NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Andrew Ang

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

October 2013The Joint Cross Section of Stocks and Options
with Byeong-Je An, Turan G. Bali, Nusret Cakici: w19590
September 2013Advance Refundings of Municipal Bonds
with Richard C. Green, Yuhang Xing: w19459
Portfolio Choice with Illiquid Assets
with Dimitris Papanikolaou, Mark Westerfield: w19436
August 2013Asset Pricing in the Dark: The Cross Section of OTC Stocks
with Assaf A. Shtauber, Paul C. Tetlock: w19309

Published: Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028. citation courtesy of

July 2013Search for a Common Factor in Public and Private Real Estate Returns
with Neil Nabar, Sam Wald: w19194
May 2013Liability Investment with Downside Risk
with Bingxu Chen, Suresh Sundaresan: w19030
February 2012Inflation and Individual Equities
with Marie Brière, Ombretta Signori: w17798

Published: “Inflation and Individual Equities,” with Marie Brière and Ombretta Signori, 2012, Financial Analysts Journal, 68, 4, 36-55. Funded by Netspar.

November 2011Testing Conditional Factor Models
with Dennis Kristensen: w17561

Published: Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156. citation courtesy of

June 2011Regime Changes and Financial Markets
with Allan Timmermann: w17182

Published: Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337. citation courtesy of

April 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
with Francis A. Longstaff: w16982

Published: Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510. citation courtesy of

February 2011Hedge Fund Leverage
with Sergiy Gorovyy, Gregory B. van Inwegen: w16801

Published: Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October. citation courtesy of

May 2010Build America Bonds
with Vineer Bhansali, Yuhang Xing: w16008

Published: “Build America Bonds,” with Vi neer Bhansali and Yuhang Xing, 2010, Journal of Fixed Income , 20, 1, 67-73.

April 2010Locked Up by a Lockup: Valuing Liquidity as a Real Option
with Nicolas P.B. Bollen: w15937

Published: Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, 09. citation courtesy of

August 2009Monetary Policy Shifts and the Term Structure
with Jean Boivin, Sen Dong, Rudy Loo-Kung: w15270

Published: Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," Review of Economic Studies, Oxford University Press, vol. 78(2), pages 429-457. citation courtesy of

November 2008Taxes on Tax-Exempt Bonds
with Vineer Bhansali, Yuhang Xing: w14496

Published: Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax-Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, 04. citation courtesy of

April 2008Do Funds-of-Funds Deserve Their Fees-on-Fees?
with Matthew Rhodes-Kropf, Rui Zhao: w13944
January 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
with Robert J. Hodrick, Yuhang Xing, Xiaoyan Zhang: w13739

Published: Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January. citation courtesy of

September 2007No-Arbitrage Taylor Rules
with Sen Dong, Monika Piazzesi: w13448

Published: Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco. citation courtesy of

February 2007The Term Structure of Real Rates and Expected Inflation
with Geert Bekaert, Min Wei: w12930

Published:

January 2007Risk, Return and Dividends
with Jun Liu: w12843

Published: Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July. citation courtesy of

May 2006Is IPO Underperformance a Peso Problem?
with Li Gu, Yael V. Hochberg: w12203

Published: Ang, Andrew, Li Gu and Yael Hochberg. “Is IPO Underperformance a Peso Problem?” Journal of Financial and Quantitative Analysis 42, 3 (2007): 565-594. citation courtesy of

December 2005CAPM Over the Long Run: 1926-2001
with Joseph Chen: w11903

Published: Ang, Andrew and Joe Chen. "CAPM Over the Long Run: 1926-2001." Journal of Empirical Finance 14, 1 (2007): 1-40. citation courtesy of

Downside Risk
with Joseph Chen, Yuhang Xing: w11824

Published:

  • Ang, Andrew, Joseph Chen and Yuhang Xing. "Downside Risk," Review of Financial Studies, 2006, v19(4,Winter), 1191-1239. citation courtesy of
  • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.). citation courtesy of

August 2005Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
with Geert Bekaert, Min Wei: w11538

Published: Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May. citation courtesy of

October 2004The Cross-Section of Volatility and Expected Returns
with Robert J. Hodrick, Yuhang Xing, Xiaoyan Zhang: w10852

Published: Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang. "The Cross-Section Of Volatility and Expected Returns," Journal of Finance, 2006, v61(1,Feb), 259-299. citation courtesy of

August 2004What Does the Yield Curve Tell us about GDP Growth?
with Monika Piazzesi, Min Wei: w10672

Published:

November 2003How do Regimes Affect Asset Allocation?
with Geert Bekaert: w10080

Published: Ang, Andrew and Geert Bekaert. "How Regimes Affect Asset Allocation," Financial Analsts Journal, 2004, v60(2,Mar/Apr), 86-99.

October 2003How to Discount Cashflows with Time-Varying Expected Returns
with Jun Liu: w10042

Published: Ang, Andrew and Jan Liu. "How To Discount Cashflows With Time-Varying Expected Returns," Journal of Finance, 2004, v59(6,Dec), 2745-2783. citation courtesy of

May 2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data
with Angela Maddaloni: w9677

Published: Andrew Ang & Angela Maddaloni, 2005. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," Journal of Business, University of Chicago Press, vol. 78(1), pages 341-380, January. citation courtesy of

December 2001Downside Risk and the Momentum Effect
with Joseph Chen, Yuhang Xing: w8643

Published: Ang, Andrew, Joe Chen and Yuhang Xing. “Downside Risk." Review of Financial Studies 19 (2006): 1191-1239.

July 2001A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
with Monika Piazzesi: w8363

Published: Ang, Andrew and Monika Piazzesi. "A No-Arbitrage Vector Autoregression Of Term Structure Dynamics With Macroeconomic And Latent Variables," Journal of Monetary Economics, 2003, v50(4,May), 745-787. citation courtesy of

April 2001Stock Return Predictability: Is it There?
with Geert Bekaert: w8207

Published: Ang, Andrew and Geert Bekaert. "Stock Return Predictability: Is it There?" Review of Financial Studies 20, 3 (2007): 651-707.

July 2000Why Stocks May Disappoint
with Geert Bekaert, Jun Liu: w7783

Published: Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June. citation courtesy of

March 1999International Asset Allocation with Time-Varying Correlations
with Geert Bekaert: w7056

Published: Ang, A. and G. Bekaert. "International Asset Allocation With Regime Shifts," Review of Financial Studies, 2002, v15(4), 1137-1187.

April 1998Regime Switches in Interest Rates
with Geert Bekaert: w6508

Published: Ang, Andrew and Geert Bekaert. "Regime Switches In Interest Rates," Journal of Business and Economic Statistics, 2002, v20(2,Apr), 163-182. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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