Details about Campbell Harvey

E-mail:
Homepage:	http://www.duke.edu/~charvey
Phone:	9196607768
Postal address:	Fuqua School of Business, 100 Fuqua Drive, Durham, NC 27708-0120 USA
Workplace:	Finance Area, Fuqua School of Business, Duke University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Campbell Harvey.

Last updated 2018-12-09. Update your information in the RePEc Author Service.

Short-id: pha102

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Working Papers

2023

1. An Anatomy of Crypto-Enabled Cybercrimes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2020

2. The Persistence of Miscalibration
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2017

3. Corporate Culture: Evidence from the Field
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)

2016

4. Rethinking Performance Evaluation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

2014

5. ... and the Cross-Section of Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
6. Political Risk Spreads
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (89)
   See also Journal Article Political risk spreads, Journal of International Business Studies, Palgrave Macmillan (2014) View citations (89) (2014)

2013

7. The Golden Dilemma
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)

2011

8. Capital Allocation and Delegation of Decision-Making Authority within Firms
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
   See also Journal Article Capital allocation and delegation of decision-making authority within firms, Journal of Financial Economics, Elsevier (2015) View citations (104) (2015)
9. The European Union, the Euro, and Equity Market Integration
   2011 Meeting Papers, Society for Economic Dynamics View citations (4)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (7)
   See also Journal Article The European Union, the Euro, and equity market integration, Journal of Financial Economics, Elsevier (2013) View citations (76) (2013)

2010

10. A Corporate Beauty Contest
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
11. Liquidity Management and Corporate Investment During a Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)
    See also Journal Article Liquidity Management and Corporate Investment During a Financial Crisis, The Review of Financial Studies, Society for Financial Studies (2011) View citations (248) (2011)
12. Managerial Miscalibration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2010) View citations (20)
13. What Segments Equity Markets?
    NBP Working Papers, Narodowy Bank Polski View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (20)
    See also Journal Article What Segments Equity Markets?, The Review of Financial Studies, Society for Financial Studies (2011) View citations (212) (2011)

2009

14. Financial Openness and Productivity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article Financial Openness and Productivity, World Development, Elsevier (2011) View citations (135) (2011)
15. The Real Effects of Financial Constraints: Evidence from a Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)
    See also Journal Article The real effects of financial constraints: Evidence from a financial crisis, Journal of Financial Economics, Elsevier (2010) View citations (892) (2010)

2007

16. Managerial Overconfidence and Corporate Policies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (106)

2006

17. Liquidity and Expected Returns: Lessons from Emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (12)
    See also Journal Article Liquidity and Expected Returns: Lessons from Emerging Markets, The Review of Financial Studies, Society for Financial Studies (2007) View citations (439) (2007)

2005

18. Investor Competence, Trading Frequency, and Home Bias
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (37)
    See also Journal Article Investor Competence, Trading Frequency, and Home Bias, Management Science, INFORMS (2009) View citations (151) (2009)
19. The Tactical and Strategic Value of Commodity Futures
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

2004

20. Does Financial Liberalization Spur Growth?
    Working Paper Research, National Bank of Belgium View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (186)
    See also Journal Article Does financial liberalization spur growth?, Journal of Financial Economics, Elsevier (2005) View citations (943) (2005)
21. Dynamic Trading Strategies and Portfolio Choice
    SIFR Research Report Series, Institute for Financial Research View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (12)
22. Global Growth Opportunities and Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Global Growth Opportunities and Market Integration, Journal of Finance, American Finance Association (2007) View citations (179) (2007)
23. Growth Volatility and Financial Liberalization
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (61)
24. The Economic Implications of Corporate Financial Reporting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article The economic implications of corporate financial reporting, Journal of Accounting and Economics, Elsevier (2005) View citations (1545) (2005)

2003

25. Market Integration and Contagion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (83)
    See also Journal Article Market Integration and Contagion, The Journal of Business, University of Chicago Press (2005) View citations (530) (2005)
26. Payout Policy in the 21st Century
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (114)
    See also Journal Article Payout policy in the 21st century, Journal of Financial Economics, Elsevier (2005) View citations (708) (2005)

2002

27. What Determines Expected International Asset Returns?
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (38)
    Also in Working Papers, HAL (1994) View citations (13)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (21)
    Working Papers, HAL (1994) View citations (13)
    See also Journal Article What Determines Expected International Asset Returns?, Annals of Economics and Finance, Society for AEF (2002) View citations (43) (2002)

2001

28. Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
29. The Effect of Capital Structure When Expected Agency Costs are Extreme
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article The effect of capital structure when expected agency costs are extreme, Journal of Financial Economics, Elsevier (2004) View citations (163) (2004)

2000

30. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (13)
    See also Journal Article Are correlations of stock returns justified by subsequent changes in national outputs?, Journal of International Money and Finance, Elsevier (2003) View citations (98) (2003)
31. Emerging Equity Markets and Economic Development
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article Emerging equity markets and economic development, Journal of Development Economics, Elsevier (2001) View citations (211) (2001)

1999

32. Conditioning Variables and the Cross-Section of Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (341)
    See also Journal Article Conditioning Variables and the Cross Section of Stock Returns, Journal of Finance, American Finance Association (1999) View citations (346) (1999)
33. Economic, Financial, and Fundamental Global Risk In and Out of the EMU
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
34. The Dynamics of Emerging Market Equity Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article The dynamics of emerging market equity flows, Journal of International Money and Finance, Elsevier (2002) View citations (192) (2002)

1998

35. Capital Flows and the Behavior of Emerging Market Equity Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)
    See also Chapter Capital Flows and the Behavior of Emerging Market Equity Returns, NBER Chapters, National Bureau of Economic Research, Inc (2000) View citations (41) (2000)
36. Dating the Integration of World Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    See also Journal Article Dating the integration of world equity markets, Journal of Financial Economics, Elsevier (2002) View citations (256) (2002)

1997

37. Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs ?
    Working Papers, HAL View citations (2)
38. Foreign Speculators and Emerging Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (1997) View citations (43)
    See also Journal Article Foreign Speculators and Emerging Equity Markets, Journal of Finance, American Finance Association (2000) View citations (944) (2000)

1996

39. Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article Fundamental determinants of national equity market returns: A perspective on conditional asset pricing, Journal of Banking & Finance, Elsevier (1997) View citations (35) (1997)

1995

40. Emerging Equity Market Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (366)
    See also Journal Article Emerging equity market volatility, Journal of Financial Economics, Elsevier (1997) View citations (793) (1997)

1994

41. Conditional Asset Allocation in Emerging Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
42. Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Market timing ability and volatility implied in investment newsletters' asset allocation recommendations, Journal of Financial Economics, Elsevier (1996) View citations (73) (1996)
43. Predictable Risk and Returns in Emerging Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article Predictable Risk and Returns in Emerging Markets, The Review of Financial Studies, Society for Financial Studies (1995) View citations (635) (1995)
44. Sources of Risk and Expected Returns in Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (156)
    See also Journal Article Sources of risk and expected returns in global equity markets, Journal of Banking & Finance, Elsevier (1994) View citations (156) (1994)
45. The Impact of the Federal Reserve Bank's Open Market Operations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article The impact of the Federal Reserve Bank's open market operations, Journal of Financial Markets, Elsevier (2002) View citations (18) (2002)
46. Time-Varying World Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (87)
    See also Journal Article Time-Varying World Market Integration, Journal of Finance, American Finance Association (1995) View citations (1142) (1995)

1993

47. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Chapter An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns, NBER Chapters, National Bureau of Economic Research, Inc (1994) View citations (19) (1994)
48. International asset pricing with alternative distributional specifications
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (57)
    See also Journal Article International asset pricing with alternative distributional specifications, Journal of Empirical Finance, Elsevier (1993) View citations (63) (1993)

Journal Articles

2018

1. Detecting Repeatable Performance
   The Review of Financial Studies, 2018, 31, (7), 2499-2552 View citations (19)
2. The Theory and Practice of Corporate Risk Management: Evidence from the Field
   Financial Management, 2018, 47, (4), 783-832 View citations (16)

2017

3. How to Write an Effective Referee Report and Improve the Scientific Review Process
   Journal of Economic Perspectives, 2017, 31, (1), 231-44 View citations (12)
4. Presidential Address: The Scientific Outlook in Financial Economics
   Journal of Finance, 2017, 72, (4), 1399-1440 View citations (172)
5. The management of political risk
   Journal of International Business Studies, 2017, 48, (4), 523-533 View citations (47)

2016

6. Editor's Choice … and the Cross-Section of Expected Returns
   The Review of Financial Studies, 2016, 29, (1), 5-68 View citations (75)
7. Globalization and Asset Returns
   Annual Review of Financial Economics, 2016, 8, (1), 221-288 View citations (38)
8. Political risk and international valuation
   Journal of Corporate Finance, 2016, 37, (C), 1-23 View citations (41)

2015

9. Capital allocation and delegation of decision-making authority within firms
   Journal of Financial Economics, 2015, 115, (3), 449-470 View citations (104)
   See also Working Paper Capital Allocation and Delegation of Decision-Making Authority within Firms, NBER Working Papers (2011) View citations (19) (2011)

2014

10. Political risk spreads
    Journal of International Business Studies, 2014, 45, (4), 471-493 View citations (89)
    See also Working Paper Political Risk Spreads, NBER Working Papers (2014) View citations (89) (2014)

2013

11. Earnings quality: Evidence from the field
    Journal of Accounting and Economics, 2013, 56, (2), 1-33 View citations (172)
12. Managerial attitudes and corporate actions
    Journal of Financial Economics, 2013, 109, (1), 103-121 View citations (354)
13. The European Union, the Euro, and equity market integration
    Journal of Financial Economics, 2013, 109, (3), 583-603 View citations (76)
    See also Working Paper The European Union, the Euro, and Equity Market Integration, 2011 Meeting Papers (2011) View citations (4) (2011)

2012

14. Report of the Editor of the Journal of Finance for the Year 2011
    Journal of Finance, 2012, 67, (4), 1539-1553 View citations (1)

2011

15. Access to Liquidity and Corporate Investment in Europe during the Financial Crisis
    Review of Finance, 2011, 16, (2), 323-346 View citations (35)
16. Financial Openness and Productivity
    World Development, 2011, 39, (1), 1-19 View citations (135)
    See also Working Paper Financial Openness and Productivity, NBER Working Papers (2009) View citations (16) (2009)
17. Liquidity Management and Corporate Investment During a Financial Crisis
    The Review of Financial Studies, 2011, 24, (6), 1944-1979 View citations (248)
    See also Working Paper Liquidity Management and Corporate Investment During a Financial Crisis, NBER Working Papers (2010) View citations (79) (2010)
18. What Segments Equity Markets?
    The Review of Financial Studies, 2011, 24, (12), 3841-3890 View citations (212)
    See also Working Paper What Segments Equity Markets?, NBP Working Papers (2010) View citations (10) (2010)

2010

19. Portfolio selection with higher moments
    Quantitative Finance, 2010, 10, (5), 469-485 View citations (152)
20. The real effects of financial constraints: Evidence from a financial crisis
    Journal of Financial Economics, 2010, 97, (3), 470-487 View citations (892)
    See also Working Paper The Real Effects of Financial Constraints: Evidence from a Financial Crisis, NBER Working Papers (2009) View citations (51) (2009)

2009

21. Investor Competence, Trading Frequency, and Home Bias
    Management Science, 2009, 55, (7), 1094-1106 View citations (151)
    See also Working Paper Investor Competence, Trading Frequency, and Home Bias, NBER Working Papers (2005) View citations (37) (2005)

2008

22. Managerial Response to the May 2003 Dividend Tax Cut
    Financial Management, 2008, 37, (4), 611-624 View citations (41)
23. The Effect of the May 2003 Dividend Tax Cut on Corporate Dividend Policy: Empirical and Survey Evidence
    National Tax Journal, 2008, 61, (3), 381-96 View citations (4)

2007

24. Global Growth Opportunities and Market Integration
    Journal of Finance, 2007, 62, (3), 1081-1137 View citations (179)
    See also Working Paper Global Growth Opportunities and Market Integration, NBER Working Papers (2004) View citations (6) (2004)
25. Liquidity and Expected Returns: Lessons from Emerging Markets
    The Review of Financial Studies, 2007, 20, (6), 1783-1831 View citations (439)
    See also Working Paper Liquidity and Expected Returns: Lessons from Emerging Markets, CEPR Discussion Papers (2006) View citations (8) (2006)

2005

26. Does financial liberalization spur growth?
    Journal of Financial Economics, 2005, 77, (1), 3-55 View citations (943)
    See also Working Paper Does Financial Liberalization Spur Growth?, Working Paper Research (2004) View citations (36) (2004)
27. Market Integration and Contagion
    The Journal of Business, 2005, 78, (1), 39-70 View citations (530)
    See also Working Paper Market Integration and Contagion, NBER Working Papers (2003) View citations (83) (2003)
28. Payout policy in the 21st century
    Journal of Financial Economics, 2005, 77, (3), 483-527 View citations (708)
    See also Working Paper Payout Policy in the 21st Century, NBER Working Papers (2003) View citations (114) (2003)
29. The economic implications of corporate financial reporting
    Journal of Accounting and Economics, 2005, 40, (1-3), 3-73 View citations (1545)
    See also Working Paper The Economic Implications of Corporate Financial Reporting, NBER Working Papers (2004) View citations (13) (2004)
30. The long-run equity risk premium
    Finance Research Letters, 2005, 2, (4), 185-194 View citations (39)

2004

31. The effect of capital structure when expected agency costs are extreme
    Journal of Financial Economics, 2004, 74, (1), 3-30 View citations (163)
    See also Working Paper The Effect of Capital Structure When Expected Agency Costs are Extreme, NBER Working Papers (2001) View citations (11) (2001)

2003

32. Are correlations of stock returns justified by subsequent changes in national outputs?
    Journal of International Money and Finance, 2003, 22, (6), 777-811 View citations (98)
    See also Working Paper Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?, Working Papers (2000) View citations (13) (2000)
33. Emerging markets finance
    Journal of Empirical Finance, 2003, 10, (1-2), 3-56 View citations (342)
34. Equity Market Liberalization in Emerging Markets
    Journal of Financial Research, 2003, 26, (3), 275-299 View citations (125)
    Also in Review, 2003, 85, (Jul), 53-74 (2003) View citations (114)

2002

35. Dating the integration of world equity markets
    Journal of Financial Economics, 2002, 65, (2), 203-247 View citations (256)
    See also Working Paper Dating the Integration of World Equity Markets, NBER Working Papers (1998) View citations (25) (1998)
36. HOW DO CFOs MAKE CAPITAL BUDGETING AND CAPITAL STRUCTURE DECISIONS?
    Journal of Applied Corporate Finance, 2002, 15, (1), 8-23 View citations (73)
37. Research in emerging markets finance: looking to the future
    Emerging Markets Review, 2002, 3, (4), 429-448 View citations (187)
38. The dynamics of emerging market equity flows
    Journal of International Money and Finance, 2002, 21, (3), 295-350 View citations (192)
    See also Working Paper The Dynamics of Emerging Market Equity Flows, NBER Working Papers (1999) View citations (13) (1999)
39. The impact of the Federal Reserve Bank's open market operations
    Journal of Financial Markets, 2002, 5, (2), 223-257 View citations (18)
    See also Working Paper The Impact of the Federal Reserve Bank's Open Market Operations, NBER Working Papers (1994) View citations (3) (1994)
40. What Determines Expected International Asset Returns?
    Annals of Economics and Finance, 2002, 3, (2), 249-298 View citations (43)
    See also Working Paper What Determines Expected International Asset Returns?, CEMA Working Papers (2002) View citations (38) (2002)

2001

41. Emerging equity markets and economic development
    Journal of Development Economics, 2001, 66, (2), 465-504 View citations (211)
    See also Working Paper Emerging Equity Markets and Economic Development, NBER Working Papers (2000) View citations (34) (2000)
42. The specification of conditional expectations
    Journal of Empirical Finance, 2001, 8, (5), 573-637 View citations (154)
43. The theory and practice of corporate finance: evidence from the field
    Journal of Financial Economics, 2001, 60, (2-3), 187-243 View citations (1624)

2000

44. Conditional Skewness in Asset Pricing Tests
    Journal of Finance, 2000, 55, (3), 1263-1295 View citations (1023)
45. Foreign Speculators and Emerging Equity Markets
    Journal of Finance, 2000, 55, (2), 565-613 View citations (944)
    See also Working Paper Foreign Speculators and Emerging Equity Markets, NBER Working Papers (1997) View citations (25) (1997)

1999

46. Autoregressive Conditional Skewness
    Journal of Financial and Quantitative Analysis, 1999, 34, (4), 465-487 View citations (361)
47. Conditioning Variables and the Cross Section of Stock Returns
    Journal of Finance, 1999, 54, (4), 1325-1360 View citations (346)
    See also Working Paper Conditioning Variables and the Cross-Section of Stock Returns, NBER Working Papers (1999) View citations (341) (1999)

1998

48. Measurement Error and Nonlinearity in the Earnings-Returns Relation
    Review of Quantitative Finance and Accounting, 1998, 11, (3), 219-47 View citations (9)

1997

49. Emerging equity market volatility
    Journal of Financial Economics, 1997, 43, (1), 29-77 View citations (793)
    See also Working Paper Emerging Equity Market Volatility, NBER Working Papers (1995) View citations (366) (1995)
50. Fundamental determinants of national equity market returns: A perspective on conditional asset pricing
    Journal of Banking & Finance, 1997, 21, (11-12), 1625-1665 View citations (35)
    See also Working Paper Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing, NBER Working Papers (1996) View citations (13) (1996)
51. The Relation between the Term Structure of Interest Rates and Canadian Economic Growth
    Canadian Journal of Economics, 1997, 30, (1), 169-93 View citations (46)

1996

52. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations
    Journal of Financial Economics, 1996, 42, (3), 397-421 View citations (73)
    See also Working Paper Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations, NBER Working Papers (1994) View citations (6) (1994)

1995

53. Predictable Risk and Returns in Emerging Markets
    The Review of Financial Studies, 1995, 8, (3), 773-816 View citations (635)
    See also Working Paper Predictable Risk and Returns in Emerging Markets, NBER Working Papers (1994) View citations (20) (1994)
54. The Risk Exposure of Emerging Equity Markets
    The World Bank Economic Review, 1995, 9, (1), 19-50 View citations (92)
55. Time-Varying World Market Integration
    Journal of Finance, 1995, 50, (2), 403-44 View citations (1142)
    See also Working Paper Time-Varying World Market Integration, NBER Working Papers (1994) View citations (87) (1994)

1994

56. Sources of risk and expected returns in global equity markets
    Journal of Banking & Finance, 1994, 18, (4), 775-803 View citations (156)
    See also Working Paper Sources of Risk and Expected Returns in Global Equity Markets, NBER Working Papers (1994) View citations (156) (1994)

1993

57. International asset pricing with alternative distributional specifications
    Journal of Empirical Finance, 1993, 1, (1), 107-131 View citations (63)
    See also Working Paper International asset pricing with alternative distributional specifications, CEMA Working Papers (1993) View citations (57) (1993)
58. Strategic Treasury Debt Management in Public Policy
    Review of Policy Research, 1993, 12, (3‐4), 76-89
59. The Risk and Predictability of International Equity Returns
    The Review of Financial Studies, 1993, 6, (3), 527-66 View citations (450)

1992

60. Dividends and S&P 100 index option valuation
    Journal of Futures Markets, 1992, 12, (2), 123-137 View citations (17)
61. Seasonality and Consumption-Based Asset Pricing
    Journal of Finance, 1992, 47, (2), 511-52 View citations (62)

1991

62. S&P 100 Index Option Volatility
    Journal of Finance, 1991, 46, (4), 1251-61 View citations (33)
63. The Variation of Economic Risk Premiums
    Journal of Political Economy, 1991, 99, (2), 385-415 View citations (715)
64. The World Price of Covariance Risk
    Journal of Finance, 1991, 46, (1), 111-57 View citations (508)
65. Volatility in the Foreign Currency Futures Market
    The Review of Financial Studies, 1991, 4, (3), 543-69 View citations (116)

1990

66. Bayesian inference in asset pricing tests
    Journal of Financial Economics, 1990, 26, (2), 221-254 View citations (46)

1989

67. Time-varying conditional covariances in tests of asset pricing models
    Journal of Financial Economics, 1989, 24, (2), 289-317 View citations (363)

1988

68. The real term structure and consumption growth
    Journal of Financial Economics, 1988, 22, (2), 305-333 View citations (335)

Edited books

2004

1. Emerging Markets
   Books, Edward Elgar Publishing View citations (35)

Chapters

2015

1. The Strategic and Tactical Value of Commodity Futures
   Chapter 6 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 125-178 View citations (1)

2000

2. Capital Flows and the Behavior of Emerging Market Equity Returns
   A chapter in Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, 2000, pp 159-194 View citations (41)
   See also Working Paper Capital Flows and the Behavior of Emerging Market Equity Returns, National Bureau of Economic Research, Inc (1998) View citations (79) (1998)

1994

3. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
   A chapter in The Internationalization of Equity Markets, 1994, pp 59-147 View citations (19)
   See also Working Paper An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns, National Bureau of Economic Research, Inc (1993) View citations (14) (1993)