Andrew Ang

Ann F. Kaplan Professor of Business; Chair, Finance and Economics Division

Finance and Economics

Academic Advisory Board Member

Program for Financial Studies

BEc (Hons) Macquarie, Australia, 1994; MS, Stanford, 1997; PhD, 1999

Joined CBS in 1999

Download Curriculum Vitae (PDF)

Andrew Ang

Office
413 Uris

Phone
212-854-9154

E-mail
aa610@columbia.edu

Fax
212-854-9895

Teaching and research interest

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.

Journal articles

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

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Liability-Driven Investment with Downside Risk In Journal of Portfolio Management (2013)
Author(s): Andrew Ang, Bingxu Chen, M. Suresh Sundaresan

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Inflation and Individual Equities In Financial Analysts Journal (2012)
Author(s): Andrew Ang, Marie Briere, Ombretta Signori

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Predicting Dividends in Log-Linear Present Value Models In Pacific-Basin Finance Journal (2012)
Author(s): Andrew Ang

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Regime Changes and Financial Markets In Annual Review of Financial Economics (2012)
Author(s): Andrew Ang, Allan Timmermann

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Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches In Quarterly Journal of Finance (2012)
Author(s): Andrew Ang, Morten Sorensen

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

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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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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

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

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

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CaseWorks

Saving Public Pensions: Rhode Island Pension Reform: Fall 2013
Author(s): Andrew Ang

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

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

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

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

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

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

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

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

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

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

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Working Papers

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

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

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

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

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

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

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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

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

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

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

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