Robert J. Hodrick

Nomura Professor of International Finance

Finance and Economics

Academic Advisory Board Member

Program for Financial Studies

AB, Princeton, 1972; PhD, University of Chicago, 1976.

Joined CBS in 1996

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Robert Hodrick

Office
414 Uris

Phone
212-854-3413

E-mail
rh169@columbia.edu

Fax
212-854-9895

Teaching and research interest

Professor Hodrick teaches both fundamental and advanced courses in international finance. His expertise is in the valuation of financial assets. His current research explores the empirical implications of theoretical pricing models that generate time-varying risk premiums in the markets for bonds, equities and foreign currencies. He is also a research associate of the National Bureau of Economic Research.

Honors and awards

  • Best Advisor for 2000
    Awarded by the Ph.D. students of the Columbia Economics Department
  • 2nd Place, 2000 International Investment Forum Academic Competition
  • June 2000-June 2003 National Science Foundation Grant
    National Science Foundation Grant #SES-0082352, "Empirical Asset Pricing"
  • 1997 Chazen International Innovation Prize
    Columbia Business School
  • April 1994 - Dr. Roger F. Murray Prize
    The Institute for Quantitative Research in Finance

Chapters

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In Exchange Rates and International Macroeconomics (1983)
Author(s): Lars Hansen, Robert Hodrick

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Journal articles

Aggregate Idiosyncratic Volatility In Journal of Financial and Quantitative Analysis (2012)
Author(s): Geert Bekaert, Robert Hodrick, Xiaoyan Zhang

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International Stock Return Comovements In Journal of Finance (2009)
Author(s): Geert Bekaert, Robert Hodrick, Xiaoyan Zhang

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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

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

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Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics? In Journal of Economic Dynamics and Control (2002)
Author(s): Robert Hodrick, Maria Vassalou

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Evaluating the Specification Errors of Asset Pricing Models In Journal of Financial Economics (2001)
Author(s): Robert Hodrick, Xiaoyan Zhang

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'Peso Problem' Explanations for Term Structure Anomalies In Journal of Monetary Economics (2001)
Author(s): Geert Bekaert, Robert Hodrick, David Marshall

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Expectations Hypotheses Tests In Journal of Finance (2001)
Author(s): Geert Bekaert, Robert Hodrick

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An International Dynamic Asset Pricing Model In International Tax and Public Finance (1999)
Author(s): Robert Hodrick, David Ng, Paul Sengmueller

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On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates In Journal of Financial Economics (1997)
Author(s): Geert Bekaert, Robert Hodrick, David Marshall

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Postwar U.S. Business Cycles: An Empirical Investigation In Journal of Money, Credit, and Banking (1997)
Author(s): Robert Hodrick, Edward Prescott

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The Implications of First-Order Risk Aversion for Asset Market Risk Premiums In Journal of Monetary Economics (1997)
Author(s): Geert Bekaert, Robert Hodrick, David Marshall

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On Biases in the Measurement of Foreign Exchange Risk Premiums In Journal of International Money and Finance (1993)
Author(s): Geert Bekaert, Robert Hodrick

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Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets In Journal of Finance (1992)
Author(s): Geert Bekaert, Robert Hodrick

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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement In Review of Financial Studies (1992)
Author(s): Robert Hodrick

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The Variability of Velocity in Cash-in-Advance Models In Journal of Political Economy (1991)
Author(s): Robert Hodrick, Narayana Kocherlakota, Deborah Lucas

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Risk, Uncertainty, and Exchange Rates In Journal of Monetary Economics (1989)
Author(s): Robert Hodrick

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Asset Price Volatility, Bubbles, and Process Switching In Journal of Finance (1986)
Author(s): Robert Flood, Robert Hodrick

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Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In Quarterly Journal of Economics (1985)
Author(s): Robert Flood, Robert Hodrick

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Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis In Journal of Political Economy (1980)
Author(s): Lars Hansen, Robert Hodrick

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Books

International Financial Management (2012)
Author(s): Geert Bekaert, Robert Hodrick

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International Financial Management (2008)
Author(s): Geert Bekaert, Robert Hodrick

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The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets: Volume 24 in Fundamentals of Pure and Applied Economics (1987)
Author(s): Robert Hodrick, Hugo Sonnenschein

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Working Papers

The Carry Trade: Risks and Drawdowns NBER Working Paper No. 20433 (2014)
Author(s): Kent Daniel, Robert Hodrick, Zhongjin Lu

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Estimating the Risk-Return Trade-off with Overlapping Data Inference (2014)
Author(s): Esben Hedegaard, Robert Hodrick

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International Diversification Revisited (2014)
Author(s): Robert Hodrick, Xiaoyan Zhang

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Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances Working Paper No. 20245 (2014)
Author(s): Esben Hedegaard, Robert Hodrick

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