Details about Robert James Hodrick

E-mail:
Homepage:	http://www.columbia.edu/~rh169
Workplace:	Finance and Economics Department, Graduate School of Business, Columbia University, (more information at EDIRC)

Access statistics for papers by Robert James Hodrick.

Last updated 2021-06-09. Update your information in the RePEc Author Service.

Short-id: pho115

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Working Papers

2020

1. An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)

2018

2. Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article in Critical Finance Review (2021)

2014

3. Estimating the Risk-Return Trade-off with Overlapping Data Inference
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Journal of Banking & Finance (2016)
4. Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
5. The Carry Trade: Risks and Drawdowns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Journal Article in Critical Finance Review (2017)

2010

6. Aggregate Idiosyncratic Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (13)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2012)

2008

7. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
   See also Journal Article in Journal of Financial Economics (2009)
8. International stock return comovements
   Working Paper Series, European Central Bank View citations (24)
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) View citations (21)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (6)
   NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (22)
   See also Journal Article in Journal of Finance (2009)

2004

9. The Cross-Section of Volatility and Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
   See also Journal Article in Journal of Finance (2006)

2002

10. Pricing the Global Industry Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

2001

11. Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2000

12. Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?
    Working Papers, Columbia - Graduate School of Business
13. Evaluating the Specification Errors of Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Financial Economics (2001)
14. Expectations Hypotheses Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
    See also Journal Article in Journal of Finance (2001)

1999

15. An International Dynamic Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article in International Tax and Public Finance (1999)

1997

16. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations (38)
    See also Journal Article in Journal of Monetary Economics (2001)
17. The implications of first-order risk aversion for asset market risk premiums
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (66)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (5)
    Discussion Paper, Tilburg University, Center for Economic Research (1997) View citations (79)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (9)
    See also Journal Article in Journal of Monetary Economics (1997)

1996

18. On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (14)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (35)
    See also Journal Article in Journal of Financial Economics (1997)

1992

19. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)

1991

20. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (171)
    See also Journal Article in Journal of Finance (1992)
21. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (10)
22. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in Journal of International Money and Finance (1993)

1989

23. Testable Implications of Indeterminacies in Models with Rational Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
24. The Variability of Velocity in Cash-In-Advance Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Political Economy (1991)

1988

25. U.S. International Capital Flows: Perspectives From Rational Maximizing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1989)

1987

26. Risk, Uncertainty and Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (70)
    See also Journal Article in Journal of Monetary Economics (1989)

1986

27. An Evaluation of Recent Evidence on Stock Market Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
28. Asset Price Volatility, Bubbles, and Process Switching
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    See also Journal Article in Journal of Finance (1986)
29. Money and the Open Economy Business Cycle: A Flexible Price Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

1985

30. Foreign Currency Futures
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Journal of International Economics (1987)
31. Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Journal of International Economics (1986)
32. The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article in Journal of International Money and Finance (1986)

1983

33. An Investigation of Risk and Return in Forward Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Journal of International Money and Finance (1984)
34. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in The Quarterly Journal of Economics (1985)

1981

35. Post-War U.S. Business Cycles: An Empirical Investigation
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (270)
    See also Journal Article in Journal of Money, Credit and Banking (1997)

Journal Articles

2021

1. Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
   Critical Finance Review, 2021, 10, (1), 83-123
   See also Working Paper (2018)

2017

2. The Carry Trade: Risks and Drawdowns
   Critical Finance Review, 2017, 6, (2), 211-262 View citations (28)
   See also Working Paper (2014)

2016

3. Estimating the risk-return trade-off with overlapping data inference
   Journal of Banking & Finance, 2016, 67, (C), 135-145 View citations (5)
   See also Working Paper (2014)

2012

4. Aggregate Idiosyncratic Volatility
   Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (66)
   See also Working Paper (2010)

2009

5. High idiosyncratic volatility and low returns: International and further U.S. evidence
   Journal of Financial Economics, 2009, 91, (1), 1-23 View citations (416)
   See also Working Paper (2008)
6. International Stock Return Comovements
   Journal of Finance, 2009, 64, (6), 2591-2626 View citations (271)
   See also Working Paper (2008)

2006

7. The Cross‐Section of Volatility and Expected Returns
   Journal of Finance, 2006, 61, (1), 259-299 View citations (1157)
   See also Working Paper (2004)

2002

8. Comment on:: Time varying liquidity in foreign exchange
   Journal of Monetary Economics, 2002, 49, (5), 1053-1055
9. Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
   Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1275-1299 View citations (22)

2001

10. Evaluating the specification errors of asset pricing models
    Journal of Financial Economics, 2001, 62, (2), 327-376 View citations (86)
    See also Working Paper (2000)
11. Expectations Hypotheses Tests
    Journal of Finance, 2001, 56, (4), 1357-1394 View citations (165)
    See also Working Paper (2000)
12. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 View citations (128)
    See also Working Paper (1997)

1999

13. An International Dynamic Asset Pricing Model
    International Tax and Public Finance, 1999, 6, (4), 597-620 View citations (18)
    See also Working Paper (1999)

1997

14. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 View citations (189)
    See also Working Paper (1996)
15. Postwar U.S. Business Cycles: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (1), 1-16 View citations (1766)
    See also Working Paper (1981)
16. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations (87)
    See also Working Paper (1997)

1993

17. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 View citations (156)
    See also Working Paper (1991)

1992

18. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 View citations (282)
    See also Working Paper (1991)
19. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
    Review of Financial Studies, 1992, 5, (3), 357-86 View citations (680)

1991

20. The Variability of Velocity in Cash-in-Advance Models
    Journal of Political Economy, 1991, 99, (2), 358-84 View citations (84)
    See also Working Paper (1989)

1990

21. On Testing for Speculative Bubbles
    Journal of Economic Perspectives, 1990, 4, (2), 85-101 View citations (167)
22. Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?
    American Economic Review, 1990, 80, (2), 186-91 View citations (7)

1989

23. Risk, uncertainty, and exchange rates
    Journal of Monetary Economics, 1989, 23, (3), 433-459 View citations (110)
    See also Working Paper (1987)
24. U.S. International capital flows: Perspectives from rational maximizing models
    Carnegie-Rochester Conference Series on Public Policy, 1989, 30, (1), 231-288 View citations (14)
    See also Working Paper (1988)

1987

25. Foreign currency futures
    Journal of International Economics, 1987, 22, (1-2), 1-24 View citations (28)
    See also Working Paper (1985)

1986

26. Asset Price Volatility, Bubbles, and Process Switching
    Journal of Finance, 1986, 41, (4), 831-42 View citations (44)
    See also Working Paper (1986)
27. Real aspects of exchange rate regime choice with collapsing fixed rates
    Journal of International Economics, 1986, 21, (3-4), 215-232 View citations (32)
    See also Working Paper (1985)
28. The covariation of risk premiums and expected future spot exchange rates
    Journal of International Money and Finance, 1986, 5, (1, Supplement), S5-S21 View citations (76)
    See also Working Paper (1985)

1985

29. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    The Quarterly Journal of Economics, 1985, 100, (Supplement), 887-914 View citations (7)
    See also Working Paper (1983)

1984

30. An investigation of risk and return in forward foreign exchange
    Journal of International Money and Finance, 1984, 3, (1), 5-29 View citations (118)
    See also Working Paper (1983)
31. Exchange Rate and Price Dynamics with Asymmetric Information
    International Economic Review, 1984, 25, (3), 513-26

1982

32. Monetary accomodation and the variability of output, prices, and exchange rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 16, (1), 87-92
33. On the effects of macroeconomic policy in a maximizing model of a small open economy
    Journal of Macroeconomics, 1982, 4, (2), 195-213 View citations (5)
34. Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics
    Canadian Journal of Economics, 1982, 15, (1), 143-64 View citations (2)
35. The dynamic adjustment path for perfectly foreseen changes in monetary policy
    Journal of Monetary Economics, 1982, 9, (2), 185-201 View citations (3)

1981

36. International asset pricing with time-varying risk premia
    Journal of International Economics, 1981, 11, (4), 573-587 View citations (31)

1980

37. Dynamic effects of government policies in an open economy
    Journal of Monetary Economics, 1980, 6, (2), 213-239 View citations (5)
38. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 View citations (819)

1979

39. On the monetary analysis of exchange rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1979, 11, (1), 103-121 View citations (4)

Books

2018

1. International Financial Management
   Cambridge Books, Cambridge University Press View citations (9)

Chapters

1983

1. Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
   A chapter in Exchange Rates and International Macroeconomics, 1983, pp 113-152 View citations (132)

Software Items