Campbell rharvey sresearch papers




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Campbell rharvey sresearch papersCampbell R. Harvey's Research Papers

Phone . +1 919 660 7768

PGP . E004 4F24 1FBC 6A4A CF31 D520 0F43 AE4D D2B8 4EF4

Recovering Expectations of Consumption Growth from an Equilibrium Model of the Term Structure of Interest Rates. University of Chicago, December 1986. Chair: Eugene F. Fama (Nobel 2013 ). Committee Members: Wayne E. Ferson, Robert Stambaugh, Merton H. Miller (Nobel 1990 ), Shmuel Kandel and Lars P. Hansen (Nobel 2013 ).

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Convocation Program.

Picture with dissertation chair, Eugene F. Fama, May 2014.

Publications

The Real Term Structure and Consumption Growth, Journal of Financial Economics 22, (1988): 305-333. (P1)

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Forecasts of Economic Growth from the Bond and Stock Markets, Financial Analysts Journal September/October, 1989): 38-45. (P2)

Published version. DOI.

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Time-Varying Conditional Covariances in Tests of Asset Pricing Models, Journal of Financial Economics 24, (1989): 289-317. (P3)

Published version. DOI.

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Bayesian Inference in Asset Pricing Tests, with Guofu Zhou, Journal of Financial Economics 26, (1990): 221-254. (P4)

Published version. DOI.

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Reprinted in Andrew Lo, (ed.) Financial Econometrics. Edward Elgar, 2006.

The Variation of Economic Risk Premiums, with Wayne Ferson, Journal of Political Economy 99, (1991): 285-315. (P5)

Published version. DOI.

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The Term Structure and World Economic Growth, Journal of Fixed Income 1, (1991): 4-17. (P6)

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Sources of Predictability in Portfolio Returns, with Wayne Ferson, Financial Analysts Journal May/June, (1991): 49-56. (P7)

Published version. DOI.

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Les Taux d'Intérêt et la Croissance Economique en France, Analyse Financière 86, (1991): 97-103. (P8)

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SP 100 Index Option Volatility, with Robert Whaley, Journal of Finance 46, (1991): 1551-1561. (P9)

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The World Price of Covariance Risk, Journal of Finance 46, (1991): 111-157. (P10)

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Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets. Edward Elgar, 2003.

Volatility in the Foreign Currency Futures Market, with Roger Huang, Review of Financial Studies 4, (1991): 543-569. (P11)

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Interest Rate Based Forecasts of German Economic Growth, Weltwirtschaftliches Archiv 127, (1991): 701-718. (P12)

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Dividends and SP 100 Index Option Valuation, with Robert Whaley, Journal of Futures Markets 12, (1992): 123-137. (P13)

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Information and Volatility in the FX Market, with Roger Huang, Finanzmarkt und Portfolio Management 6, (1992): 14-22. (P14)

Published version .

Market Volatility Prediction and the Efficiency of the SP 100 Index Option Market, with Robert Whaley, Journal of Financial Economics 31, (1992): 43-73. (P16)

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Explaining the Predictability in Asset Returns, with Wayne Ferson, Research in Finance 11, (1993): 65-106. (P17)

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The Term Structure Forecasts Economic Growth, Financial Analysts Journal May/June, (1993): 6-8. (P18)

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Seasonality and Heteroskedasticity in Consumption-Based Asset Pricing: An Analysis of Linear Models, with Wayne Ferson, Research in Finance 11, (1993): 1-35. (P19)

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Updated not-seasonally adjusted consumption data available here.

International Asset Pricing with Alternative Distributional Specifications, with Guofu Zhou, Journal of Empirical Finance 1, (1993): 107-131. (P20)

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The Risk and Predictability of International Equity Returns, with Wayne Ferson, Review of Financial Studies 6, (1993): 527-566. (P21)

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Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets. Edward Elgar, 2003.

Strategic Treasury Debt Management in Public Policy, Policy Studies Review 12, (1993): 76-89. (P22)

Published version. DOI .

National Risk and Global Fixed Income Allocation, with Claude Erb and Tadas Viskanta, Journal of Fixed Income September, (1994): 17--26. (P23)

Published version. DOI .

Sources of Risk and Expected Returns in Global Equity Markets, with Wayne Ferson, Journal of Banking and Finance. (1994): 775-803. (P24)

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Also published as NBER working paper 4622.

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Economic Activity Measures in Nonlinear Asset Pricing, Advances in Financial Economics. (1995): 123-154. (P25)

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Country Credit Risk and Global Portfolio Selection, with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Winter, (1995): 74-83. (P26)

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Forecasting International Equity Correlations, with Claude Erb and Tadas Viskanta, Financial Analysts Journal November/December, (1994): 32-45. (P27)

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Do World Markets Still Serve as a Hedge?, with Claude Erb and Tadas Viskanta, Journal of Investing Fall, (1995): 23-46. (P28)

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The Cross-Section of Volatility and Autocorrelation in Emerging Markets Finanzmarkt und Portfolio Management 9, (1995): 12-34. (P29)

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The Risk Exposure of Emerging Equity Markets, World Bank Economic Review. (1995): 19-50. (P30)

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Predictability and Time-Varying Risk in World Equity Markets, with Wayne Ferson, Research in Finance 13, (1995): 25-88. (P31)

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Predictable Risk and Returns in Emerging Markets, Review of Financial Studies 8, (1995): 773-816. (P32)

Published version. DOI.

Also published as NBER working paper 4621.

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Time-Varying World Market Integration, with Geert Bekaert, Journal of Finance 50, (1995): 403-444. (P33) [Lead Article]

Published version. DOI.

Also published as NBER working paper 4843.

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Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets. Edward Elgar, 2003.

Inflation and World Equity Selection, with Claude Erb and Tadas Viskanta, Financial Analysts Journal November-December, (1995): 28-42. (P34)

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Also in Japanese, Security Analysts Journal Part I, October, (1996): 45-61; Part II, November, (1996): 84-90. (P34J)

The Relation Between the Term Structure of Interest Rates and Canadian Economic Growth, Canadian Journal of Economics 30:1, (1997): 169-193. (P35)

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Expected Returns and Volatility in 135 Countries with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Spring, (1996): 46-58. (P36)

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Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations, with John Graham, Journal of Financial Economics 42, 3, (1996): 397-421. (P37)

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Also published as NBER working paper 4890.

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Political Risk, Financial Risk and Economic Risk, with Claude Erb and Tadas Viskanta, Financial Analysts Journal 52:6, (1996): 28-46. (P38) [prev. W23]

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Also in Japanese, Security Analysts Journal (1998):1 Part I, 109-119; (1998): Part II, 84-95 (1998). (P38J)

The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns, with Claude Erb and Tadas Viskanta, Journal of Fixed Income 6:1, (1996): 7-30. (P39) [prev. W24] [Lead Article]

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Emerging Equity Market Volatility, with Geert Bekaert, Journal of Financial Economics 43, 1, (1997): 29-77. (P40) [prev. W14]

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Also published as NBER working paper 5307.

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Demographics and International Investment, with Claude Erb and Tadas Viskanta, Financial Analysts Journal 53, 4, (1997): 14-28.(P41)[prev. W27]

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Fundamental Determinants of International Equity Returns: A Perspective on Conditional Asset Pricing, with Wayne Ferson, Journal of Banking and Finance 21, (1997): 1625-1665. (P42)[prev. W7]

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Also published as NBER working paper 5860.

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The Making of an Emerging Market, with Claude Erb and Tadas Viskanta, Emerging Markets Quarterly 1, 1, (1997) 14-19. (P43)

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Grading the Performance of Market Timing Newsletters, with John Graham, Financial Analysts Journal 53, 6, (1997): 54-66. (P44)[prev. W26]

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What Matters for Emerging Market Investment, with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Emerging Markets Quarterly 1, 2, (1997): 17-46. (P45)

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Distributional Characteristics of Emerging Market Returns and Asset Allocation, with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Journal of Portfolio Management Winter, (1998): 102-116. (P46)

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Measurement Error and Nonlinearity in the Earnings-Returns Relation, with Messod Beneish, Review of Quantitative Finance and Accounting 11, (1998): 219-247. (P47) [prev. W4] [Lead Article]

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Emerging/Developed Market Portfolio Mixes, with Stefano M. F. G. Cavaglia, Magnus Dahlquist, Peter L. Rathjens and Jarrod W. Wilcox. Emerging Markets Quarterly Winter, (1997): 47-62. (P48) [prev. W29]

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The Future of Investment in Emerging Markets NBER Reporter Summer, (1998): 5-8. (P49)

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Risk in Emerging Markets with Claude B. Erb and Tadas E. Viskanta, The Financial Survey July/August, (1998): 42-46. (P50) [prev. W41]

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Contagion and Risk with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 2, Summer, (1998): 46-64. (P51) [prev. W42]

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A New Perspective on Emerging Market Bonds, with Claude Erb and Tadas Viskanta, Journal of Portfolio Management (1999): 83-92. (P52) [prev. W36]

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Stock Selection in Emerging Markets: Portfolio Strategies for Malaysia, Mexico and South Africa with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly Winter, (1999): 38-91. (P53)

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Autoregressive Conditional Skewness, with Akhtar Siddique, Journal of Financial and Quantitative Analysis 34, 4, (1999): 465-487. (P54) [prev. W22]

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Stock Selection in Malaysia with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly Spring, (1999): 54-91 (P55)

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Conditional Skewness in Asset Pricing Tests, with Akhtar Siddique, Journal of Finance 55, (2000): 1263-1295. (P56) [prev. W17]

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Conditioning Variables and the Cross-Section of Stock Returns, with Wayne Ferson, Journal of Finance 54, (1999): 1325-1360. (P57) [prev. W32]

Published version. DOI.

Also published as NBER working paper 7009.

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Reprinted in Robert R. Grauer, (ed.) Asset Pricing Theory and Tests. Edward Elgar, 2003.

Capital Markets: An Engine for Economic Growth, with Geert Bekaert, Brown Journal of World Affairs 5, 1, Winter/Spring, (1998): 33-53. (P58)[prev. W21]

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Brazil in Crisis with Chris Lundblad and Diego Valderrama, Emerging Markets Quarterly Spring, (1999): 4-9. (P59)

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Efficient Online Non-Parametric Density Estimation, with Christophe G. Lambert, Scott E. Harrington, Nathan D. Bronson and Arman Glodjo. Algorithmica 25, (1999): 37-57.(P60)[prev. W28]

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Forecasting emerging market returns using neural networks: A comparative study of nine emerging markets, with Kirsten E. Travers and Michael J. Costa, Emerging Markets Quarterly 4, 2, (2000): 43-54. (P61) [prev. W44]

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Economic, Financial and Fundamental Global Risk In and Out of the EMU, with Wayne Ferson, Swedish Economic Policy Review 6, (1999): 123-184. (P62) [prev. W40]

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Also published as NBER working paper 6967 .

Stock Selection in Mexico with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 3, Fall, (1999): 38-75. (P63) [prev. W46]

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Firm Characteristics and Investment Strategies in Africa: The Case of South Africa with Dana Achour, Greg Hopkins and Clive Lang, African Finance Journal 1, (1999): 1-68. (P65) [prev. W47]

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Understanding Emerging Market Bonds with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 4, 1, (2000): 7-23, (P66) [prev. W48]

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Time-Varying Conditional Skewness and the Market Risk Premium, with Akhtar Siddique, Research in Banking and Finance 1, (2000): 27-60. (P68) [prev. W53]

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Emerging Equity Markets and Economic Development, with Geert Bekaert and Chris Lundblad, (W49) Journal of Development Economics 66, (2001): 465-504. (P70) [prev. W49].

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Also published as NBER working paper 7763.

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Global Tactical Asset Allocation, with Magnus Dahlquist, Emerging Markets Quarterly (2001): 6-14. (P71) [prev. W57].

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The Impact of Federal Reserve Bank's Open Market Operations, with Roger Huang, Journal of Financial Markets 5, 2, (2002): 223-257. (P73) [prev. W3].

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Also published as NBER working paper 4663 .

The Specification of Conditional Expectations, (previous title: Is the Expected Compensation for Market Volatility Constant?) Journal of Empirical Finance 8, 5, (2001): 573-637. (P74) [prev W6]

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How do CFOs make capital budgeting and capital structure decisions?, with John Graham, Journal of Applied Corporate Finance 15, 1, (2002): 8-23. (P76) [prev. W62]

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Research in Emerging Markets Finance: Looking to the Future, with Geert Bekaert, (P78) [prev. W69], Emerging Markets Review 2002, 429-448.

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What Determines Expected International Asset Returns? with Bruno Solnik and Guofu Zhou. (P79) [prev. W8] Annals of Economics and Finance 3, (2002): 249-298.

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Also published as NBER working paper 4660 .

Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs, with Bernard Dumas and Pierre Ruiz (P80) [prev. W34] Journal of International Money and Finance 22, (2003): 777-811.

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A Brief Note from the Editors, with Javier Estrada and Robert Bruner, (P81), Emerging Markets Review. (2002): 329.

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Implications for Asset Allocation, Portfolio Management, and Future Research, AIMR Equity Premium Forum, October, (2002): 92-96. (P82)

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Foreward by the Editors, with Geert Bekaert, (P84) Journal of Empirical Finance 10, (2003): 1.

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Equity Market Liberalization in Emerging Markets, with Geert Bekaert and Christian Lundblad, (P85a) The Federal Reserve Bank of St. Louis Review 85:4, (2003): 53-74.

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Equity Market Liberalization in Emerging Markets, with Geert Bekaert and Christian Lundblad, (P85b) Journal of Financial Research 26, (2003): 275-299.

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Does Financial Liberalization Spur Growth, with Geert Bekaert and Chris Lundblad, Journal of Financial Economics 77, (2005): 3-55. (P87) [Prev. W56] [Lead Article]

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NBER working paper 8245.

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Reprinted in Stijn Claessens and Luc Laeven, eds. A Reader in International Corporate Finance, Volume 2, World Bank, 2006, pp. 37-90.

The Long-Run Equity Risk Premium, with John Graham, Finance Research Letters. 2, (2005): 185-194. (P91) [Prev W79] [Lead Article]

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The Strategic and Tactical Value of Commodity Futures with Claude Erb, Financial Analysts Journal. 62:2, March/April, 69-97. (P91) (Prev W77)

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Also published as NBER working paper 11222.

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Graham and Dodd Award (Best paper in 2006 Financial Analysts Journal, Sponsored by the CFA Institute).

First prize, Roger F. Murray Prize Competition (Award for Excellence in Quantitative Research in Finance, Sponsored by the Q-group.

Value Destruction and Financial Reporting Decisions with John Graham and Shiva Rajgopal, Financial Analysts Journal. Nov/Dec 2006, 27-39. (P94) [Prev W79]

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Graham and Dodd Scroll (Runner-up best paper in 2006 Financial Analysts Journal, Sponsored by the CFA Institute).

The Equity Risk Premium in January 2007: Evidence from the Global CFO Surveyt with John Graham (P97) [Prev W78], The ICFAI Journal of Financial Risk Management. IV:2, June 2007, 46-61.

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Darden Conference Issue: Capital Raising in Emerging Economies, with Marc Lipson and Frank Warnock, Journal of Financial Economics. (2008) Volume 88:3, 425-429. (P99)

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The Effect of the May 2003 Dividend Tax Cut on Corporate Dividend Policy: Empirical and Survey Evidence with Alon Brav, John Graham, and Roni Michaely, National Tax Journal. Winter, 611-624. (P101) [Prev W87],

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Access to Liquidity and Corporate Investment in Europe During the Financial Crisis with Murillo Campello, Erasmo Giambona, and John Graham, Review of Finance . 2012, 16(2) 323-346. [Lead Article]

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Managerial Attitudes and Corporate Actions with John Graham and Manju Puri, Journal of Financial Economics . 2013, 109:1, 103-121. [P109] (Prev. W84).

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2014 Jensen Prize for Best Corporate Finance Paper in the Journal of Financial Economics

The Truth about Gold: Why It Should (or Should Not) Be Part of Your Asset Allocation Strategy, CFA Institute Conference Proceedings Quarterly . 30:1, March 2013, 9-17. [P112].

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The Golden Dilemma with Claude Erb, Financial Analysts Journal. 2013:69:4, July-August, 10-42. [P113] (Prev. W110) [Lead Article]

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Also published as NBER working paper 18706.

Graham and Dodd Scroll, 2014.

Financial Analysts Journal Readers’ Choice Award, 2014.

Earnings Quality: Evidence from the Field with Ilia Dichev, John Graham, and Shiva Rajgopal. Journal of Accounting and Economics. 2013:56, 1-33. [P114] (Prev. W108) [Lead Article]

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Political Risk Spreads with Geert Bekaert, Christian Lundblad and Stephen Siegel, Journal of International Business Studies 45:4, (2014): 471-493. [P115] (Prev. W116).

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Evaluating Trading Strategies. with Yan Liu, Journal of Portfolio Management . 2014, 40:5, 108-118. [P116] (Prev. W126)

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Capital Allocation and Delegation of Decision-Making Authority Within Firms with John Graham and Manju Puri, Journal of Financial Economics . 2015, 115:3 (March): 449-470. [P117] (Prev. W103)

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Also published as NBER working paper 17370.

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. and the Cross-Section of Expected Returns with Yan Liu and Heqing Zhu, Review of Financial Studies. 2015, forthcoming. [P118] (Prev. W114)

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Also published as NBER working paper 20592.

NASDAQ OMX Award, 2014, for the best paper in asset pricing at the Western Finance Association Meetings.

Best Paper Award, 2014, INQUIRE-Europe-UK.

The Misrepresentation of Earnings, with Ilia Dichev, John Graham and Shiva Rajgopal, Financial Analysts Journal. 2015, forthcoming. [P119] (Prev. W124)

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Backtesting with Yan Liu Journal of Portfolio Management 2015, forthcoming. [P120] (Prev. W115)

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New Working Papers

Lucky Factors with Yan Liu (W128)

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Rebalancing Risk with Nicolas Granger, Douglas Greenig, Sandy Rattray and David Zou (W127)

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Multiple Testing in Economics with Yan Liu.(W122)

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Stock Market Valuations across U. S. States with Geert Bekaert, Christian Lundblad and Stephen Siegel.(W121)

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Emerging Equity Markets in a Globalizing World with Geert Bekaert (W119)

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Where are the World's Best Analysts? with Sam Radnor, Khalil Mohammed and William Ferreira (W118)

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A View Inside Corporate Risk Management with Gordon Bodnar, Erasmo Giambona, and John Graham (W117)

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Managing Risk Management with Gordon Bodnar, John Graham, and Richard Marston (W107)

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Crypto-related research (Blockchain and cryptocurrencies)

Bitcoin Myths and Facts. (W126)

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Teaching materials

A Guide to Earnings Quality with Ilia Dichev, John Graham, and Shiva Rajgopal.(W120)

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A Guide to Corporate Risk Management, with Gordon Bodnar, Erasmo Giambona, and John Graham (W129)

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