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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 2017-10-06. Update your information in the RePEc Author Service.

Short-id: pho115


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Working Papers

2014

  1. Estimating the Risk-Return Trade-off with Overlapping Data Inference
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Banking & Finance (2016)
  2. Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  3. The Carry Trade: Risks and Drawdowns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2010

  1. Aggregate Idiosyncratic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (4)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)

2008

  1. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article in Journal of Financial Economics (2009)
  2. International stock return comovements
    Working Paper Series, European Central Bank Downloads View citations (22)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) Downloads View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (6)

    See also Journal Article in Journal of Finance (2009)

2004

  1. The Cross-Section of Volatility and Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2006)

2002

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

2001

  1. 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 Downloads

2000

  1. Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?
    Working Papers, Columbia - Graduate School of Business
  2. Evaluating the Specification Errors of Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2001)
  3. Expectations Hypotheses Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (59)

1999

  1. An International Dynamic Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in International Tax and Public Finance (1999)

1997

  1. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) Downloads View citations (36)

    See also Journal Article in Journal of Monetary Economics (2001)
  2. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (55)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (8)

    See also Journal Article in Journal of Monetary Economics (1997)

1996

  1. 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 Downloads View citations (8)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (34)

    See also Journal Article in Journal of Financial Economics (1997)

1992

  1. Financial Market Efficiency Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)

1991

  1. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (173)
    See also Journal Article in Journal of Finance (1992)
  2. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  3. On Biases in the Measurement of Foreign Exchange Risk Premiums
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (1993)

1989

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

1988

  1. U.S. International Capital Flows: Perspectives From Rational Maximizing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1989)

1987

  1. Risk, Uncertainty and Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (69)
    See also Journal Article in Journal of Monetary Economics (1989)

1986

  1. An Evaluation of Recent Evidence on Stock Market Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  2. Asset Price Volatility, Bubbles, and Process Switching
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Journal of Finance (1986)
  3. Money and the Open Economy Business Cycle: A Flexible Price Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1985

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

1983

  1. An Investigation of Risk and Return in Forward Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (1984)
  2. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in The Quarterly Journal of Economics (1985)

1981

  1. Post-War U.S. Business Cycles: An Empirical Investigation
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (248)
    See also Journal Article in Journal of Money, Credit and Banking (1997)

Journal Articles

2016

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

2012

  1. Aggregate Idiosyncratic Volatility
    Journal of Financial and Quantitative Analysis, 2012, 47, (06), 1155-1185 Downloads View citations (27)
    See also Working Paper (2010)

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 (165)
    See also Working Paper (2008)
  2. International Stock Return Comovements
    Journal of Finance, 2009, 64, (6), 2591-2626 Downloads View citations (123)
    See also Working Paper (2008)

2006

  1. The Cross-Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 Downloads View citations (508)
    See also Working Paper (2004)

2002

  1. Comment on:: Time varying liquidity in foreign exchange
    Journal of Monetary Economics, 2002, 49, (5), 1053-1055 Downloads
  2. 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 Downloads View citations (15)

2001

  1. Evaluating the specification errors of asset pricing models
    Journal of Financial Economics, 2001, 62, (2), 327-376 Downloads View citations (60)
    See also Working Paper (2000)
  2. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 Downloads View citations (105)
    See also Working Paper (1997)

1999

  1. An International Dynamic Asset Pricing Model
    International Tax and Public Finance, 1999, 6, (4), 597-620 Downloads View citations (10)
    See also Working Paper (1999)

1997

  1. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 Downloads View citations (141)
    See also Working Paper (1996)
  2. Postwar U.S. Business Cycles: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (1), 1-16 View citations (1081)
    See also Working Paper (1981)
  3. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 Downloads View citations (76)
    See also Working Paper (1997)

1993

  1. On biases in the measurement of foreign exchange risk premiums
    Journal of International Money and Finance, 1993, 12, (2), 115-138 Downloads View citations (119)
    See also Working Paper (1991)

1992

  1. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    Journal of Finance, 1992, 47, (2), 467-509 Downloads View citations (229)
    See also Working Paper (1991)
  2. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
    Review of Financial Studies, 1992, 5, (3), 357-86 Downloads View citations (417)

1991

  1. The Variability of Velocity in Cash-in-Advance Models
    Journal of Political Economy, 1991, 99, (2), 358-84 Downloads View citations (71)
    See also Working Paper (1989)

1990

  1. On Testing for Speculative Bubbles
    Journal of Economic Perspectives, 1990, 4, (2), 85-101 Downloads View citations (126)
  2. Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?
    American Economic Review, 1990, 80, (2), 186-91 Downloads View citations (4)

1989

  1. Risk, uncertainty, and exchange rates
    Journal of Monetary Economics, 1989, 23, (3), 433-459 Downloads View citations (90)
    See also Working Paper (1987)
  2. U.S. International capital flows: Perspectives from rational maximizing models
    Carnegie-Rochester Conference Series on Public Policy, 1989, 30, (1), 231-288 Downloads View citations (8)
    See also Working Paper (1988)

1987

  1. Foreign currency futures
    Journal of International Economics, 1987, 22, (1-2), 1-24 Downloads View citations (17)
    See also Working Paper (1985)

1986

  1. Asset Price Volatility, Bubbles, and Process Switching
    Journal of Finance, 1986, 41, (4), 831-42 Downloads View citations (32)
    See also Working Paper (1986)
  2. Real aspects of exchange rate regime choice with collapsing fixed rates
    Journal of International Economics, 1986, 21, (3-4), 215-232 Downloads View citations (22)
    See also Working Paper (1985)
  3. The covariation of risk premiums and expected future spot exchange rates
    Journal of International Money and Finance, 1986, 5, (1, Supplement), S5-S21 Downloads View citations (56)
    See also Working Paper (1985)

1985

  1. Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
    The Quarterly Journal of Economics, 1985, 100, (Supplement), 887-914 Downloads View citations (6)
    See also Working Paper (1983)

1984

  1. An investigation of risk and return in forward foreign exchange
    Journal of International Money and Finance, 1984, 3, (1), 5-29 Downloads View citations (82)
    See also Working Paper (1983)
  2. Exchange Rate and Price Dynamics with Asymmetric Information
    International Economic Review, 1984, 25, (3), 513-26 Downloads

1982

  1. 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 Downloads
  2. On the effects of macroeconomic policy in a maximizing model of a small open economy
    Journal of Macroeconomics, 1982, 4, (2), 195-213 Downloads View citations (4)
  3. Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics
    Canadian Journal of Economics, 1982, 15, (1), 143-64 Downloads View citations (1)
  4. The dynamic adjustment path for perfectly foreseen changes in monetary policy
    Journal of Monetary Economics, 1982, 9, (2), 185-201 Downloads View citations (2)

1981

  1. International asset pricing with time-varying risk premia
    Journal of International Economics, 1981, 11, (4), 573-587 Downloads View citations (22)

1980

  1. Dynamic effects of government policies in an open economy
    Journal of Monetary Economics, 1980, 6, (2), 213-239 Downloads View citations (4)
  2. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 Downloads View citations (549)

1979

  1. On the monetary analysis of exchange rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1979, 11, (1), 103-121 Downloads View citations (2)

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 Downloads View citations (98)

Software Items

 
Page updated 2017-10-16