NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Robert J. Hodrick

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

Working Papers

August 2014The Carry Trade: Risks and Drawdowns
with Kent Daniel, Zhongjin Lu: w20433
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

Published: Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1155-1185, December. citation courtesy of

January 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
with Andrew Ang, 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

December 2005International Stock Return Comovements
with Geert Bekaert, Xiaoyan Zhang: w11906

Published: Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December. citation courtesy of

October 2004The Cross-Section of Volatility and Expected Returns
with Andrew Ang, 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

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

Published: Hodrick, Robert J. and Xiaoyan Zhang. "Evaluating The Specification Errors Of Aset Pricing Models," Journal of Financial Economics, 2001, v62(2,Nov), 327-376. citation courtesy of

March 2000Expectations Hypotheses Tests
with Geert Bekaert: w7609

Published: Bekaert, Geert and Robert J. Hodrick. "Expectations Hypotheses Tests," Journal of Finance, 2001, v56(4,Aug), 1357-1394. citation courtesy of

June 1999An International Dynamic Asset Pricing Model
with David Tat-Chee Ng, Paul Sengmueller: w7157

Published: International Tax and Public Finance, Vol. 6, no. 4 (November 1999): 597-620 citation courtesy of

August 1997"Peso Problem" Explanations for Term Structure Anomalies
with Geert Bekaert, David A. Marshall: w6147

Published: Bekaert, Geert, Robert J. Hodrick and David A. Marshall. "Peso Problem Explanations For Term Structure Anomalies," Journal of Monetary Economics, 2001, v48(2,Oct), 241-270. citation courtesy of

January 1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
with Geert Bekaert, David A. Marshall: t0191

Published: Journal of Financial Economics, Vol.44 (June 1997): 309-348.

January 1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
with Geert Bekaert, David A. Marshall: w4624

Published: Journal of Monetary Economics, Vol. 40 (September 1997): 3-39. citation courtesy of

June 1992Financial Market Efficiency Tests
with Tim Bollerslev: w4108

Published: M.H. Pesaran and M.R. Wickens, eds., Handbook of Applied Econometrics, Vol. 1, Macroeconomics, Basil Blackwell, 1996, pp. 415-458.

October 1991On Biases in the Measurement of Foreign Exchange Risk Premiums
with Geert Bekaert: w3861

Published: Journal of International Money and Finance, Vol.12, no.2 (April 1993): 115-138. citation courtesy of

July 1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
t0108

Published: Review of Financial Studies 5, no. 3, pp. 357-386, 1992

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
with Geert Bekaert: w3790

Published: Journal of Finance, Vol. 47, No. 2 (June 1992): 467-509. citation courtesy of

March 1989The Variability of Velocity in Cash-In-Advance Models
with Narayana Kocherlakota, Deborah Lucas: w2891

Published: Journal of Political Economy, Vol 99, No. 2, Chicago: University of Chicago Press, April 1991, pp.358-384. citation courtesy of

Testable Implications of Indeterminacies in Models with Rational Expectations
with Robert P. Flood: w2903

Published: The Journal of Economic Perspectives, vol.4, no.1, Winter 1990

October 1988U.S. International Capital Flows: Perspectives From Rational Maximizing Models
w2729

Published: Carnegie-Rochester Conference Series on Public Policy, Vol. 30, pp. 231-288 , (1989). citation courtesy of

November 1987Risk, Uncertainty and Exchange Rates
w2429

Published: Journal of Monetary Economics, Vol. 23, No. 3, pp. 433-459, (May 1989). citation courtesy of

July 1986An Evaluation of Recent Evidence on Stock Market Bubbles
with Robert P. Flood, Paul Kaplan: w1971

Published: Robert P. Flood and Peter M. Garber, eds., Speculative Bubbles, Speculative Attacks and Policy Switching, M.I.T. Press, 1994, pp. 105-133.

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

Published: From Journal of Finance, Vol. 41, No. 4, pp. 831-842, (September 1986). citation courtesy of

October 1985Foreign Currency Futures
with Sanjay Srivastava: w1743

Published: Hodrick, Robert J. and Sanjay Srivastava. "Foreign Currency Futures," Journal of International Economics, Vol. 22, No. 1/2, Feb. 1987, pp. 1-24. citation courtesy of

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
with Sanjay Srivastava: w1749

Published: Hodrick, Robert J. and Sanjay Srivastava. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," with comment by Jacob A. Frenkel. Journal of International Money and Finance, Vol. 5, Supplement, (March 1986), pp. 5-30. citation courtesy of

April 1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates
with Robert P. Flood: w1603

Published: Flood, Robert P. and Robert J. Hodrick. "Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates," Journal of International Economics, Vol. 21, (1986), No. 3/4, pp. 215-232. citation courtesy of

August 1983An Investigation of Risk and Return in Forward Foreign Exchange
with Sanjay Srivastava: w1180

Published: Hodrick, Robert J. and Sanjay Srivastava. "An Investigation of Risk and Return in Forward Foreign Exchange." Journal of International Money and Finance, Vol. 3, No. 1, (April 1984), pp. 5-29. citation courtesy of

March 1983Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
with Robert P. Flood: w1089

Published: Flood, Robert P. and Robert J. Hodrick. "Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle," Quarterly Journal of Economics, Vol. 100, Supplement 1985, pp. 887-914. citation courtesy of

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

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

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

Contact Us