Robert Hodrick
Nomura Professor of International Finance
Academic Advisory Board Member
AB, Princeton, 1972; PhD, University of Chicago, 1976.
Year joined: 1996
E-mail: rh169@columbia.edu
Journal articles
"Aggregate Idiosyncratic Volatility"
Journal of Financial and Quantitative Analysis
(2012)
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"International Stock Return Comovements"
Journal of Finance
(2009)
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"High idiosyncratic volatility and low returns: International and further U.S. evidence"
Journal of Financial Economics
(2009)
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"The Cross Section of Volatility and Expected Returns"
Journal of Finance
(2006)
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"Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics?"
Journal of Economic Dynamics and Control
(2002)
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"Evaluating the Specification Errors of Asset Pricing Models"
Journal of Financial Economics
(2001)
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"'Peso Problem' Explanations for Term Structure Anomalies"
Journal of Monetary Economics
(2001)
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"Expectations Hypotheses Tests"
Journal of Finance
(2001)
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"An International Dynamic Asset Pricing Model"
International Tax and Public Finance
(1999)
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"On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates"
Journal of Financial Economics
(1997)
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"Postwar U.S. Business Cycles: An Empirical Investigation"
Journal of Money, Credit, and Banking
(1997)
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"The Implications of First-Order Risk Aversion for Asset Market Risk Premiums"
Journal of Monetary Economics
(1997)
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"On Biases in the Measurement of Foreign Exchange Risk Premiums"
Journal of International Money and Finance
(1993)
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"Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets"
Journal of Finance
(1992)
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"Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement"
Review of Financial Studies
(1992)
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"The Variability of Velocity in Cash-in-Advance Models"
Journal of Political Economy
(1991)
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"Risk, Uncertainty, and Exchange Rates"
Journal of Monetary Economics
(1989)
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"Asset Price Volatility, Bubbles, and Process Switching"
Journal of Finance
(1986)
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"Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle"
Quarterly Journal of Economics
(1985)
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"Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis"
Journal of Political Economy
(1980)
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Working papers
"Estimating the Conditional CAPM with Overlapping Data Inference"
(2013)
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Books
International Financial Management
(2012)
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International Financial Management
(2008)
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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)
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Chapters
"Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models"
Exchange Rates and International Macroeconomics
(1983)
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