Fac Staff Detail

Professor Ang specializes in empirical asset pricing and applications of econometrics to financial problems. He has developed macro-models of fixed income, valuation models with time-varying expected returns, models of downside risk and other non-linearities in asset returns, and models of dynamic asset allocation. He is a Research Associate of the National Bureau of Research and is the recipient of several grants, including grants from the National Science foundation and grants from major industry organizations such as the Q-Group, INQUIRE-UK, and INQUIRE-Europe. He is Associate Editor at half a dozen journals including the Journal of Finance and Journal of Financial and Quantitative Analysis. Professor Ang teaches courses on investment management and empirical asset pricing.

• Fall 2012
  Asset Management (MBA)
  
• Spring 2011
  Quantitative Investments (Master Class) (MBA)
  
• Fall 2011
  Asset Management (MBA)
  
• Summer 2010
  Capital Markets & Investments (EMBA)
  
• Fall 2009
  Quantitative Investments (Master Class) (MBA)
  

Hedge Fund Leverage In Journal of Financial Economics (2011)
Author(s): Andrew Ang, Sergiy Gorovyy, Greg van Inwegen

Monetary Policy Shifts and the Term Structure In The Review of Economic Studies (2011)
Author(s): Andrew Ang, Jean Boivin, Sen Dong, Rudy Loo-Kung

Taxes on Tax-Exempt Bonds In Journal of Finance (2010)
Author(s): Andrew Ang, Vineer Bhansali, Yuhang Xing

Build America Bonds In The Journal of Fixed Income (2010)
Author(s): Andrew Ang, Vineer Bhansali, Yuhang Xing

Locked Up by a Lockup: Valuing Liquidity as a Real Option In Financial Management (2010)
Author(s): Andrew Ang, Nicolas P. B. Bollen

High idiosyncratic volatility and low returns: International and further U.S. evidence In Journal of Financial Economics (2009)
Author(s): Andrew Ang, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang

Do Funds-of-Funds Deserve Their Fees-on-Fees? In Journal of Investment Management (2008)
Author(s): Andrew Ang, Rui Zhao

Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better? In Journal of Monetary Economics (2007)
Author(s): Geert Bekaert, Andrew Ang, Min Wei

CAPM over the Long Run: 1926–2001 In Journal of Empirical Finance (2007)
Author(s): Andrew Ang, Joseph Chen

Is IPO Underperformance a Peso Problem? In Journal of Financial and Quantitative Analysis (2007)
Author(s): Andrew Ang, Li Gu, Yael Hochberg

Risk, Return, and Dividends In Journal of Financial Economics (2007)
Author(s): Andrew Ang, Jun Liu

Stock Return Predictability: Is It There? In Review of Financial Studies (2007)
Author(s): Geert Bekaert, Andrew Ang

The Cross Section of Volatility and Expected Returns In Journal of Finance (2006)
Author(s): Andrew Ang, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang

Downside Risk In Review of Financial Studies (2006)
Author(s): Andrew Ang, Joseph Chen, Yuhang Xing

What Does the Yield Curve Tell Us about GDP Growth? In Journal of Econometrics (2006)
Author(s): Andrew Ang, Monika Piazzesi, Min Wei

Why Stocks May Disappoint In Journal of Financial Economics (2005)
Author(s): Geert Bekaert, Andrew Ang, Jun Liu

Do Demographic Changes Affect Risk Premiums? Evidence from International Data In The Journal of Business (2005)
Author(s): Andrew Ang, Angela Maddaloni

How Do Regimes Affect Asset Allocation? In Financial Analysts Journal (2004)
Author(s): Geert Bekaert, Andrew Ang

How to Discount Cash Flows with Time-Varying Expected Returns In Journal of Finance (2004)
Author(s): Andrew Ang, Jun Liu

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables In Journal of Monetary Economics (2003)
Author(s): Andrew Ang, Monika Piazzesi

Asymmetric Correlations of Equity Portfolios In Journal of Financial Economics (2002)
Author(s): Andrew Ang, Joseph Chen

International Asset Allocation with Regime Shifts In Review of Financial Studies (2002)
Author(s): Geert Bekaert, Andrew Ang

GM Asset Management e la strategia a bassa volatilità di Martingale : Fall 2012
Author(s): Andrew Ang

California Dreamin’: The Mess at CalPERS: Fall 2012
Author(s): Andrew Ang, Jeremy Abrams

Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board : Summer 2012
Author(s): Andrew Ang

GM Asset Management and Martingale's Low Volatility Strategy: Spring 2012
Author(s): Andrew Ang

Stay the Course: Portfolio Advice in the Face of Large Losses: Fall 2011
Author(s): Andrew Ang

Is Real Estate Real?: Fall 2011
Author(s): Andrew Ang, Lynne Sagalyn, Rona Smith

Who Watches the Watchman? New York State Common Retirement Fund: Summer 2011
Author(s): Andrew Ang

Liquidating Harvard: Spring 2011
Author(s): Andrew Ang

The Quant Meltdown: August 2007: Fall 2008
Author(s): Andrew Ang

The Norwegian Government Pension Fund: The Divestiture of Wal-Mart Stores Inc.: Spring 2008
Author(s): Andrew Ang

Asset Pricing in the Dark: The Cross Section of OTC Stocks Working Paper (2013)
Author(s): Andrew Ang, Assaf Shtauber, Paul Tetlock

Searching for a Common Factor in Public and Private Real Estate Returns (2012)
Author(s): Andrew Ang, Neil Nabar, Samuel Wald

Decomposing Equity Returns Working paper (2010)
Author(s): Maxim Ulrich, Andrew Ang

Testing Conditional Factor Models Working Paper (2010)
Author(s): Andrew Ang, Dennis Kristensen

The Joint Cross Section of Stocks and Options Working Paper (2010)
Author(s): Andrew Ang, Turan Bali, Nusret Cakici

When Hedge Funds Block the Exits Working Paper (2010)
Author(s): Andrew Ang, Nicolas P. B. Bollen

Yield Curve Predictors of Foreign Exchange Returns Working Paper (2010)
Author(s): Andrew Ang, Joseph Chen

Norwegian Government Pension Fund–Global Reports on Active Management of the Norwegian Government Pension Fund Global (2009)
Author(s): Andrew Ang, William N. Goetzmann, Stephen M. Schaefer

Using Stocks or Portfolios in Tests of Factor Models Working Paper (2008)
Author(s): Andrew Ang, Jun Liu, Krista Schwarz

No-Arbitrage Taylor Rules Working Paper No. 13448 (2007)
Author(s): Andrew Ang, Sen Dong, Monika Piazzesi

The Term Structure of Real Rates and Expected Inflation Working paper (2006)
Author(s): Geert Bekaert, Andrew Ang