NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Robert J. Hodrick

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Working Papers

June 2014Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
with Esben Hedegaard: w20245
March 2014Estimating the Risk-Return Trade-off with Overlapping Data Inference
with Esben Hedegaard: w19969
June 2010Aggregate Idiosyncratic Volatility
with Geert Bekaert, Xiaoyan Zhang: w16058
January 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
with Andrew Ang, Yuhang Xing, Xiaoyan Zhang: w13739
December 2005International Stock Return Comovements
with Geert Bekaert, Xiaoyan Zhang: w11906
October 2004The Cross-Section of Volatility and Expected Returns
with Andrew Ang, Yuhang Xing, Xiaoyan Zhang: w10852
November 2002Pricing the Global Industry Portfolios
with Stefano Cavaglia, Moroz Vadim, Xiaoyan Zhang: w9344
April 2000Evaluating the Specification Errors of Asset Pricing Models
with Xiaoyan Zhang: w7661
March 2000Expectations Hypotheses Tests
with Geert Bekaert: w7609
June 1999An International Dynamic Asset Pricing Model
with David Tat-Chee Ng, Paul Sengmueller: w7157
August 1997"Peso Problem" Explanations for Term Structure Anomalies
with Geert Bekaert, David A. Marshall: w6147
January 1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
with Geert Bekaert, David A. Marshall: t0191
January 1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
with Geert Bekaert, David A. Marshall: w4624
June 1992Financial Market Efficiency Tests
with Tim Bollerslev: w4108
October 1991On Biases in the Measurement of Foreign Exchange Risk Premiums
with Geert Bekaert: w3861
July 1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
t0108
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
with Geert Bekaert: w3790
March 1989The Variability of Velocity in Cash-In-Advance Models
with Narayana Kocherlakota, Deborah Lucas: w2891
Testable Implications of Indeterminacies in Models with Rational Expectations
with Robert P. Flood: w2903
October 1988U.S. International Capital Flows: Perspectives From Rational Maximizing Models
w2729
November 1987Risk, Uncertainty and Exchange Rates
w2429
July 1986An Evaluation of Recent Evidence on Stock Market Bubbles
with Robert P. Flood, Paul Kaplan: w1971
June 1986Money and the Open Economy Business Cycle: A Flexible Price Model
with Robert P. Flood: w1967
March 1986Asset Price Volatility, Bubbles, and Process Switching
with Robert P. Flood: w1867
October 1985Foreign Currency Futures
with Sanjay Srivastava: w1743
The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
with Sanjay Srivastava: w1749
April 1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates
with Robert P. Flood: w1603
August 1983An Investigation of Risk and Return in Forward Foreign Exchange
with Sanjay Srivastava: w1180
March 1983Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
with Robert P. Flood: w1089

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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