Campbell R. Harvey's Research Papers

cam.harvey@duke.edu
Phone: +1 919.660.7768
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Fax: +1 919.660.8030
URL: http://www.duke.edu/~charvey
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Thesis

"Recovering Expectations of Consumption Growth from an Equilibrium Model of the Term Structure of Interest Rates", University of Chicago, December 1986. Committee: Eugene F. Fama (Chair), Wayne E. Ferson, Robert Stambaugh, Merton H. Miller, Shmuel Kandel and Lars P. Hansen. View PDF.

Publications

"The Real Term Structure and Consumption Growth," Journal of Financial Economics 22, (1988): 305-334. (P1) View PDF, 2.8mb.
"Forecasting Economic Growth with the Bond and Stock Markets," Financial Analysts Journal September/October, (1989): 38-45. ( P2) View PDF, 0.9mb.
"Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24, (1989): 289-317. (P3) View PDF, 2.4mb.
"Bayesian Inference in Asset Pricing Tests," with Guofu Zhou, Journal of Financial Economics 26, (1990): 221-254. (P4) View PDF, 2.6mb.
- Reprinted in Andrew Lo, (ed.) Financial Econometrics, Edward Elgar, 2006.
"The Variation of Economic Risk Premiums," with Wayne Ferson, Journal of Political Economy 99, (1991): 285-315. (P5) View PDF, 4.1mb.
"The Term Structure and World Economic Growth," Journal of Fixed Income 1, (1991): 4-17. (P6) View PDF, 1.9mb.
"Sources of Predictability in Portfolio Returns," with Wayne Ferson, Financial Analysts Journal May/June, (1991): 49-56. (P7) View PDF, 1.1mb.
"Les Taux d'Intérêt et la Croissance Economique en France," Analyse Financière 86, (1991): 97-103. (P8) View PDF, 1.2mb.
"S & P 100 Index Option Volatility," with Robert Whaley, Journal of Finance 46, (1991): 1551-1561. (P9) View PDF, 1.4mb.
"The World Price of Covariance Risk," Journal of Finance 46, (1991): 111-157. (P10) View PDF, 4.5mb.
- Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets, Edward Elgar, 2003.
"Volatility in the Foreign Currency Futures Market," with Roger Huang, Review of Financial Studies 4, (1991): 543-569. (P11) View PDF, 2.7mb.
"Interest Rate Based Forecasts of German Economic Growth," Weltwirtschaftliches Archiv 127, (1991): 701-718. (P12) View PDF, 1.6mb.
"Dividends and S&P 100 Index Option Valuation," with Robert Whaley, Journal of Futures Markets 12, (1992): 123-137. (P13) View PDF, 1.5mb.
"Information and Volatility in the FX Market," with Roger Huang, Finanzmarkt und Portfolio Management 6, (1992): 14-22. (P14) View PDF, 1.4mb.
"Seasonality and Consumption-Based Asset Pricing," with Wayne Ferson, Journal of Finance 47, (1992): 511-552. (P15) View PDF, 4.3mb.
- Updated not-seasonally adjusted consumption data available here.
"Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market," with Robert Whaley, Journal of Financial Economics 31, (1992): 43-73. (P16) View PDF, 3.2mb.
"Explaining the Predictability in Asset Returns," with Wayne Ferson, Research in Finance 11, (1993): 65-106. (P17) View PDF, 3.8mb.
"The Term Structure Forecasts Economic Growth," Financial Analysts Journal May/June, (1993): 6-8. (P18) View PDF, 0.7mb.
"Seasonality and Heteroskedasticity in Consumption-Based Asset Pricing: An Analysis of Linear Models," with Wayne Ferson, Research in Finance 11, (1993): 1-35. (P19) View PDF, 3.3mb.
- Updated not-seasonally adjusted consumption data available here.
"International Asset Pricing with Alternative Distributional Specifications," with Guofu Zhou, Journal of Empirical Finance 1, (1993): 107-131. (P20) View PDF, 2.3mb.
"The Risk and Predictability of International Equity Returns," with Wayne Ferson, Review of Financial Studies 6, (1993): 527-566. (P21) View PDF, 4.1mb.
- Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets, Edward Elgar, 2003.
"Strategic Treasury Debt Management in Public Policy," Policy Studies Review 12, (1993): 76-89. (P22) View PDF, 1.3mb.
"National Risk and Global Fixed Income Allocation," with Claude Erb and Tadas Viskanta, Journal of Fixed Income September, (1994): 17--26. (P23) View PDF, 1.3mb.
"Sources of Risk and Expected Returns in Global Equity Markets," with Wayne Ferson, Journal of Banking and Finance, (1994): 775-803. (P24) View PDF, 2.6mb.
- Also published as NBER working paper 4622.
"Economic Activity Measures in Nonlinear Asset Pricing," Advances in Financial Economics, (1995): 123-154. (P25) View PDF, 2.2mb.
"Country Credit Risk and Global Portfolio Selection," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Winter, (1995): 74-83. (P26) View PDF, 1.2mb.
"Forecasting International Equity Correlations," with Claude Erb and Tadas Viskanta, Financial Analysts Journal November/December, (1994): 32-45. (P27) View PDF, 1.9mb.
"Do World Markets Still Serve as a Hedge?," with Claude Erb and Tadas Viskanta, Journal of Investing Fall, (1995): 23-46. (P28) View PDF, 2.1mb.
"The Cross-Section of Volatility and Autocorrelation in Emerging Markets" Finanzmarkt und Portfolio Management 9, (1995): 12-34. (P29) View PDF, 2.8mb.
"The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, (1995): 19-50. (P30) View PDF, 2.7mb.
"Predictability and Time-Varying Risk in World Equity Markets," with Wayne Ferson, Research in Finance 13, (1995): 25-88. (P31) View PDF, 4.7mb.
"Predictable Risk and Returns in Emerging Markets," Review of Financial Studies 8, (1995): 773-816. (P32) View PDF, 3.4mb.
- Also published as NBER working paper 4621.
"Time-Varying World Market Integration," with Geert Bekaert, Journal of Finance 50, (1995): 403-444. [Lead Article] (P33) View PDF, 4.3mb. Also published as NBER working paper 4843.
- Also published as NBER working paper 4843.
- Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets, Edward Elgar, 2003.
"Inflation and World Equity Selection," with Claude Erb and Tadas Viskanta, Financial Analysts Journal November-December, (1995): 28-42. (P34) View PDF, 2.0mb.
Also in Japanese, Security Analysts Journal Part I, October, (1996): 45-61; Part II, November, (1996): 84-90. (P34J)
"The Relation Between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics 30:1, (1997): 169-193. (P35) View PDF, 2.4mb.
"Expected Returns and Volatility in 135 Countries" with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Spring, (1996): 46-58. (P36) View PDF, 1.5mb.
"Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations," with John Graham, Journal of Financial Economics 42, 3, (1996): 397-422. (P37) View PDF, 2.2mb.
- Also published as NBER working paper 4890.
"Political Risk, Financial Risk and Economic Risk," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 52:6, (1996): 28-46. (P38) [prev. W23] View PDF, 2.0mb.
Also in Japanese, Security Analysts Journal (1998):1 Part I, 109-119; (1998): Part II, 84-95 (1998). (P38J)
"The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns," with Claude Erb and Tadas Viskanta, Journal of Fixed Income 6:1, (1996): 7-31 [Lead article]. (P39) [prev. W24] View PDF, 2.5mb.
"Emerging Equity Market Volatility," with Geert Bekaert, Journal of Financial Economics 43, 1, (1997): 29-78. (P40) [prev. W14] View PDF
- Also published as NBER working paper 5307.
"Demographics and International Investment," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 53, 4, (1997): 14-28.(P41)[prev. W27] View PDF, 1.7mb.
"Fundamental Determinants of International Equity Returns: A Perspective on Conditional Asset Pricing," with Wayne Ferson, Journal of Banking and Finance 21, (1997): 1625-1665. (P42)[prev. W7] View PDF of last working paper version, 4.2mb. View PDF, 9.4mb.
- Also published as NBER working paper 5860.
"The Making of an Emerging Market," with Claude Erb and Tadas Viskanta, Emerging Markets Quarterly 1, 1, (1997) 14-19. (P43) View PDF, 0.7mb.
"Grading the Performance of Market Timing Newsletters," with John Graham, Financial Analysts Journal 53, 6, (1997): 54-66. (P44)[prev. W26] View PDF, 1.8mb.
"What Matters for Emerging Market Investment," with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Emerging Markets Quarterly 1, 2, (1997): 17-46. (P45) View PDF, 4.2mb.
"Distributional Characteristics of Emerging Market Returns and Asset Allocation," with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Journal of Portfolio Management Winter, (1998): 102-116. (P46) View PDF, 1.7mb.
"Measurement Error and Nonlinearity in the Earnings-Returns Relation of Large Firms," with Messod Beneish, Review of Quantitative Finance and Accounting 11, (1998): 219-247. [Lead article.] (P47) [prev. W4] View PDF, 3.0mb.
"Emerging/Developed Market Portfolio Mixes," with Stefano M. F. G. Cavaglia, Magnus Dahlquist, Peter L. Rathjens and Jarrod W. Wilcox. Emerging Markets Quarterly Winter, (1997): 47-62. (P48) [prev. W29] View PDF, 1.9mb.
"The Future of Investment in Emerging Markets" NBER Reporter Summer, (1998): 5-8. (P49) View PDF, 1.5mb.
"Risk in Emerging Markets" with Claude B. Erb and Tadas E. Viskanta, The Financial Survey July/August, (1998): 42-46. (P50) [prev. W41] View PDF, 0.8mb.
"Contagion and Risk" with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 2, Summer, (1998): 46-64. (P51) [prev. W42] View PDF, 2.6mb.
"A New Perspective on Emerging Market Bonds," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management (1999): 83-92. (P52) [prev. W36] View PDF, 1.2mb.
"Stock Selection in Emerging Markets: Portfolio Strategies for Malaysia, Mexico and South Africa" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly Winter, (1999): 38-91. (P53) View PDF, 6.4mb.
"Autoregressive Conditional Skewness," with Akhtar Siddique, Journal of Financial and Quantitative Analysis 34, 4, (1999): 465-488. (P54) [prev. W22] View PDF, X.Xmb.
"Stock Selection in Malaysia" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly Spring, (1999): 54-91 (P55) View PDF, 5.5mb.
"Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 55, (2000): 1263-1295. (P56) [prev. W17] View PDF, 1.0mb.
"Conditioning Variables and the Cross-Section of Stock Returns," with Wayne Ferson, Journal of Finance 54, (1999): 1325-1360. (P57) [prev. W32] View PDF, 0.2mb. Also published as NBER working paper 7009.
- Also published as NBER working paper 7009.
- Reprinted in Robert R. Grauer, (ed.) Asset Pricing Theory and Tests, Edward Elgar, 2003.
"Capital Markets: An Engine for Economic Growth," with Geert Bekaert, Brown Journal of World Affairs 5, 1, Winter/Spring, (1998): 33-53. (P58)[prev. W21] View PDF, 1.9mb.
"Brazil in Crisis" with Chris Lundblad and Diego Valderrama, Emerging Markets Quarterly Spring, (1999): 4-9. (P59) View PDF, 1.0mb.
"Efficient Online Non-Parametric Density Estimation," with Christophe G. Lambert, Scott E. Harrington, Nathan D. Bronson and Arman Glodjo. Algorithmica 25, (1999): 37-57. (P60)[prev. W28] View PDF, 1.8mb.
"Forecasting emerging market returns using neural networks: A comparative study of nine emerging markets," with Kirsten E. Travers and Michael J. Costa, Emerging Markets Quarterly 4, 2, (2000): 43-54. (P61) [prev. W44] View PDF, 1.7mb.
"Economic, Financial and Fundamental Global Risk In and Out of the EMU," with Wayne Ferson, Swedish Economic Policy Review 6, (1999): 123-184. (P62) [prev. W40] View PDF, 2.1mb.
- Also published as NBER working paper 6967.
"Stock Selection in Mexico" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 3, Fall, (1999): 38-75. (P63) [prev. W46] View PDF, 1.1mb. View PDF of last working paper version, 0.3mb
"Foreign Speculators and Emerging Equity Markets," with Geert Bekaert, Journal of Finance 55, (2000): 565-613. (P64) [prev. W31] View PDF of final JF galley, 0.5mb. Download PDF of final working paper version. Alternative download of last working paper version. Also published as NBER working paper 6312. ** Supplementary tables available.**
- Also published as NBER working paper 6312.
- Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets, Edward Elgar, 2003.
"Firm Characteristics and Investment Strategies in Africa: The Case of South Africa" with Dana Achour, Greg Hopkins and Clive Lang, African Finance Journal 1, (1999): 1-68. (P65) [prev. W47] View PDF of last working paper version, 0.3mb View PDF [not ready yet]
"Understanding Emerging Market Bonds" with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 4, 1, (2000): 7-23, (P66) [prev. W48] View PDF of last working paper version, 0.6mb, View PDF of final version, 0.6mb.
"The theory and practice of corporate finance: Evidence from the field," with John Graham, Journal of Financial Economics 60, (2001): 187-243. (P67) [prev. W45] View PDF .
View PDF, 0.2mb Final working paper version, September 8, 2000.
"Time-Varying Conditional Skewness and the Market Risk Premium," with Akhtar Siddique, Research in Banking and Finance 1, (2000): 27-60. (P68) [prev. W53] View last PDF of last working paper version. View PDF of final version, 0.4mb.
"The Drivers of Expected Returns in International Markets," Emerging Markets Quarterly (2000): 32-49. (P69) [prev. W54]. View last PDF of last working paper version. View PDF of final version.
"Emerging Equity Markets and Economic Development," with Geert Bekaert and Chris Lundblad, (W49) Journal of Development Economics 66, (2001): 465-504. (P70) [prev. W49]. View PDF of last working paper version, 0.4mb View PDF of final version, xxxmb[Not available yet]
- Also published as NBER working paper 7763.
"Global Tactical Asset Allocation," with Magnus Dahlquist, Emerging Markets Quarterly (2001): 6-14. (P71) [prev. W57]. View PDF of final version, 0.4mb. View PDF of final working paper version, 0.4mb
"The Dynamics of Emerging Market Equity Flows," with Geert Bekaert and Robin Lumsdaine, Journal of International Money and Finance 21, 3, (2002): 295-350. (P72) [prev. W39]. View PDF 0.6mb Download PDF of final working paper version. Download alternative final working paper version.
- Also published as NBER working paper 7219.
"The Impact of Federal Reserve Bank's Open Market Operations," with Roger Huang, Journal of Financial Markets 5, 2, (2002): 223-257. (P73) [prev. W3]. View PDF, 0.9mb, View PDF of last working paper version, 0.9mb,
- Also published as NBER working paper 4663.
"The Specification of Conditional Expectations," (previous title: "Is the Expected Compensation for Market Volatility Constant?") Journal of Empirical Finance 8, 5, (2001): 573-638. (P74) [prev W6] View PDF. View PDF of last working paper version, 1.7mb
"Dating the Integration of World Capital Markets," with Geert Bekaert and Robin Lumsdaine, Journal of Financial Economics 65, 2, (2002): 203-249. (P75) [prev W38] View PDF, (not available yet). Supplementary graphs and tables available here. Download PDF of final working paper version. View final working paper version. View PDF of Galley Proofs.
- Also published as NBER working paper 6724.
"How do CFOs make capital budgeting and capital structure decisions?," with John Graham, Journal of Applied Corporate Finance 15, 1, (2002): 8-23. (P76) [prev. W62] View PDF of final working paper, .3mb, View Galley.
"Market Integration and Contagion," with Geert Bekaert and Angela Ng, Journal of Business 78, (2005): 39-70. (P77) [prev. W59] Download PDF of final working paper version. Alternative download of final working paper version, View PDF [Not yet available].
- Also published as NBER working paper 9510.
"Research in Emerging Markets Finance: Looking to the Future," with Geert Bekaert, (P78) [prev. W69], Emerging Markets Review 2002, 429-448. View PDF of last working paper version, .3mb. View PDF of gallies, .6mb. .
"What Determines Expected International Asset Returns?" with Bruno Solnik and Guofu Zhou. (P79) [prev. W8] Annals of Economics and Finance 3, (2002): 249-298. View PDF, 0.6mb. View PDF of final working paper version, 4.0mb.
- Also published as NBER working paper 4660.
"Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs," with Bernard Dumas and Pierre Ruiz (P80) [prev. W34] Journal of International Money and Finance 22, (2003): 777-811. View PDF, 0.6mb [Not yet available.]. View PDF of galleys, 0.6mb. View PDF of final working paper version, 1.8mb
"A Brief Note from the Editors," with Javier Estrada and Robert Bruner, (P81), Emerging Markets Review, (2002): 307-309. View PDF [Not available yet].
"Implications for Asset Allocation, Portfolio Management, and Future Research", AIMR Equity Premium Forum, October, (2002): 92-96. (P82) View PDF, 1mb .
"Emerging Markets Finance," with Geert Bekaert, (P83) [Prev. W65] Journal of Empirical Finance 10, (2003): 3-56. Download PDF of final working paper version. View PDF .3mb,
"Foreward by the Editors," with Geert Bekaert, (P84) Journal of Empirical Finance 10, (2003): 1. View PDF .1mb,
"Equity Market Liberalization in Emerging Markets," with Geert Bekaert and Christian Lundblad, (P85a) The Federal Reserve Bank of St. Louis Review 85:4, (2003): 53-74, View PDF .1mb,
"Equity Market Liberalization in Emerging Markets," with Geert Bekaert and Christian Lundblad, (P85b) Journal of Financial Research 26, (2003): 275-299, View PDF .1mb,
"The effect of capital structure when expected agency costs are extreme," with Karl Lins and Andrew Roper, Journal of Financial Economics 74, (2004): 3-30. (P86) [Prev. W55] Download PDF of final working paper version. Alternative download of final working paper version., View PDF (not yet available), 0.4mb,
- Also published as NBER working paper 8452.
"Does Financial Liberalization Spur Growth," with Geert Bekaert and Chris Lundblad, Journal of Financial Economics 77, (2005): 3-56. [Lead article] (P87) [Prev. W56]
- Published version.
- Final working paper version.
- Alternative download.
- NBER working paper 8245.
- Reprinted in Stijn Claessens and Luc Laeven, eds., A Reader in International Corporate Finance, Volume 2, World Bank, 2006, pp. 37-90.
"Payout Policy in the 21st Century" with Alon Brav, John Graham and Roni Michaeli, Journal of Financial Economics, 77:3, (2005): 483-528. [Lead article]. (P88) [Prev. W71) Download PDF of final working paper version. Alternative download of final working paper version. View PDF.
- Also published as NBER working paper 9657.
"The Economic Implications of Corporate Financial Reporting" with John Graham and Shiva Rajgopal, Journal of Accounting and Economics, 40, (2005):3-73. [Lead article]. (P89) [Prev. W73] Download PDF of final working paper version. Alternative download of final working paper version.
- Also published as NBER working paper 10550.
"Growth Volatility and Equity Market Liberalization," with Geert Bekaert and Chris Lundblad, Journal of International Money and Finance, (2006): 25:3, 370-403.. (P90) [Prev W60] Download PDF of working paper. Alternative download of final working paper version. Published version.
- Also published as NBER working paper 10560.
"The Long-Run Equity Risk Premium," with John Graham, Finance Research Letters, 2, (2005): 185-194. [Lead article]. (P91) [Prev W79] Download PDF. Alternative download.
"The Strategic and Tactical Value of Commodity Futures" with Claude Erb, Financial Analysts Journal, 62:2, March/April, 69-97. (P91) (Prev W77)
- Published version.
- Unabridged working paper version..
- Alternative download of unabridged version.
- Also published as NBER working paper 11222.
  - Graham and Dodd Award (Best paper in 2006 Financial Analysts Journal, Sponsored by the CFA Institute).
  - First prize, Roger F. Murray Prize Competition (Award for Excellence in Quantitative Research in Finance, Sponsored by the Q-group.
"Growth Opportunities and Market Integration," with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Journal of Finance , 62, June 2007, 1081-1138. (P93) [Prev W75] Download PDF. Alternative download.
- Also published as NBER working paper 10990.
"Value Destruction and Financial Reporting Decisions" with John Graham and Shiva Rajgopal, Financial Analysts Journal, Nov/Dec 2006, 27-39. (P94) [Prev W79] Download PDF. Alternative download.
"Bayes vs. Markowitz: A Rematch" with John Liechty and Merrill Liechty, Journal of Investment Management, 2008, First Quarter, 29-45. (P95) [Prev W82]
- Published version.
- Download last working paper version.
- Alternative download.
"Managerial Response to the May 2003 Dividend Tax Cut" with Alon Brav, John Graham, and Roni Michaely (P96) [Prev W83], Managerial Finance, Winter, 611-624.
- Published version.
- Final working paper version.
- Alternative download of working paper.
"The Equity Risk Premium in January 2007: Evidence from the Global CFO Surveyt" with John Graham (P97) [Prev W78], The ICFAI Journal of Financial Risk Management, IV:2, June 2007, 46-61.
- Final working paper version.
- Alternative download.
"Liquidity and Expected Returns: Lessons from Emerging Markets," with Geert Bekaert and Chris Lundblad, Review of Financial Studies, 2007, 20:6, 1783-1832. (P98) [Prev W67]
- Published version.
- Final working paper version.
- Alternative working paper download.
- Also published as NBER working paper 11413.
"Darden Conference Issue: Capital Raising in Emerging Economies," with Marc Lipson and Frank Warnock, Journal of Financial Economics, (2008) Volume 88:3, 425-429. (P99)
- Published version.
"Comments on Bayes vs. Markowitz: A Rematch" with John Liechty and Merrill Liechty, Journal of Investment Management, Forthcoming (P100) [prev. W88]
- Published version.
- Final working paper version.
"The Effect of the May 2003 Dividend Tax Cut on Corporate Dividend Policy: Empirical and Survey Evidence" with Alon Brav, John Graham, and Roni Michaely, National Tax Journal, Winter, 611-624. (P101) [Prev W87],
- Published version.
"Investor Competence, Trading Frequency, and Home Bias" with John Graham and Hai Huang, Management Science, forthcoming [P102] (Prev W76)
- Published version.
- Download PDF.
- Alternative download.
- Also published as NBER working paper 11426.

New Working Papers

"The Equity Risk Premium amid a Global Financial Crisis" with John Graham, (W97)
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- Alternative download

"The Real Effects of Financial Constraints: Evidence from a Financial Crisis" with Murillo Campello and John Graham, (W90)
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- Alternative download.
- Also published as NBER working paper 14843.
"Financial Openness and Productivity" with Geert Bekaert, Chris Lundblad, and Stephan Siegel, (W89).
- Download PDF.
- Alternative download.
- Also published as NBER working paper 14843.
"What Segments Equity Markets" with Geert Bekaert, Chris Lundblad, and Stephan Siegel, (W85).
- Download PDF.
- Alternative download.
- Also published as NBER working paper 14802.
"Managerial Attitudes and Corporate Actions" with John Graham and Manju Puri, (W84).
"Managerial Overconfidence and Corporate Policies" with Zahi Ben-David and John Graham, (W81)
- Download PDF.
- Alternative download.
- Also published as NBER working paper 13711.
"Portfolio Selection with Higher Moments" with Merrill Liechty, John Liechty and Peter Muller, (W70)
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- Alternative download.

Working Papers Not Meant for Publication

"The International Cost of Capital and Risk Calculator," (W35)
- View PDF, 1.2mb
"Expectations of equity risk premia, volatility and asymmetry from a corporate finance perspective," with John Graham (W58)
- Download PDF.
- View PDF, 0.4mb.
- Also published as NBER working paper 8678.
"The Theory and Practice of Corporate Finance: Evidence from the Field: The Data" with John Graham, (W72)
- Download PDF.
- Alternative download
"The Equity Risk Premium in June 2005: Evidence from the Global CFO Outlook Survey" with John Graham, (W92)
- Download PDF.
- Alternative download

"The Equity Risk Premium in September 2005: Evidence from the Global CFO Outlook Survey" with John Graham, (W93)
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- Alternative download

"The Equity Risk Premium in January 2006: Evidence from the Global CFO Outlook Survey" with John Graham, (W94)
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- Alternative download

"The Equity Risk Premium in January 2007: Evidence from the Global CFO Outlook Survey" with John Graham, (W95)
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- Alternative download

"The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey" with John Graham, (W96)
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- Alternative download

"The Financial Crisis of 2008: What Needs to Happen after TARP" (W98)
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- Alternative download

Older Working Papers

"Conditional Asset Allocation in Emerging Markets," (W1)
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- Also published as NBER working paper 4623.
"Public Information and Fixed Income Volatility," with Roger Huang. (W2)
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"Global Risk Exposure to a Trade-Weighted Currency Index," (W10)
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"Forecasting Foreign Exchange Market Returns via Entropy Based Coding: The Framework," with Arman Glodjo. (W13)
- Download PDF
"Analytic Tests of Linear Factor Models," with Chris Kirby. (W18)
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"Performance Evaluation in the Presence of Dynamic Trading Strategies," with Ravi Bansal. (W19)
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"Promotion or demotion? An empirical investigation of the determinants of top mutual fund manager change," with Alastair R. Hall and Fan Hu, (W50)
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"The cross-section of expected risk exposure," with Akhtar Siddique, (W51)
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"Large Scale Privatization and the Dynamics of Emerging Equity Markets," with Geert Bekaert and Andrew Roper. (W66)
- Download PDF.
"Dynamic Trading Strategies and Portfolio Choice" with Ravi Bansal and Magnus Dahlquist, (W74)
- Download PDF.
- Alternative download
- Also published as NBER working paper 10820.

Financial Press

"The Big Freeze" with Murillo Campello and John Graham, Financial Times (W91)

Books, Chapters, Monographs

"An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," with Wayne Ferson, in Jeffrey Frankel, Editor, The Internationalization of Equity Markets, (Chicago: University of Chicago Press, 1994, pp. 59-138). (C1) View PDF, 6.3mb
- Also published as NBER working paper 4595.
"Portfolio Enhancement using Emerging Markets and Conditioning Information," in Stijn Claessens and Shan Gooptu, Eds., Portfolio Investment in Developing Countries, (Washington: The World Bank Discussion Series, 1993, pp. 110-144). (C2) View PDF last working paper version, 2.1mb, View PDF,, 3.8mb
"The World Price of Covariance Risk," in Stanley Stansell, Editor, International Financial Market Integration, (London: Basil Blackwell, 1993, pp. 187-234). (C3)
"la Capacità Previsiva della Struttura per Scadenza dei Tassi d'Interesse Italiani in Relazione alla Crescita Economica Reale," with Sidhartha Kaul and Chris M. Kirby, Serie Economica, 1990, CRF Gruppo IMI. (C4) View PDF, 1.6mb
"The Contribution of Speculators to Effective Financial Markets," with Geert Bekaert and Márcio G.P. Garcia, Catalyst Monograph Series, 1995, Catalyst Institute. (C5) View PDF, 4.8mb
"The Role of Capital Markets in Economic Growth," with Geert Bekaert and Márcio G.P. Garcia, Catalyst Monograph Series, 1995, Catalyst Institute. (C6) View PDF, 4.9mb
"Capital Markets: An Engine for Economic Growth," with Geert Bekaert, Catalyst Monograph Series, 1995, Catalyst Institute. (C7) View PDF, 3.3mb
"Instrumental Variables Estimation of Conditional Beta Pricing Models," with Christopher Kirby, Handbook of Statistics 14, G.S. Maddala, C.R. Rao and H.D. Vinod, Eds., North Holland, 1996, 35-60. (C8) View PDF, 2.5
"The Risk Exposure of Emerging Equity Markets," in Investing in Emerging Markets Mike J. Howell, Ed., London, 1994, pp. 116-174. [Expanded version of W30]. (C9) View PDF, 4.9mb
"The Behavior of Emerging Market Returns," with Geert Bekaert, Claude Erb and Tadas Viskanta, in The Future of Emerging Market Capital Flows, in Richard Levich (ed.), Boston: Kluwer Academic Publishers), 1998, Chapter 5, 107-173. (C10) [prev. W25] View PDF, 4.4mb
"The Cross-Sectional Determinants of Emerging Equity Market Returns," with Geert Bekaert, Claude Erb and Tadas Viskanta, in Peter Carman, ed., Quantitative Investing ofr the Global Markets: Strategies, Tactics, and Advanced Analytical Techniques, 1997, (Chicago: Glenlake Publishing), 221-272. (C11) View PDF, 4.4mb
"The Risk and Expected Returns of African Equity Investments," with Claude Erb and Tadas Viskanta, in Paul Collier and Cathy Pattillo, Eds., Investment and Risk in Africa, (MacMillan), 2000, 122-145. (C12) [prev. W30] View PDF of last working paper version, 2.1mb, View PDF, 2.1mb
Country Risk in Global Financial Management, with Claude B. Erb and Tadas E. Viskanta, AIMR, 1997. (C13) [prev. W33] View PDF of last working paper version, 7.7mb, View PDF, 7.7mb
"Capital Flows and the Behavior of Emerging Market Equity Returns," with Geert Bekaert, in Sebastian Edwards, Capital Inflows to Emerging Markets NBER and University of Chicago Press, 2000, 159-194. (C14) [prev. W37] View PDF of last working paper version. View PDF.
- Also published as NBER working paper 6669.
"Forecasting emerging market returns using neutral networks," with Kirsten E. Travers and Michael J. Costa, in Institutional Investor's, Financial Technology, June 1999, 25-36. (C15) View PDF, 1.1mb
"The variation of economic risk premiums," with Wayne E. Ferson, in Robert Korajczyk, Ed., Asset pricing and portfolio performance: Models, strategy and performance metrics, 1999, London: Risk Books. (C16) View PDF, 3.8mb
"The Asian Bet," with Andrew Roper, in Alison Harwood, Robert E. Litan and Michael Pomerleano, Eds., The Crisis in Emerging Financial Markets, Brookings Institution Press, 1999, pp. 29-115. (C17)[prev. W43]. View PDF. View PDF of last working paper version, 0.8mb
"Glossary of Equity Related Terms," in Reuters Financial Training Series, An Introduction to Equity Markets, John Willey and Sons, Singapore, 1999. (C18) View PDF.
"New Perspectives on Emerging Market Bonds," in G. Philippatos and G. Koutmos, eds., International Securities, Volume II, Edward Elgar Publishing, UK, 317-326, 2002. (C19) View PDF, 1.2mb.
"Asset Pricing in Emerging Markets," in Orley Ashenfelter, Section Editor, International Encyclopedia of the Social and Behavioral Sciences, Elsevier Science Limited, 2001, 840-845. (C20) [previous W54]. View PDF of last working paper version, 1mb View PDF, [not yet available].
"Glossary," in Brian Bruce, Ed., Enhanced Indexing, New Strategies and Techniques for Plan Sponsors, Fall 2000, New York: Institutional Investor Publishing. (C21) View PDF, [not yet available].
"Economic Growth and Financial Liberalization", with Geert Bekaert, in NBER Reporter, National Bureau of Economic Research, Cambridge MA, Spring 2001, 8-11. (C22) View PDF of last working paper version, View PDF
"Glossary," in Brian Bruce, Ed., Transactions Costs, A Cutting-Edge Guide to Best Execution, Spring 2001, New York: Institutional Investor Publishing. (C23) View PDF, [not yet available].
The New York Times Dictionary of Money and Investing, 2002, with Gretchen Morganson, New York: Henry Holt and Company and Times Books, forthcoming. (C24) View PDF, [not yet available].
"New Perspectives on Emerging Market Bonds," in George Philippatos and Gregory Koutmos, Eds., International Securities, 2001, with Claude Erb and Tadas Viskanta, Edward Elgar, Northampton, MA, forthcoming. (C25) View PDF, 1.2mb.
"Glossary," in Adam Leitzes and Joshua Solan, Bulls, Bears and Brains: Investing with the Best and Brightest of the Financial Internet, John Wiley and Sons, 2001, forthcoming (C26) View PDF, [not yet available].
"Glossary," in James J. Keenan, Ignorance is risk!, Cogent Publishing, Boca Raton, FL. 197-204. forthcoming (C27) View PDF, [not yet available].
Emerging Markets with Geert Bekaert, Edward Elgar Publishing, 2004. (C28) View PDF, [not yet available].
Country Risk Components, the Cost of Capital, and Returns in Emerging Markets, in Sam Wilkin, Ed., Country and Political Risk: Practical Insights for Global Finance, Risk Books, 2004, pp.71-102. (C29) View PDF.
Ertragsquellen und zu erwartende Renditen von Rohstoff-Investments, with Claude B. Erb, in Michael Busack and Dieter G. Kaiser (Eds.), Handbuch Alternative Investments, 2006, 349-392. (C30)
- View PDF.
"Financial Openness and the Chinese Growth Experience" with Geert Bekaert, Chris Lundblad, in Charles W. Calomiris, ed., China's Financial Transition at a Crossroads, 2007, New York: Columbia University Press, 202-280. (C31) [Prev W80]
- View PDF.
- Download last working paper version.
- Alternative download.

Cases

"Telcom South Africa," with James Barber, Angela Fung, Sandeep Toshniwal, and Becky Voorheis Emerging Markets Quarterly (1999) Winter, 61-79. View PDF, 0.4mb.
[Supplementary materials].
Other Finance Cases can be found here.

Editor

AMERICAN FINANCE ASSOCIATION: Report of the Editor of The Journal of Finance for the Year 2006, Journal of Finance (2007) 62:4, 2041-2052. (E1)
- Download PDF.
AMERICAN FINANCE ASSOCIATION: Report of the Editor of The Journal of Finance for the Year 2007, Journal of Finance (2008) 63:4, forthcoming.(E2)
- Download PDF.

Reviews

"The Econometrics of Financial Markets," Journal of Finance (1998) 53, 803-806.

Published Discussions

Commentary on "A Test of International CAPM Using Business Cycle Indicators as Instrumental Variables," in Internationalization of Equity Markets, (Chicago: University of Chicago Press, 1994, pp. 50--54). (PD1) View PDF, 0.4mb
Commentary on "Emerging Stock Markets and International Asset Pricing," in Stijn Claessens and Shan Gooptu, Eds., Portfolio Investment in Developing Counties, (Washington: The World Bank of Discussion Series, 1994, pp. 183-184). (PD2) View PDF, 0.4mb
Commentary on "Testing the Unbiasedness in Foreign Exchange Markets: The Effects of Price Limits,"Review of Futures Markets 7 (1988): 167-172. (PD3) View PDF, 0.7mb