Details about Robert James Hodrick
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
- An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
2018
- 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
- 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)
- Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
- 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
- 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
- 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)
- 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
- 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
- Pricing the Global Industry Portfolios
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
2001
- 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
- Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?
Working Papers, Columbia - Graduate School of Business
- 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)
- 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
- 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
- "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)
- 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
- 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
- Financial Market Efficiency Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
1991
- 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)
- 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)
- 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
- Testable Implications of Indeterminacies in Models with Rational Expectations
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
- 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
- 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
- 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
- An Evaluation of Recent Evidence on Stock Market Bubbles
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
- 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)
- Money and the Open Economy Business Cycle: A Flexible Price Model
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
1985
- 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)
- 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)
- 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
- 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)
- 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
- 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
- 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
- The Carry Trade: Risks and Drawdowns
Critical Finance Review, 2017, 6, (2), 211-262 View citations (28)
See also Working Paper (2014)
2016
- 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
- Aggregate Idiosyncratic Volatility
Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (66)
See also Working Paper (2010)
2009
- 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)
- International Stock Return Comovements
Journal of Finance, 2009, 64, (6), 2591-2626 View citations (271)
See also Working Paper (2008)
2006
- 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
- Comment on:: Time varying liquidity in foreign exchange
Journal of Monetary Economics, 2002, 49, (5), 1053-1055
- 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
- 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)
- Expectations Hypotheses Tests
Journal of Finance, 2001, 56, (4), 1357-1394 View citations (165)
See also Working Paper (2000)
- 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
- 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
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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
- On Testing for Speculative Bubbles
Journal of Economic Perspectives, 1990, 4, (2), 85-101 View citations (167)
- Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?
American Economic Review, 1990, 80, (2), 186-91 View citations (7)
1989
- Risk, uncertainty, and exchange rates
Journal of Monetary Economics, 1989, 23, (3), 433-459 View citations (110)
See also Working Paper (1987)
- 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
- Foreign currency futures
Journal of International Economics, 1987, 22, (1-2), 1-24 View citations (28)
See also Working Paper (1985)
1986
- Asset Price Volatility, Bubbles, and Process Switching
Journal of Finance, 1986, 41, (4), 831-42 View citations (44)
See also Working Paper (1986)
- 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)
- 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
- 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
- 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)
- Exchange Rate and Price Dynamics with Asymmetric Information
International Economic Review, 1984, 25, (3), 513-26
1982
- 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
- 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)
- Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics
Canadian Journal of Economics, 1982, 15, (1), 143-64 View citations (2)
- The dynamic adjustment path for perfectly foreseen changes in monetary policy
Journal of Monetary Economics, 1982, 9, (2), 185-201 View citations (3)
1981
- International asset pricing with time-varying risk premia
Journal of International Economics, 1981, 11, (4), 573-587 View citations (31)
1980
- Dynamic effects of government policies in an open economy
Journal of Monetary Economics, 1980, 6, (2), 213-239 View citations (5)
- 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
- 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
- International Financial Management
Cambridge Books, Cambridge University Press View citations (9)
Chapters
1983
- 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
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