBER Working Papers (2008) Downloads View citations (4) (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 (460)
    See also Working Paper High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, NBER Working Papers (2008) Downloads View citations (23) (2008)

2008

  1. The Term Structure of Real Rates and Expected Inflation
    Journal of Finance, 2008, 63, (2), 797-849 Downloads View citations (235)
    Also in Proceedings, 2004, (Mar) (2004) Downloads View citations (51)

    See also Working Paper The Term Structure of Real Rates and Expected Inflation, NBER Working Papers (2007) Downloads View citations (30) (2007)

2007

  1. CAPM over the long run: 1926-2001
    Journal of Empirical Finance, 2007, 14, (1), 1-40 Downloads View citations (123)
    See also Working Paper CAPM Over the Long Run: 1926-2001, NBER Working Papers (2005) Downloads View citations (16) (2005)
  2. Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics, 2007, 54, (4), 1163-1212 Downloads View citations (592)
    See also Working Paper Do macro variables, asset markets, or surveys forecast inflation better?, Finance and Economics Discussion Series (2006) Downloads View citations (43) (2006)
  3. Is Ipo Underperformance a Peso Problem?
    Journal of Financial and Quantitative Analysis, 2007, 42, (3), 565-594 Downloads View citations (12)
    See also Working Paper Is IPO Underperformance a Peso Problem?, NBER Working Papers (2006) Downloads (2006)
  4. Risk, return, and dividends
    Journal of Financial Economics, 2007, 85, (1), 1-38 Downloads View citations (18)
    See also Working Paper Risk, Return and Dividends, NBER Working Papers (2007) Downloads View citations (18) (2007)
  5. Stock Return Predictability: Is it There?
    The Review of Financial Studies, 2007, 20, (3), 651-707 Downloads View citations (564)
    See also Working Paper Stock Return Predictability: Is it There?, NBER Working Papers (2001) Downloads View citations (183) (2001)

2006

  1. Downside Risk
    The Review of Financial Studies, 2006, 19, (4), 1191-1239 Downloads View citations (133)
    Also in Proceedings, 2005 (2005) Downloads View citations (1)

    See also Working Paper Downside Risk, NBER Working Papers (2005) Downloads View citations (9) (2005)
  2. The Cross‐Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 Downloads View citations (1262)
    See also Working Paper The Cross-Section of Volatility and Expected Returns, NBER Working Papers (2004) Downloads View citations (15) (2004)
  3. What does the yield curve tell us about GDP growth?
    Journal of Econometrics, 2006, 131, (1-2), 359-403 Downloads View citations (408)
    Also in Proceedings, 2003, (Mar) (2003) Downloads View citations (61)

    See also Working Paper What Does the Yield Curve Tell us about GDP Growth?, NBER Working Papers (2004) Downloads View citations (28) (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 (45)
    See also Working Paper Do Demographic Changes Affect Risk Premiums? Evidence from International Data, NBER Working Papers (2003) Downloads View citations (20) (2003)
  2. No-arbitrage Taylor rules
    Proceedings, 2005 Downloads View citations (142)
    See also Working Paper No-Arbitrage Taylor Rules, NBER Working Papers (2007) Downloads View citations (82) (2007)
  3. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 Downloads View citations (115)
    See also Working Paper Why Stocks May Disappoint, NBER Working Papers (2000) Downloads View citations (21) (2000)

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 (1022)
    See also Working Paper A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables, NBER Working Papers (2001) Downloads View citations (123) (2001)

2002

  1. Asymmetric correlations of equity portfolios
    Journal of Financial Economics, 2002, 63, (3), 443-494 Downloads View citations (653)
  2. International Asset Allocation With Regime Shifts
    The Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (805)
  3. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (485)
    See also Working Paper Regime Switches in Interest Rates, NBER Working Papers (1998) Downloads View citations (81) (1998)
  4. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 Downloads View citations (96)

1997

  1. Interest Rate Risk Management
    North American Actuarial Journal, 1997, 1, (2), 1-26 Downloads View citations (2)

Books

2014

  1. Asset Management: A Systematic Approach to Factor Investing
    OUP Catalogue, Oxford University Press View citations (90)
 
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