Details about Andrew Ang

Access statistics for papers by Andrew Ang.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pan374

Working Papers

2021

1. Portfolio Performance Attribution via Shapley Value
   Papers, arXiv.org View citations (6)
2. Tax-Aware Portfolio Construction via Convex Optimization
   Papers, arXiv.org View citations (1)

2013

3. Advance Refundings of Municipal Bonds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Advance Refundings of Municipal Bonds, Journal of Finance, American Finance Association (2017) View citations (10) (2017)
4. Asset Pricing in the Dark: The Cross Section of OTC Stocks
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
   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) View citations (39) (2013)
5. Liability Investment with Downside Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
6. Portfolio Choice with Illiquid Assets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   See also Journal Article Portfolio Choice with Illiquid Assets, Management Science, INFORMS (2014) View citations (38) (2014)
7. Search for a Common Factor in Public and Private Real Estate Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
8. The Joint Cross Section of Stocks and Options
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article The Joint Cross Section of Stocks and Options, Journal of Finance, American Finance Association (2014) View citations (127) (2014)

2012

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

2011

10. Hedge Fund Leverage
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (118)
    See also Journal Article Hedge fund leverage, Journal of Financial Economics, Elsevier (2011) View citations (112) (2011)
11. Regime Changes and Financial Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (51)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (53)
    See also Journal Article Regime Changes and Financial Markets, Annual Review of Financial Economics, Annual Reviews (2012) View citations (153) (2012)
12. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article Systemic sovereign credit risk: Lessons from the U.S. and Europe, Journal of Monetary Economics, Elsevier (2013) View citations (237) (2013)
13. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (14)
    See also Journal Article Testing conditional factor models, Journal of Financial Economics, Elsevier (2012) View citations (77) (2012)

2010

14. Build America Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
15. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    See also Journal Article Locked Up by a Lockup: Valuing Liquidity as a Real Option, Financial Management, Financial Management Association International (2010) View citations (16) (2010)

2009

16. Monetary Policy Shifts and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    See also Journal Article Monetary Policy Shifts and the Term Structure, The Review of Economic Studies, Review of Economic Studies Ltd (2011) View citations (80) (2011)

2008

17. Do Funds-of-Funds Deserve Their Fees-on-Fees?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
18. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (493) (2009)
19. Taxes on Tax-Exempt Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Taxes on Tax‐Exempt Bonds, Journal of Finance, American Finance Association (2010) View citations (24) (2010)

2007

20. No-Arbitrage Taylor Rules
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (81)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (54)
    See also Journal Article No-arbitrage Taylor rules, Proceedings, Federal Reserve Bank of San Francisco (2005) View citations (149) (2005)
21. Risk, Return and Dividends
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005)
    See also Journal Article Risk, return, and dividends, Journal of Financial Economics, Elsevier (2007) View citations (18) (2007)
22. The Term Structure of Real Rates and Expected Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (34)
    See also Journal Article The Term Structure of Real Rates and Expected Inflation, Journal of Finance, American Finance Association (2008) View citations (247) (2008)

2006

23. 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.) View citations (43)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (30)
    See also Journal Article Do macro variables, asset markets, or surveys forecast inflation better?, Journal of Monetary Economics, Elsevier (2007) View citations (629) (2007)
24. Is IPO Underperformance a Peso Problem?
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Is Ipo Underperformance a Peso Problem?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) View citations (12) (2007)

2005

25. CAPM Over the Long Run: 1926-2001
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article CAPM over the long run: 1926-2001, Journal of Empirical Finance, Elsevier (2007) View citations (127) (2007)
26. Downside Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article Downside Risk, The Review of Financial Studies, Society for Financial Studies (2006) View citations (133) (2006)

2004

27. The Cross-Section of Volatility and Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    See also Journal Article The Cross‐Section of Volatility and Expected Returns, Journal of Finance, American Finance Association (2006) View citations (1355) (2006)
28. What Does the Yield Curve Tell us about GDP Growth?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    See also Journal Article What does the yield curve tell us about GDP growth?, Journal of Econometrics, Elsevier (2006) View citations (427) (2006)

2003

29. Do Demographic Changes Affect Risk Premiums? Evidence from International Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in Working Paper Series, European Central Bank (2003) View citations (13)
    See also Journal Article Do Demographic Changes Affect Risk Premiums? Evidence from International Data, The Journal of Business, University of Chicago Press (2005) View citations (45) (2005)
30. How do Regimes Affect Asset Allocation?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
31. How to Discount Cashflows with Time-Varying Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2001

32. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (124)
    See also Journal Article A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics, Elsevier (2003) View citations (1067) (2003)
33. Downside Risk and the Momentum Effect
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
34. Stock Return Predictability: Is it There?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (182)
    See also Journal Article Stock Return Predictability: Is it There?, The Review of Financial Studies, Society for Financial Studies (2007) View citations (612) (2007)

2000

35. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article Why stocks may disappoint, Journal of Financial Economics, Elsevier (2005) View citations (122) (2005)

1999

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

1998

37. Regime Switches in Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (80)
    See also Journal Article Regime Switches in Interest Rates, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (494) (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 View citations (36)

2018

2. Estimating Private Equity Returns from Limited Partner Cash Flows
   Journal of Finance, 2018, 73, (4), 1751-1783 View citations (34)
3. Factor risk premiums and invested capital: calculations with stochastic discount factors
   Journal of Asset Management, 2018, 19, (3), 145-155 View citations (1)
4. Investment beliefs of endowments
   European Financial Management, 2018, 24, (1), 3-33 View citations (7)

2017

5. Advance Refundings of Municipal Bonds
   Journal of Finance, 2017, 72, (4), 1645-1682 View citations (10)
   See also Working Paper Advance Refundings of Municipal Bonds, NBER Working Papers (2013) View citations (2) (2013)

2014

6. Portfolio Choice with Illiquid Assets
   Management Science, 2014, 60, (11), 2737-2761 View citations (38)
   See also Working Paper Portfolio Choice with Illiquid Assets, NBER Working Papers (2013) View citations (16) (2013)
7. The Joint Cross Section of Stocks and Options
   Journal of Finance, 2014, 69, (5), 2279-2337 View citations (127)
   See also Working Paper The Joint Cross Section of Stocks and Options, NBER Working Papers (2013) View citations (3) (2013)

2013

8. Asset Pricing in the Dark: The Cross-Section of OTC Stocks
   The Review of Financial Studies, 2013, 26, (12), 2985-3028 View citations (39)
   See also Working Paper Asset Pricing in the Dark: The Cross Section of OTC Stocks, NBER Working Papers (2013) View citations (40) (2013)
9. Systemic sovereign credit risk: Lessons from the U.S. and Europe
   Journal of Monetary Economics, 2013, 60, (5), 493-510 View citations (237)
   See also Working Paper Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe, NBER Working Papers (2011) View citations (50) (2011)

2012

10. Regime Changes and Financial Markets
    Annual Review of Financial Economics, 2012, 4, (1), 313-337 View citations (153)
    See also Working Paper Regime Changes and Financial Markets, CEPR Discussion Papers (2011) View citations (51) (2011)
11. Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches
    Quarterly Journal of Finance (QJF), 2012, 02, (03), 1-27 View citations (8)
12. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 View citations (77)
    See also Working Paper Testing Conditional Factor Models, NBER Working Papers (2011) View citations (17) (2011)

2011

13. Hedge fund leverage
    Journal of Financial Economics, 2011, 102, (1), 102-126 View citations (112)
    See also Working Paper Hedge Fund Leverage, NBER Working Papers (2011) View citations (118) (2011)
14. Monetary Policy Shifts and the Term Structure
    The Review of Economic Studies, 2011, 78, (2), 429-457 View citations (80)
    See also Working Paper Monetary Policy Shifts and the Term Structure, NBER Working Papers (2009) View citations (39) (2009)
15. The Efficient Market Theory and Evidence: Implications for Active Investment Management
    Foundations and Trends(R) in Finance, 2011, 5, (3), 157-242 View citations (3)

2010

16. Locked Up by a Lockup: Valuing Liquidity as a Real Option
    Financial Management, 2010, 39, (3), 1069-1096 View citations (16)
    See also Working Paper Locked Up by a Lockup: Valuing Liquidity as a Real Option, NBER Working Papers (2010) View citations (15) (2010)
17. Taxes on Tax‐Exempt Bonds
    Journal of Finance, 2010, 65, (2), 565-601 View citations (24)
    See also Working Paper Taxes on Tax-Exempt Bonds, NBER Working Papers (2008) View citations (4) (2008)

2009

18. High idiosyncratic volatility and low returns: International and further U.S. evidence
    Journal of Financial Economics, 2009, 91, (1), 1-23 View citations (493)
    See also Working Paper High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, NBER Working Papers (2008) View citations (23) (2008)

2008

19. The Term Structure of Real Rates and Expected Inflation
    Journal of Finance, 2008, 63, (2), 797-849 View citations (247)
    Also in Proceedings, 2004, (Mar) (2004) View citations (48)
    See also Working Paper The Term Structure of Real Rates and Expected Inflation, NBER Working Papers (2007) View citations (30) (2007)

2007

20. CAPM over the long run: 1926-2001
    Journal of Empirical Finance, 2007, 14, (1), 1-40 View citations (127)
    See also Working Paper CAPM Over the Long Run: 1926-2001, NBER Working Papers (2005) View citations (16) (2005)
21. Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics, 2007, 54, (4), 1163-1212 View citations (629)
    See also Working Paper Do macro variables, asset markets, or surveys forecast inflation better?, Finance and Economics Discussion Series (2006) View citations (43) (2006)
22. Is Ipo Underperformance a Peso Problem?
    Journal of Financial and Quantitative Analysis, 2007, 42, (3), 565-594 View citations (12)
    See also Working Paper Is IPO Underperformance a Peso Problem?, NBER Working Papers (2006) (2006)
23. Risk, return, and dividends
    Journal of Financial Economics, 2007, 85, (1), 1-38 View citations (18)
    See also Working Paper Risk, Return and Dividends, NBER Working Papers (2007) View citations (18) (2007)
24. Stock Return Predictability: Is it There?
    The Review of Financial Studies, 2007, 20, (3), 651-707 View citations (612)
    See also Working Paper Stock Return Predictability: Is it There?, NBER Working Papers (2001) View citations (182) (2001)

2006

25. Downside Risk
    The Review of Financial Studies, 2006, 19, (4), 1191-1239 View citations (133)
    Also in Proceedings, 2005 (2005) View citations (1)
    See also Working Paper Downside Risk, NBER Working Papers (2005) View citations (9) (2005)
26. The Cross‐Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 View citations (1355)
    See also Working Paper The Cross-Section of Volatility and Expected Returns, NBER Working Papers (2004) View citations (15) (2004)
27. What does the yield curve tell us about GDP growth?
    Journal of Econometrics, 2006, 131, (1-2), 359-403 View citations (427)
    Also in Proceedings, 2003, (Mar) (2003) View citations (64)
    See also Working Paper What Does the Yield Curve Tell us about GDP Growth?, NBER Working Papers (2004) View citations (28) (2004)

2005

28. Do Demographic Changes Affect Risk Premiums? Evidence from International Data
    The Journal of Business, 2005, 78, (1), 341-380 View citations (45)
    See also Working Paper Do Demographic Changes Affect Risk Premiums? Evidence from International Data, NBER Working Papers (2003) View citations (20) (2003)
29. No-arbitrage Taylor rules
    Proceedings, 2005 View citations (149)
    See also Working Paper No-Arbitrage Taylor Rules, NBER Working Papers (2007) View citations (81) (2007)
30. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 View citations (122)
    See also Working Paper Why Stocks May Disappoint, NBER Working Papers (2000) View citations (21) (2000)

2003

31. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
    Journal of Monetary Economics, 2003, 50, (4), 745-787 View citations (1067)
    See also Working Paper A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables, NBER Working Papers (2001) View citations (124) (2001)

2002

32. Asymmetric correlations of equity portfolios
    Journal of Financial Economics, 2002, 63, (3), 443-494 View citations (685)
33. International Asset Allocation With Regime Shifts
    The Review of Financial Studies, 2002, 15, (4), 1137-1187 View citations (853)
34. Regime Switches in Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 163-82 View citations (494)
    See also Working Paper Regime Switches in Interest Rates, NBER Working Papers (1998) View citations (80) (1998)
35. Short rate nonlinearities and regime switches
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1243-1274 View citations (98)

1997

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

Books

2014

1. Asset Management: A Systematic Approach to Factor Investing
   OUP Catalogue, Oxford University Press View citations (100)