Jacob Boudoukh

Interdisciplinary Center (IDC) Herzliyah

P.O. Box 167

Herzliya, 46150

Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

31

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277

CROSSREF CITATIONS

916

Scholarly Papers (31)

1.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 3,508 (3,962)
Citation 3

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

2.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,489 (4,004)
Citation 5

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Information, Trading, and Volatility: Evidence from Firm-Specific News

Number of pages: 54 Posted: 25 Dec 2012 Last Revised: 01 Dec 2017
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, IDC Herzliya - Arison School of Business and New York University (NYU) - Department of Finance
Downloads 979 (29,300)
Citation 16

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text analysis, excess volatility, roll R2, information and asset prices.

Which News Moves Stock Prices? A Textual Analysis

Number of pages: 46 Posted: 26 Jan 2013 Last Revised: 01 Sep 2021
Interdisciplinary Center (IDC) Herzliyah, Hebrew University of Jerusalem - Jerusalem School of Business Administration, IDC Herzliya - Arison School of Business and New York University (NYU) - Department of Finance
Downloads 244 (159,705)
Citation 8

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4.

Optimal Currency Hedging for International Equity Portfolios

Financial Analyst Journal - Forthcoming
Number of pages: 30 Posted: 16 Oct 2018 Last Revised: 08 Jun 2019
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 988 (29,354)
Citation 1

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International equity portfolio, Currency risk, Optimal hedging, Carry, Value, Momentum

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Number of pages: 37 Posted: 27 Dec 2003
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 731 (43,936)
Citation 1

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Number of pages: 75 Posted: 25 May 2006 Last Revised: 09 Aug 2021
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 126 (284,911)
Citation 42

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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Journal of Finance, Forthcoming
Posted: 07 Feb 2006
Interdisciplinary Center (IDC) Herzliyah, The University of Hong Kong, New York University (NYU) - Department of Finance and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

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Stock Returns, Predictability, Dividend Yield, Share Repurchases, Measurement Error

Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 41 Posted: 11 Aug 1999
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 694 (47,130)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

NYU Working Paper No. FIN-99-040
Number of pages: 41 Posted: 11 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 81 (383,699)

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Behavioralize this! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Number of pages: 42 Posted: 12 Jul 2000 Last Revised: 19 Sep 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 54 (476,220)

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Maxvar: Long Horizon Value at Risk in a Mark-to-Market Environment

Number of pages: 9 Posted: 26 Mar 2004
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 697 (46,837)
Citation 6

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Value at risk, drawdown risk, long horizon risk

Maxvar - Long Horizon Value at Risk in a Mark-to-Market Environment

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 43 Posted: 13 Aug 1999
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University
Downloads 560 (62,212)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Number of pages: 44 Posted: 08 Jul 2000 Last Revised: 18 Sep 2021
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 43 (525,711)

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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

NYU Working Paper No. FIN-99-042
Number of pages: 43 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 36 (562,401)

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9.
Downloads 635 ( 53,699)
Citation 125

The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 05 Dec 2005
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 435 (84,923)
Citation 1

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long-horizon, predictability, joint tests, persistent regressors

The Myth of Long-Horizon Predictability

NYU Working Paper No. SC-AM-05-11
Number of pages: 40 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 79 (389,452)

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The Myth of Long-Horizon Predictability

Number of pages: 39 Posted: 29 Mar 2006 Last Revised: 10 Nov 2021
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 76 (398,334)
Citation 18

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The Myth of Long-Horizon Predictability

NYU Working Paper No. FIN-05-031
Number of pages: 39 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 45 (516,152)
Citation 1

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The Myth of Long-Horizon Predictability

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1577-1605, 2008
Posted: 08 Aug 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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G12, G14, C12

10.

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

Number of pages: 45 Posted: 11 May 2001
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 476 (76,956)
Citation 13

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU-Stern, Finance Working Paper No. FIN-03-011
Number of pages: 54 Posted: 10 Jun 2003
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 267 (145,959)

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excess volatility, nonlinear, state dependence

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. S-DRP-03-05
Number of pages: 25 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 32 (585,588)

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

Number of pages: 54 Posted: 26 Feb 2003 Last Revised: 31 Oct 2010
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, JP Morgan Fleming Asset Management and New York University
Downloads 26 (625,081)
Citation 1

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. FIN-03-011
Number of pages: 55 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 24 (639,786)
Citation 3

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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

NYU Working Paper No. SC-AM-03-04
Number of pages: 54 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 18 (686,255)

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Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 04 Nov 2019
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 305 (126,889)
Citation 1

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Liquidity, International Bond Pricing, Financial Crisis, Euro Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

Number of pages: 49 Posted: 31 Aug 2016 Last Revised: 09 Sep 2021
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 39 (546,046)

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13.
Downloads 252 (155,273)
Citation 5

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 241 (161,682)
Citation 2

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 24 Nov 2021
Jacob Boudoukh, Ronen Israel and Matthew P. Richardson
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 11 (744,566)
Citation 3
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14.

Is There a Dollar Risk Factor?

Number of pages: 23 Posted: 04 Nov 2018
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 252 (155,273)
Citation 1

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Exchange Rates, Dollar, Carry, Factor

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

Number of pages: 33 Posted: 27 Dec 2005 Last Revised: 08 Nov 2021
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 80 (386,582)
Citation 1

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. FIN-05-032
Number of pages: 33 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 62 (445,323)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 34 (573,776)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. SC-AM-05-12
Number of pages: 34 Posted: 03 Nov 2008
Jacob Boudoukh and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 28 (611,220)

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The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

NYU Working Paper No. S-DRP-05-06
Number of pages: 33 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 25 (632,341)

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16.
Downloads 225 (173,258)
Citation 6

Optimal Risk Management Using Options

NYU Working Paper No. FIN-98-001
Number of pages: 24 Posted: 07 Nov 2008
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 145 (255,292)
Citation 1

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Optimal Risk Management Using Options

Number of pages: 45 Posted: 25 May 2006 Last Revised: 31 Oct 2021
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 80 (386,582)

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Optimal Risk Management Using Options

Posted: 21 Dec 1997
University of North Carolina at Chapel Hill, Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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17.

An Explanation of the Forward Premium Puzzle: The Long and the Short of it

NYU Working Paper No. 2451/29950
Number of pages: 48 Posted: 09 Sep 2011
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University
Downloads 207 (187,343)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. S-AM-00-04
Number of pages: 37 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 106 (322,692)

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The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor

NYU Working Paper No. FIN-00-009
Number of pages: 37 Posted: 03 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University
Downloads 69 (420,697)

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-94-018
Number of pages: 48 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 118 (298,953)
Citation 14

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

NYU Working Paper No. FIN-95-013
Number of pages: 52 Posted: 11 Nov 2008
Jacob Boudoukh, Richard Stanton and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business and New York University
Downloads 53 (480,416)
Citation 5

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Posted: 21 Apr 1995
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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20.

The Valuation and Hedging of Deferred Commission Asset Backed Securities

NYU Working Paper No. FIN-00-019
Number of pages: 32 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, Lincoln Financial Group, New York University (NYU) - Department of Finance and New York University
Downloads 140 (261,756)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

NYU Working Paper No. FIN-94-019
Number of pages: 34 Posted: 11 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 128 (281,435)

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A New Strategy for Dynamically Hedging Mortgage-Backed Securities

Posted: 28 Apr 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University

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22.

The Valuation of Mutual Fund Contracts

NYU Working Paper No. SC-AM-03-09
Number of pages: 48 Posted: 04 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of California, Berkeley - Haas School of Business and New York University
Downloads 118 (297,522)

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23.

Do Asset Prices Reflect Fundamentals?

NYU Working Paper No. FIN-02-043
Number of pages: 51 Posted: 03 Nov 2008
Jacob Boudoukh, YuQing Shen and Robert Whitelaw
Interdisciplinary Center (IDC) Herzliyah, affiliation not provided to SSRN and New York University
Downloads 106 (320,666)

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24.

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Fcoj Market

NYU Working Paper No. SC-AM-02-07
Number of pages: 51 Posted: 13 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, affiliation not provided to SSRN and New York University
Downloads 94 (346,695)
Citation 1

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25.
Downloads 90 (356,349)

Regime Shifts and Bond Returns

NYU Working Paper No. S-MF-99-12
Number of pages: 41 Posted: 12 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 62 (445,323)

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Regime Shifts and Bond Returns

NYU Working Paper No. FIN-99-010
Number of pages: 41 Posted: 07 Nov 2008
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance, University of Queensland - Faculty of Business, Economics and Law and New York University
Downloads 28 (611,220)

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26.

The Financial Crisis: Whence and Whither?

Israel Economic Review, Vol. 8, No. 2, 2010
Number of pages: 6 Posted: 20 Dec 2012
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah
Downloads 62 (439,272)

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27.

Stale Prices and Strategies for Trading Mutual Funds

Posted: 16 Apr 2003
New York University (NYU) - Department of Finance, New York University, Interdisciplinary Center (IDC) Herzliyah and New York University (NYU) - Leonard N. Stern School of Business

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Portfolio Management: trading and execution, Portfolio Management: private client focus

28.

A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns

REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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29.

New Strategy for Dynamically Hedging Mortgage-Backed Securities

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 25 May 1998
Interdisciplinary Center (IDC) Herzliyah, University of California, Berkeley - Haas School of Business, New York University (NYU) - Department of Finance and New York University

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30.

Can Market-Timers Time Markets? Evidence on the Predictability of Stock Returns from Asset Allocation Funds

Posted: 26 Apr 1998
Jacob Boudoukh
Interdisciplinary Center (IDC) Herzliyah

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31.

Hedging the Interest Rate Risk of Brady Bonds

96-50
Posted: 22 Jan 1997
Interdisciplinary Center (IDC) Herzliyah, New York University (NYU) - Department of Finance and New York University

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