Details about Robert A. Connolly

Access statistics for papers by Robert A. Connolly.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pco795

Working Papers

2000

1. Evidence on the Economics of Equity Return Volatility Clustering
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1999

2. Cointegration Modeling of Expected Exchange Rates
   Computing in Economics and Finance 1999, Society for Computational Economics
3. Long Memory Characteristics of the Distribution of Treasury Security Yields, Returns, and Volatility
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (7)

Journal Articles

2022

1. Beta and size equity premia following a high‐VIX threshold
   Journal of Futures Markets, 2022, 42, (8), 1491-1517 View citations (1)
2. Do real estate values boost corporate borrowing? Evidence from contract-level data
   Journal of Financial Economics, 2022, 144, (2), 611-644 View citations (5)
3. What happens during flight to safety: Evidence from public and private real estate markets
   Real Estate Economics, 2022, 50, (1), 147-172

2021

4. Economic-State Variation in Uncertainty-Yield Dynamics
   (Do macro variables, asset markets, or surveys forecast inflation better?)
   The Review of Asset Pricing Studies, 2021, 11, (1), 60-104 View citations (2)

2018

5. Macroeconomic uncertainty and the distant forward-rate slope
   Journal of Empirical Finance, 2018, 48, (C), 140-161 View citations (8)
6. The Dynamics of REIT Pricing Efficiency
   Real Estate Economics, 2018, 46, (1), 251-283 View citations (9)

2015

7. Equity volatility as a determinant of future term-structure volatility
   Journal of Financial Markets, 2015, 25, (C), 33-51 View citations (6)

2014

8. The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics
   Journal of Financial and Quantitative Analysis, 2014, 49, (3), 699-724 View citations (26)

2012

9. Tournament Selection Efficiency: An Analysis of the PGA TOUR's FedExCup
   Journal of Quantitative Analysis in Sports, 2012, 8, (4), 33 View citations (2)
10. What It Takes to Win on the PGA TOUR (If Your Name Is “Tiger” or If It Isn't)
    Interfaces, 2012, 42, (6), 554-576 View citations (2)

2011

11. Going for the Green: A Simulation Study of Qualifying Success Probabilities in Professional Golf
    Journal of Quantitative Analysis in Sports, 2011, 7, (4), 50

2010

12. Regime‐switching in stock index and Treasury futures returns and measures of stock market stress
    Journal of Futures Markets, 2010, 30, (8), 753-779 View citations (15)

2009

13. Dominance, Intimidation, and 'Choking' on the PGA Tour
    Journal of Quantitative Analysis in Sports, 2009, 5, (3), 34

2008

14. Skill, Luck, and Streaky Play on the PGA Tour
    Journal of the American Statistical Association, 2008, 103, 74-88 View citations (8)

2007

15. Commonality in the time-variation of stock-stock and stock-bond return comovements
    Journal of Financial Markets, 2007, 10, (2), 192-218 View citations (91)
16. Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 689-702 View citations (8)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2‐3), 689-702 (2007) View citations (1)

2006

17. Information content and other characteristics of the daily cross-sectional dispersion in stock returns
    Journal of Empirical Finance, 2006, 13, (1), 79-112 View citations (17)

2005

18. MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS
    Journal of Financial Research, 2005, 28, (2), 235-259 View citations (9)
19. Stock Market Uncertainty and the Stock-Bond Return Relation
    Journal of Financial and Quantitative Analysis, 2005, 40, (1), 161-194 View citations (321)

2003

20. International equity market comovements: Economic fundamentals or contagion?
    Pacific-Basin Finance Journal, 2003, 11, (1), 23-43 View citations (94)
21. Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion
    Journal of Finance, 2003, 58, (4), 1521-1556 View citations (58)

1993

22. THE NATURE AND CAUSES OF FOREIGN CURRENCY EXPOSURE
    Journal of Applied Corporate Finance, 1993, 6, (3), 61-72 View citations (18)

1991

23. A posterior odds analysis of the weekend effect
    Journal of Econometrics, 1991, 49, (1-2), 51-104 View citations (24)

1990

24. Firm size and R&D effectiveness: A value-based test
    Economics Letters, 1990, 32, (3), 289-294 View citations (3)

1989

25. An Examination of the Robustness of the Weekend Effect
    Journal of Financial and Quantitative Analysis, 1989, 24, (2), 133-169 View citations (142)
26. Financial Market Effects on Aggregate Money Demand: A Bayesian Analysis
    Journal of Money, Credit and Banking, 1989, 21, (2), 158-75 View citations (7)

1988

27. Concentration and profits: A test of the accounting bias hypothesis
    Journal of Accounting and Public Policy, 1988, 7, (4), 313-334
28. Market value and patents: A Bayesian approach
    Economics Letters, 1988, 27, (1), 83-87 View citations (26)

1987

29. Do Unions Capture Monopoly Profits?
    ILR Review, 1987, 41, (1), 118-136 View citations (17)

1986

30. Union Rent Seeking, Intangible Capital, and Market Value of the Firm
    The Review of Economics and Statistics, 1986, 68, (4), 567-77 View citations (102)

1985

31. A note on the statistical properties of aggregate q measures
    Economics Letters, 1985, 19, (2), 177-181
32. The intertemporal behavior of economic profits
    International Journal of Industrial Organization, 1985, 3, (4), 379-400 View citations (6)

1984

33. R&D, Market Structure, and Profits: A Value-Based Approach
    The Review of Economics and Statistics, 1984, 66, (4), 682-86 View citations (22)