NBER Publications by Andrew Ang

Contact and additional information for this authorAll publicationsWorking Papers only

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
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
November 2011Testing Conditional Factor Models
with Dennis Kristensen: w17561
June 2011Regime Changes and Financial Markets
with Allan Timmermann: w17182
April 2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
with Francis A. Longstaff: w16982
February 2011Hedge Fund Leverage
with Sergiy Gorovyy, Gregory B. van Inwegen: w16801
May 2010Build America Bonds
with Vineer Bhansali, Yuhang Xing: w16008
April 2010Locked Up by a Lockup: Valuing Liquidity as a Real Option
with Nicolas P.B. Bollen: w15937
August 2009Monetary Policy Shifts and the Term Structure
with Jean Boivin, Sen Dong, Rudy Loo-Kung: w15270
November 2008Taxes on Tax-Exempt Bonds
with Vineer Bhansali, Yuhang Xing: w14496
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
September 2007No-Arbitrage Taylor Rules
with Sen Dong, Monika Piazzesi: w13448
February 2007The Term Structure of Real Rates and Expected Inflation
with Geert Bekaert, Min Wei: w12930
January 2007Risk, Return and Dividends
with Jun Liu: w12843
May 2006Is IPO Underperformance a Peso Problem?
with Li Gu, Yael V. Hochberg: w12203
December 2005CAPM Over the Long Run: 1926-2001
with Joseph Chen: w11903
Downside Risk
with Joseph Chen, Yuhang Xing: w11824
August 2005Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
with Geert Bekaert, Min Wei: w11538
October 2004The Cross-Section of Volatility and Expected Returns
with Robert J. Hodrick, Yuhang Xing, Xiaoyan Zhang: w10852
August 2004What Does the Yield Curve Tell us about GDP Growth?
with Monika Piazzesi, Min Wei: w10672
November 2003How do Regimes Affect Asset Allocation?
with Geert Bekaert: w10080
October 2003How to Discount Cashflows with Time-Varying Expected Returns
with Jun Liu: w10042
May 2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data
with Angela Maddaloni: w9677
December 2001Downside Risk and the Momentum Effect
with Joseph Chen, Yuhang Xing: w8643
July 2001A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
with Monika Piazzesi: w8363
April 2001Stock Return Predictability: Is it There?
with Geert Bekaert: w8207
July 2000Why Stocks May Disappoint
with Geert Bekaert, Jun Liu: w7783
March 1999International Asset Allocation with Time-Varying Correlations
with Geert Bekaert: w7056
April 1998Regime Switches in Interest Rates
with Geert Bekaert: w6508

Contact and additional information for this authorAll publicationsWorking Papers only


National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us