Andrew Ang

BlackRock, Inc

55 East 52nd Street

New York City, NY 10055

United States

SCHOLARLY PAPERS

82

DOWNLOADS
Rank 62

SSRN RANKINGS

Top 62

in Total Papers Downloads

128,134

SSRN CITATIONS
Rank 48

SSRN RANKINGS

Top 48

in Total Papers Citations

3,925

CROSSREF CITATIONS

4,126

Scholarly Papers (82)

1.

Factor Investing

Columbia Business School Research Paper No. 13-42
Number of pages: 72 Posted: 11 Jun 2013
Andrew Ang
BlackRock, Inc
Downloads 18,214 (210)
Citation 6

Abstract:

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risk premium, bad times, factor allocation, alternative beta, smart beta, exotic beta, dynamic portfolio choice, fixed income weights, GDP-weights

2.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 9,623 (691)
Citation 9

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3.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49
Number of pages: 62 Posted: 19 Aug 2012
Andrew Ang
BlackRock, Inc
Downloads 6,392 (1,410)
Citation 6

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Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk

4.
Downloads 5,564 ( 1,765)
Citation 1,090

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 3,803 (3,397)
Citation 226

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Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

Number of pages: 57 Posted: 27 Oct 2004 Last Revised: 28 Aug 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,761 (12,132)
Citation 339

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5.
Downloads 4,807 ( 2,320)
Citation 9

Investing for the Long Run

Number of pages: 15 Posted: 12 Nov 2011
Andrew Ang and Knut N. Kjaer
BlackRock, Inc and Independent
Downloads 3,455 (4,015)
Citation 11

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contrarian, countercyclical investing, agency problem, delegated portfolio management, illiquid investments

Investing for the Long Run

Netspar Discussion Paper No. 11/2011-104
Number of pages: 16 Posted: 24 Dec 2011 Last Revised: 03 Feb 2012
Andrew Ang and Knut N. Kjaer
BlackRock, Inc and Independent
Downloads 1,352 (18,276)
Citation 1

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6.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 3,294 (4,433)
Citation 21

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asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

Estimating Private Equity Returns from Limited Partner Cash Flows

Columbia Business School Research Paper No. 13-83
Number of pages: 64 Posted: 18 Nov 2013 Last Revised: 22 Jun 2014
BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
Downloads 2,409 (7,314)
Citation 28

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Estimating Private Equity Returns from Limited Partner Cash Flows

Netspar Discussion Paper No. 06/2014-021, Saïd Business School WP 2014-8
Number of pages: 44 Posted: 02 Jul 2014 Last Revised: 18 Feb 2017
BlackRock, Inc, Columbia Business School - Finance and Economics, Yale School of Management - International Center for Finance and University of Oxford - Said Business School
Downloads 858 (35,378)
Citation 22

Abstract:

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8.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,153 (4,793)
Citation 7

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book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta

9.
Downloads 3,070 ( 5,024)
Citation 51

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Andrew Ang, Turan G. Bali and Nusret Cakici
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,513 (15,403)
Citation 11

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implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 1,292 (19,561)
Citation 4

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 202 (192,052)
Citation 17

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Number of pages: 96 Posted: 01 Nov 2013 Last Revised: 12 Jul 2021
Nanyang Business School, Nanyang Technological University, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham university
Downloads 63 (442,799)
Citation 13

Abstract:

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10.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,020 (5,152)
Citation 50

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carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity

11.
Downloads 2,911 ( 5,466)
Citation 100

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 23 Mar 2001
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,429 (7,210)
Citation 92

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Present value model, predictability, international predictability, short rates, dividend yield, earnings yield

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 31 Mar 2001 Last Revised: 06 Jun 2021
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 482 (75,298)

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12.

'Real' Assets

Columbia Business School Research Paper No. 12-60
Number of pages: 64 Posted: 13 Oct 2012
Andrew Ang
BlackRock, Inc
Downloads 2,890 (5,525)
Citation 4

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Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT

13.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 2,817 (5,781)
Citation 3

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Rebalancing, Long-horizon investing, Diversification return, Kelly rule, Ulysses contract, Short volatility strategy

14.

Illiquid Asset Investing

Columbia Business School Research Paper No. 13-2
Number of pages: 50 Posted: 13 Jan 2013
Andrew Ang
BlackRock, Inc
Downloads 2,779 (5,906)
Citation 6

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illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model

15.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
Capital Group, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 2,729 (6,088)
Citation 12

Abstract:

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ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 2,257 (8,103)
Citation 1

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International Asset Allocation with Time-Varying Correlations

Number of pages: 65 Posted: 15 Sep 2000 Last Revised: 14 Oct 2021
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 353 (108,355)
Citation 3

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17.
Downloads 2,494 ( 7,043)
Citation 50

Portfolio Choice with Illiquid Assets

Number of pages: 46 Posted: 26 Oct 2010 Last Revised: 01 Oct 2014
Downloads 1,885 (10,860)
Citation 8

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Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises

Portfolio Choice with Illiquid Assets

Netspar Discussion Paper No. 10/2010-092
Number of pages: 47 Posted: 22 Apr 2011 Last Revised: 19 Sep 2014
Downloads 296 (131,442)

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Asset allocation, liquidity, alternative assets, liquidity crises

Portfolio Choice with Illiquid Assets

Management Science, November 2014, Columbia Business School Research Paper No. 14-52
Number of pages: 46 Posted: 03 Oct 2014
Downloads 266 (146,885)

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Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises

Portfolio Choice with Illiquid Assets

Number of pages: 47 Posted: 14 Sep 2013 Last Revised: 11 Aug 2021
Downloads 47 (508,083)
Citation 18

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18.
Downloads 2,055 ( 9,610)
Citation 126

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,482 (15,928)
Citation 10

Abstract:

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asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

Number of pages: 53 Posted: 20 Feb 2006 Last Revised: 24 Oct 2021
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 573 (60,617)
Citation 32

Abstract:

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Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

Abstract:

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19.
Downloads 1,888 ( 11,047)
Citation 156

The Term Structure of Real Rates and Expected Inflation

Number of pages: 64 Posted: 16 Jul 2003
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,485 (15,878)
Citation 10

Abstract:

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regime-switching term structure model, inflation risk premium, business cycles

The Term Structure of Real Rates and Expected Inflation

Number of pages: 68 Posted: 24 Feb 2007 Last Revised: 02 May 2021
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 381 (99,337)
Citation 1

Abstract:

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The Term Structure of Real Rates and Expected Inflation

Number of pages: 67 Posted: 14 Sep 2004
Andrew Ang and Geert Bekaert
BlackRock, Inc and Columbia Business School - Finance and Economics
Downloads 22 (656,540)
Citation 17
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20.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 11 Aug 2020
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
Downloads 1,871 (11,203)
Citation 93

Abstract:

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Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 24 Jan 2008 Last Revised: 18 Jul 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 715 (45,407)
Citation 15

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 659 (50,636)
Citation 8

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 478 (76,062)
Citation 6

Abstract:

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idiosyncratic volatility, Fama-MacBeth regression

22.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,846 (11,430)
Citation 82

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23.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost

Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48 Posted: 07 May 2015 Last Revised: 29 Jul 2019
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and SUSTech Business School
Downloads 1,779 (12,174)
Citation 11

Abstract:

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Chinese local government debt, real estate, political risk, government guarantee

24.
Downloads 1,751 ( 12,452)
Citation 242

What Does the Yield Curve Tell Us About GDP Growth?

Number of pages: 40 Posted: 23 Jan 2005
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve System
Downloads 1,471 (16,098)
Citation 22

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GDP Forecasting; Short Rate; Term Spread; Arbitrage-Free Term Structure Models; Out-of-Sample Forecast

What Does the Yield Curve Tell Us About GDP Growth?

Number of pages: 59 Posted: 02 Sep 2004 Last Revised: 30 Aug 2021
Andrew Ang, Monika Piazzesi and Min Wei
BlackRock, Inc, University of Chicago - Booth School of Business and Board of Governors of the Federal Reserve System
Downloads 280 (139,274)
Citation 37

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25.
Downloads 1,642 ( 13,779)
Citation 10

Investment Beliefs of Endowments

Columbia Business School Research Paper No. 13-72
Number of pages: 55 Posted: 19 Sep 2013 Last Revised: 03 Apr 2014
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
Downloads 1,198 (21,911)
Citation 2

Abstract:

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Hedge funds, private equity, alternative assets, portfolio choice

Investment Beliefs of Endowments

Netspar Discussion Paper No. 06/2014-027
Number of pages: 58 Posted: 09 Jul 2014
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
Downloads 443 (83,351)
Citation 7

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Investment Beliefs of Endowments

European Financial Management, Vol. 24, Issue 1, pp. 3-33, 2018
Number of pages: 31 Posted: 19 Jan 2018
BlackRock, Inc, Amazon.com and Yale School of Management - International Center for Finance
Downloads 1 (839,074)
Citation 3
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alternative assets, asset allocation, hedge funds, portfolio choice, private equity

26.

How Often Should You Take Tactical Asset Allocation Decisions?

Columbia Business School Research Paper No. 15-27
Number of pages: 39 Posted: 07 Mar 2015
Nanyang Business School, Nanyang Technological University, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,623 (14,019)
Citation 1

Abstract:

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market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands

27.
Downloads 1,557 ( 14,948)
Citation 29

How Do Regimes Affect Asset Allocation?

Number of pages: 35 Posted: 27 May 2002
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,197 (21,935)
Citation 20

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market timing, tactical asset allocation, regime switching, international diversification

How Do Regimes Affect Asset Allocation?

Number of pages: 28 Posted: 14 Nov 2003 Last Revised: 19 Jul 2010
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 360 (105,994)
Citation 2

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28.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-42
Number of pages: 13 Posted: 17 Sep 2014
Andrew Ang, Amit Goyal and Antti Ilmanen
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads 1,500 (15,914)
Citation 3

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Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution

29.
Downloads 1,441 ( 16,921)
Citation 32

Regime Switches in Interest Rates

Number of pages: 70 Posted: 01 Jun 1998
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 1,170 (22,676)
Citation 33

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Regime Switches in Interest Rates

Number of pages: 71 Posted: 12 Jul 2000 Last Revised: 15 Oct 2021
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 271 (144,118)

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30.
Downloads 1,399 ( 17,668)
Citation 55

Hedge Fund Leverage

Number of pages: 54 Posted: 02 Aug 2010 Last Revised: 15 Jun 2011
BlackRock, Inc, Ellington Management Group and Citi Private Bank
Downloads 1,240 (20,813)
Citation 53

Abstract:

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capital structure, long-short positions, exposure, hedging, systemic risk

Hedge Fund Leverage

Number of pages: 60 Posted: 28 Feb 2011 Last Revised: 30 May 2021
BlackRock, Inc, Ellington Management Group and Citi Private Bank
Downloads 159 (237,140)
Citation 6

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31.

The Muni Bond Spread: Credit, Liquidity, and Tax

Columbia Business School Research Paper No. 14-37
Number of pages: 49 Posted: 30 Aug 2014
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 1,369 (18,277)
Citation 14

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municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes

32.

The Four Benchmarks of Sovereign Wealth Funds

Number of pages: 29 Posted: 22 Sep 2010
Andrew Ang
BlackRock, Inc
Downloads 1,331 (19,035)
Citation 5

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legitimacy, performance, management, government, equilibrium, long run

33.

Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches

Number of pages: 32 Posted: 30 Jul 2012
Andrew Ang and Morten Sorensen
BlackRock, Inc and Dartmouth College - Tuck School of Business
Downloads 1,290 (19,959)
Citation 6

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34.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 1,252 (20,873)

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Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression

35.
Downloads 1,213 ( 21,889)
Citation 16

Risk, Return and Dividends

Number of pages: 50 Posted: 20 Apr 2004
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 988 (29,032)
Citation 1

Abstract:

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risk-return trade-off, risk premium,stochastic volatility, predictability

Risk, Return and Dividends

Number of pages: 48 Posted: 20 Jan 2007 Last Revised: 06 Aug 2021
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 225 (173,372)
Citation 3

Abstract:

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How to Discount Cashflows with Time-Varying Expected Returns

Number of pages: 46 Posted: 31 May 2002
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,025 (27,585)
Citation 13

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present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting

Number of pages: 44 Posted: 27 Oct 2003 Last Revised: 15 Jun 2020
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 180 (213,045)
Citation 1

Abstract:

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How to Discount Cashflows with Time-Varying Expected Returns

Posted: 04 Apr 2005
Andrew Ang and Jun Liu
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management

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present value, term structure of discount rates, time-varying beta, time-varying risk premium, capital budgeting

37.
Downloads 1,113 ( 24,837)
Citation 17

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 49 Posted: 30 Oct 2008 Last Revised: 17 Nov 2012
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 735 (43,766)
Citation 3

Abstract:

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Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 40 Posted: 11 Mar 2009
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 173 (220,563)
Citation 14

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hedge fund lockup, withdrawal, redemption notice period, suspension clause

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Financial Management, Vol. 39, No. 3, pp. 1069-1096, November 2008
Number of pages: 49 Posted: 21 Oct 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 170 (223,917)
Citation 3

Abstract:

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Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 56 Posted: 26 Apr 2010 Last Revised: 19 Jul 2021
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 35 (569,465)
Citation 2

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38.
Downloads 1,103 ( 25,174)
Citation 62

Regime Changes and Financial Markets

Netspar Discussion Paper No. 06/2011-068
Number of pages: 34 Posted: 30 Aug 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 1,025 (27,585)
Citation 4

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regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps

Regime Changes and Financial Markets

Number of pages: 34 Posted: 05 Jul 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 70 (418,408)

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Regime Changes and Financial Markets

Number of pages: 35 Posted: 20 Jul 2011
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD
Downloads 8 (771,993)
Citation 24
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jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching

Regime Changes and Financial Markets

Annual Review of Financial Economics, Vol. 4, pp. 313-337, 2012
Posted: 04 Nov 2012
Andrew Ang and Allan Timmermann
BlackRock, Inc and UCSD

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A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Number of pages: 44 Posted: 22 Nov 1999
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 799 (39,072)
Citation 122

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A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Number of pages: 51 Posted: 28 Jun 2001 Last Revised: 08 Nov 2021
Andrew Ang and Monika Piazzesi
BlackRock, Inc and University of Chicago - Booth School of Business
Downloads 285 (136,739)
Citation 1

Abstract:

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40.
Downloads 1,021 ( 28,138)
Citation 9

Do Funds-of-Funds Deserve Their Fees-on-Fees?

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 23 Mar 2005
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
Downloads 852 (35,730)
Citation 11

Abstract:

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hedge fund, fund-of-funds, portfolio allocation, certainty equivalent

Do Funds-of-Funds Deserve Their Fees-on-Fees?

Number of pages: 34 Posted: 17 Apr 2008 Last Revised: 07 Feb 2021
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao
BlackRock, Inc, Harvard Business School - Entrepreneurial Management Unit and BlackRock, Inc.
Downloads 169 (224,996)
Citation 3

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Do Funds-of-Funds Deserve Their Fees-on-Fees?

Journal of Investment Management, Fourth Quarter 2008
Posted: 26 Nov 2008 Last Revised: 15 Jun 2011
Andrew Ang, Rui Zhao and Matthew Rhodes-Kropf
BlackRock, Inc, BlackRock, Inc. and Harvard Business School - Entrepreneurial Management Unit

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Hedge funds, survivorship bias, performance evaluation, benchmarking, asset allocation

41.
Downloads 996 ( 29,139)
Citation 55

Testing Conditional Factor Models

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 04 Mar 2009
BlackRock, Inc and Aarhus University - CREATESUniversity College London
Downloads 517 (69,060)
Citation 4

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Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect

Testing Conditional Factor Models

Netspar Discussion Paper No. 01/2011-030
Number of pages: 63 Posted: 19 Apr 2011
BlackRock, Inc and Aarhus University - CREATESUniversity College London
Downloads 426 (87,305)
Citation 1

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Testing Conditional Factor Models

Number of pages: 59 Posted: 04 Nov 2011 Last Revised: 27 Jun 2021
BlackRock, Inc and Aarhus University - CREATESUniversity College London
Downloads 53 (481,631)
Citation 17

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42.
Downloads 981 ( 29,753)
Citation 77

Why Stocks May Disappoint

Number of pages: 55 Posted: 30 Mar 2000
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 824 (37,454)
Citation 21

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Why Stocks May Disappoint

Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 09 Oct 2021
Andrew Ang, Geert Bekaert and Jun Liu
BlackRock, Inc, Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 157 (239,782)
Citation 7

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Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Number of pages: 59 Posted: 04 Feb 2003
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 572 (60,756)

Abstract:

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Population aging, demography, risk premiums, international predictability, social security

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Number of pages: 40 Posted: 28 Jul 2001
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 226 (172,654)

Abstract:

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Population aging, demography, risk premiums, international predictability

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Number of pages: 43 Posted: 16 May 2003
Andrew Ang and Angela Maddaloni
BlackRock, Inc and European Central Bank (ECB)
Downloads 112 (311,261)
Citation 3

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44.
Downloads 873 ( 35,050)
Citation 18

Nominal Bonds, Real Bonds, and Equity

Netspar Discussion Paper No. 12/2011-103
Number of pages: 56 Posted: 24 Dec 2011 Last Revised: 06 Mar 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 574 (60,487)
Citation 11

Abstract:

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term structure, yield curve, equity risk premium, Fed model, TIPS, Taylor rule

Nominal Bonds, Real Bonds, and Equity

Number of pages: 56 Posted: 02 Nov 2011 Last Revised: 17 Apr 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 299 (130,042)
Citation 9

Abstract:

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Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Netspar Discussion Paper No. 11/2010-093
Number of pages: 76 Posted: 21 Apr 2011 Last Revised: 02 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
Downloads 579 (59,777)
Citation 4

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Illiquidity Premium, Limits to Arbitrage, Disclosure, Over-the-counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Return Anomalies

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Number of pages: 76 Posted: 26 Nov 2010 Last Revised: 02 Aug 2013
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
Downloads 283 (137,715)
Citation 1

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Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

Number of pages: 45 Posted: 21 Apr 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 314 (123,290)
Citation 2

Abstract:

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Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

Netspar Discussion Paper No. 04/2011-067
Number of pages: 46 Posted: 30 Aug 2011
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 224 (174,110)
Citation 189

Abstract:

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Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

AFA 2013 San Diego Meetings Paper
Number of pages: 49 Posted: 12 Mar 2012
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 205 (189,325)
Citation 12

Abstract:

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Systemic Sovereign Credit Risk: Lessons from the U.S. And Europe

Number of pages: 46 Posted: 02 May 2011 Last Revised: 27 Nov 2021
Andrew Ang and Francis A. Longstaff
BlackRock, Inc and University of California, Los Angeles (UCLA) - Finance Area
Downloads 38 (552,832)
Citation 23

Abstract:

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47.

Asset Owners and Delegated Managers

Number of pages: 40 Posted: 11 Jul 2012
Andrew Ang
BlackRock, Inc
Downloads 758 (42,567)
Citation 2

Abstract:

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Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract

48.
Downloads 757 ( 42,643)
Citation 7

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 414 (90,196)
Citation 3

Abstract:

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Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051
Number of pages: 29 Posted: 17 Jan 2013
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 343 (111,968)
Citation 4

Abstract:

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49.
Downloads 629 ( 54,531)
Citation 7

Is IPO Underperformance a Peso Problem?

Number of pages: 42 Posted: 12 Apr 2004
Andrew Ang, Li Gu and Yael V. Hochberg
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
Downloads 564 (61,849)
Citation 1

Abstract:

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IPO, long-run performance, small sample inference, peso problem

Is IPO Underperformance a Peso Problem?

Number of pages: 49 Posted: 25 May 2006 Last Revised: 06 Nov 2021
Andrew Ang, Li Gu and Yael V. Hochberg
BlackRock, Inc, Columbia University and National Bureau of Economic Research (NBER)
Downloads 65 (435,560)

Abstract:

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50.
Downloads 595 ( 58,510)
Citation 21

Monetary Policy Shifts and the Term Structure

Number of pages: 53 Posted: 25 Aug 2009 Last Revised: 23 Sep 2021
BlackRock, Inc, Columbia Business SchoolHEC Montreal, Columbia Business School - Economics Department and Inter-American Development Bank (IADB)
Downloads 339 (113,453)
Citation 2

Abstract:

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Monetary Policy Shifts and the Term Structure

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 17 Mar 2008
Jean Boivin, Jean Boivin, Sen Dong and Andrew Ang
Columbia Business SchoolHEC Montreal, Columbia Business School - Economics Department and BlackRock, Inc
Downloads 256 (152,746)
Citation 8

Abstract:

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Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model

51.
Downloads 572 ( 61,435)
Citation 24

No-Arbitrage Taylor Rules

Number of pages: 56 Posted: 21 Nov 2004
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 485 (74,728)
Citation 22

Abstract:

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Affine term structure model, monetary policy, interest rate risk

No-Arbitrage Taylor Rules

Number of pages: 51 Posted: 28 Sep 2007 Last Revised: 07 Oct 2021
Andrew Ang, Sen Dong and Monika Piazzesi
BlackRock, Inc, Columbia Business School - Economics Department and University of Chicago - Booth School of Business
Downloads 87 (368,126)
Citation 2

Abstract:

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52.
Downloads 571 ( 61,578)
Citation 8

Inflation and Individual Equities

Number of pages: 25 Posted: 12 Apr 2011
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 312 (124,127)
Citation 1

Abstract:

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Inflation and Individual Equities

Netspar Discussion Paper No. 04/2011-069
Number of pages: 26 Posted: 30 Aug 2011
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 207 (187,643)
Citation 1

Abstract:

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Inflation and Individual Equities

Number of pages: 30 Posted: 07 Feb 2012 Last Revised: 20 Aug 2021
Andrew Ang, Marie Briere and Ombretta Signori
BlackRock, Inc, Amundi Asset Management and AXA Investment Managers
Downloads 52 (485,880)

Abstract:

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Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 09 Aug 2005
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 350 (109,421)
Citation 4

Abstract:

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ARIMA, Phillips curve, forecasting, term structure models

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Number of pages: 55 Posted: 19 Sep 2005 Last Revised: 12 Jul 2021
Andrew Ang, Geert Bekaert and Min Wei
BlackRock, Inc, Columbia Business School - Finance and Economics and Board of Governors of the Federal Reserve System
Downloads 215 (181,091)
Citation 34

Abstract:

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54.

Short Rate Nonlinearities and Regime Switches

Number of pages: 37 Posted: 08 Dec 2000
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Downloads 526 (68,311)
Citation 8

Abstract:

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Short rate, term spread, drift, volatility, regime-switching

55.

Portfolio Structuring and the Value of Forecasting

CFA Institute Research Foundation 2016B - 4
Number of pages: 40 Posted: 31 May 2017
CFA Institute, BlackRock, Inc, Kepos Capital LP, Orbis Investment Management Limited, University of Pennsylvania, Good Judgment Inc. and Washington University in St. LouisSaint Louis University
Downloads 514 (70,322)

Abstract:

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56.
Downloads 510 ( 70,994)
Citation 14

Advance Refundings of Municipal Bonds

Columbia Business School Research Paper No. 13-65
Number of pages: 63 Posted: 05 Aug 2013 Last Revised: 14 Aug 2014
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 471 (77,412)

Abstract:

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municipal bonds, advance refunding, public finance

Advance Refundings of Municipal Bonds

Number of pages: 59 Posted: 20 Sep 2013 Last Revised: 03 Sep 2021
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 39 (547,472)

Abstract:

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57.
Downloads 445 ( 83,659)
Citation 30

Taxes on Tax-Exempt Bonds

Number of pages: 64 Posted: 25 Mar 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 225 (173,372)

Abstract:

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municipal bonds, income and capital gains tax, de minimis boundary, public finance

Taxes on Tax-Exempt Bonds

Journal of Finance, Forthcoming
Number of pages: 65 Posted: 26 Nov 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 118 (299,778)
Citation 3

Abstract:

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municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate

Taxes on Tax-Exempt Bonds

Journal of Finance, Vol. 65, No. 2, pp. 565-601, 2008
Number of pages: 48 Posted: 21 Oct 2011
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 55 (473,518)
Citation 2

Abstract:

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Taxes on Tax-Exempt Bonds

Number of pages: 48 Posted: 25 Nov 2008 Last Revised: 12 Aug 2021
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 47 (508,083)
Citation 6

Abstract:

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58.

Index + Factors + Alpha

Number of pages: 47 Posted: 06 Oct 2020 Last Revised: 15 Mar 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc - San Francisco and BlackRock, Inc
Downloads 420 (89,729)

Abstract:

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59.

Factor Risk Premiums and Invested Capital: Calculations with Stochastic Discount Factors

Number of pages: 22 Posted: 05 Dec 2016
Andrew Ang, Ked Hogan and Sara Shores
BlackRock, Inc, BlackRock, Inc and BlackRock
Downloads 354 (109,113)
Citation 1

Abstract:

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60.

CAPM Over the Long Run: 1926-2001

Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 12 Jul 2010
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 286 (136,930)
Citation 6

Abstract:

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61.

Downside Risk and the Momentum Effect

Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 15 Aug 2021
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 245 (160,095)
Citation 7

Abstract:

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62.

Optimal Currency Allocation to Add Alpha and Reduce Risk

Number of pages: 41 Posted: 07 May 2021
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Downloads 236 (165,981)

Abstract:

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FX, Asset allocation

63.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 212 (183,751)
Citation 78

Abstract:

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64.

Andrew Ang, PhD: Including Factor Investing in Portfolio Design

Journal of Investment Consulting, Vol. 20, No. 1, 2020, pp. 4-11
Number of pages: 10 Posted: 13 Jan 2021
Andrew Ang
BlackRock, Inc
Downloads 194 (199,310)

Abstract:

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[Andrew Ang, Factor Investing, Portfolio Design

65.

Climate Alpha with Predictors also Improving Firm Efficiency

Number of pages: 32 Posted: 16 Aug 2021
BlackRock, Inc - San Francisco, BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc
Downloads 167 (227,044)

Abstract:

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66.

When Hedge Funds Block the Exits

Number of pages: 19 Posted: 25 Aug 2011
Andrew Ang and Nicolas P. B. Bollen
BlackRock, Inc and Vanderbilt University - Finance
Downloads 116 (302,024)
Citation 2

Abstract:

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67.

Public Pension Portfolios in a World of Low Rates and Low Risk Premiums

Number of pages: 35 Posted: 30 Jun 2021
He Ren, Sarah Siwinski, Calvin Yu and Andrew Ang
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Downloads 100 (334,163)

Abstract:

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Public Pensions, Risk Management, Portfolio Optimization, Alternative Investments

68.

Optimal Claiming of Social Security Benefits

Number of pages: 24 Posted: 01 Jun 2021
BlackRock AI Labs, Stanford University - Department of Electrical Engineering, affiliation not provided to SSRN, Stanford University and BlackRock, Inc
Downloads 63 (436,902)

Abstract:

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Social Security, optimization, lifecycle models

69.

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Number of pages: 77 Posted: 10 Aug 2013 Last Revised: 06 Oct 2021
BlackRock, Inc, Columbia University - Columbia Business School and Columbia Business School - Finance
Downloads 42 (521,394)
Citation 15

Abstract:

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70.
Downloads 20 (650,588)
Citation 1

Build America Bonds

Number of pages: 17 Posted: 30 Sep 2019 Last Revised: 07 Oct 2021
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 20 (671,989)
Citation 1

Abstract:

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Build America Bonds

Posted: 02 May 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University

Abstract:

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Municipal debt, tax-exempt bonds, public finance, tax subsidy

71.

The Efficient Market Theory and Evidence: Implications for Active Investment Management

Foundations and Trends in Finance, Vol. 5, No. 3, 2010
Number of pages: 99 Posted: 29 Feb 2012
BlackRock, Inc, Yale School of Management - International Center for Finance and London Business School - Institute of Finance and Accounting
Downloads 15 (687,094)
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Abstract:

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efficient market hypothesis, CAPM, APT, arbitrage

72.

Investing in US Core Fixed Income with Macro and Style Factors

Posted: 18 Oct 2021 Last Revised: 23 Nov 2021
BlackRock, Inc, Blackrock, BlackRock, Inc - San Francisco, BlackRock, Inc and BlackRock, Inc

Abstract:

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Macro factors, style factors, factor timing, US core index, fixed income

73.

Factors with Style

Posted: 15 Jul 2020
BlackRock, Inc - London, BlackRock, Inc, BlackRock and BlackRock, Inc

Abstract:

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factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift

74.

ESG in Factors

The Journal of Impact and ESG Investing, Fall 2020, 1 (1) 26-45; DOI: https://doi.org/10.3905/jesg.2020.1.1.026
Posted: 10 Feb 2020
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc

Abstract:

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factors, factor investing, sustainable investing, ESG, CSR, socially responsible investing, corporate culture, intangible value, green patents

75.

What Happens with More Funds than Stocks?

Posted: 11 Nov 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

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ETFs, Mutual Funds, Crowding, Factors

76.

Factors and Advisors Portfolios

Posted: 02 Aug 2019
BlackRock, Inc, BlackRock, Inc, BlackRock, Inc and BlackRock, Inc

Abstract:

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portfolio, factors, risk premia, risk

77.

Model Portfolios

Posted: 19 Mar 2018 Last Revised: 27 Aug 2019
BlackRock, Inc, BlackRock, Inc - San Francisco, BlackRock, Inc - San Francisco and BlackRock, Inc

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Portfolio Construction/Optimization; Strategic Asset Allocation; Tactical Asset Allocation; Single Factors; ETFs; Factor Investing; Implementation

78.

What's in Your Benchmark? A Factor Analysis of Major Market Indexes

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 46-59.
Posted: 15 Sep 2017 Last Revised: 20 Aug 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

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Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios

79.

Estimating Time-Varying Factor Exposures

Financial Analysts Journal, Fourth Quarter 2017, Vol. 73, No. 4: 41–54
Posted: 21 Dec 2016 Last Revised: 20 Aug 2019
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

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80.

Capacity of Smart Beta Strategies: A Transaction Cost Perspective

Columbia Business School Research Paper No. 16-76, https://jii.pm-research.com/content/8/3/39
Posted: 31 Oct 2016 Last Revised: 04 Oct 2019
BlackRock, Inc, BlackRock, Inc - London and BlackRock, Inc

Abstract:

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Capacity, smart beta, factor risk premium, transaction cost

81.

Searching for a Common Factor in Public and Private Real Estate Returns

Posted: 12 Oct 2012 Last Revised: 02 Oct 2017
Andrew Ang, Neil Nabar and Samuel Wald
BlackRock, Inc, Fidelity Investments, Inc. - Fidelity Management & Research and Fidelity Investments, Inc. - Fidelity Management & Research

Abstract:

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Real Estate, Direct Real Estate Investments, REITs

82.

How Regimes Affect Asset Allocation?

Posted: 07 May 2004
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc

Abstract:

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Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation