NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Michael W. Brandt

Fuqua School of Business
Duke University
100 Fuqua Drive
Durham, NC 27708
Tel: 919/660-1948
Fax: 919/660-8038

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
WWW:
NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

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

September 2010Portfolio Policies

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. citation courtesy of

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

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us