NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Michael W. Brandt

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

November 2013Distilling the Macroeconomic News Flow
with Alessandro Beber, Maurizio Luisi: w19650
November 2010What Does Equity Sector Orderflow Tell Us about the Economy?
with Alessandro Beber, Kenneth A. Kavajecz: w16534

Published: Beber, Alessandro, Michael W. Brandt, and Kenneth A. Kavajecz, What Can Equity Order ow Tell Us about the Economy?, Review of Financial Studies, 24, 2011, 3688-3730.

October 2010On the Timing and Pricing of Dividends
with Jules H. van Binsbergen, Ralph S.J. Koijen: w16455

Published: Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012. "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June. citation courtesy of

March 2008Consumption and Portfolio Choice with Option-Implied State Prices
with Yacine Aït-Sahalia: w13854
March 2007Optimal Asset Allocation in Asset Liability Management
with Jules H. van Binsbergen: w12970
September 2006Linear Approximations and Tests of Conditional Pricing Models
with David A. Chapman: w12513
July 2006Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market
with Alessandro Beber, Kenneth A. Kavajecz: w12376

Published: Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(3), pages 925-957, March. citation courtesy of

June 2006Resolving Macroeconomic Uncertainty in Stock and Bond Markets
with Alessandro Beber: w12270

Published: Alessandro Beber & Michael W. Brandt, 2008. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," Review of Finance, Oxford University Press for European Finance Association, vol. 13(1), pages 1-45. citation courtesy of

April 2006Optimal Decentralized Investment Management
with Jules H. van Binsbergen, Ralph S.J. Koijen: w12144

Published: van Binsbergen, Jules H., Michael W. Brandt, and Ralph S.J. Koijen, Optimal Decentralized Investment Managament, Journal of Finance 63(4) (2008): 1849-1895. citation courtesy of

December 2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
with Pedro Santa-Clara, Rossen Valkanov: w10996

Published: Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(9), pages 3411-3447, September. citation courtesy of

November 2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
with Amit Goyal, Pedro Santa-Clara, Jonathan Storud: w10934

Published: Brandt, Michael W., Amit Goyal, Pedro Santa-Clara, and Jonathan R. Stroud. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability." Review of Financial Studies 18 (2005): 831-873. citation courtesy of

March 2004Dynamic Portfolio Selection by Augmenting the Asset Space
with Pedro Santa-Clara: w10372

Published: Brandt, Michael W. and Pedro Santa-Clara. "Dynamic Portfolio Selection By Augmenting The Asset Space," Journal of Finance, 2006, v61(5,Oct), 2187-2217.

August 2003The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
with Alessandro Beber: w9914

Published: Beber, Alessandro and Michael W. Brandt. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market." Journal of Monetary Economics 53 (2006): 1997-2039. citation courtesy of

May 2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Francis X. Diebold: w9664

Published: Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January. citation courtesy of

March 2003Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
with Kenneth A. Kavajecz: w9529

Published: Brandt, Michael W. and Kenneth A. Kavajecz. "Price Discovery In The U.S. Treasury Market: The Impact Of Orderflow And Liquidity On The Yield Curve," Journal of Finance, 2004, v59(6,Dec), 2623-2654.

January 2003Time-Consistent No-Arbitrage Models of the Term Structure
with Amir Yaron: w9458
July 2002On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
with Qiang Kang: w9056

Published: Brandt, Michael W. and Qiang Kang. "On The Relationship Between Conditional Mean And Volatility Of Stock Returns: A Latent VAR Approach," Journal of Financial Economics, 2004, v72(2,May), 217-257.

August 2001Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
with Pedro Santa-Clara: t0274

Published: Brandt, Michel W. and Pedro Santa-Clara. "Simulated Likelihood Estimation Of Diffusions With An Application To Exchange Rate Dynamics In Incomplete Markets," Journal of Financial Economics, 2002, v63(2,Feb), 161-210.

July 2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
with John H. Cochrane, Pedro Santa-Clara: w8404

Published: Brandt, Michael W., John H. Cochrane and Pedro Santa-Clara. "International Risk Sharing Is Better Than You Think, Or Exchange Rates Are Too Smooth," Journal of Monetary Economics, 2006, v53(4,May), 671-698.

March 2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Francis X. Diebold: w8162

Published: Alizadeh, Sassan, Michael W. Brandt and Francis X. Diebold. "Range-Based Estimation Of Stochastic Volatility Models," Journal of Finance, 2002, v57(3,Jun), 1047-1091.

February 2001Variable Selection for Portfolio Choice
with Yacine Ait-Sahalia: w8127

Published: "Variability Selection for Portfolio Choice", Journal of Finance, Vol. 56,pp. 1297-1351 (2001). citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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