Jacob Boudoukh
The Rothschild Caesarea Center Arison School of Business
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Jacob Boudoukh The Rothschild Caesarea Center Arison School of Business
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"A New Look at the Forward Premium Puzzle" (with Matthew Richardson and Robert Whitelaw)
"Which News Moves Prices? A Textual analysis" (with Ronen Feldman, Shimon Kogan and Matthew Richardson)
"A Mulifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility"
(with Christopher Downing, Matthew Richardson, Richard Stanton and Robert Whitelaw),
Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Oxford University Press, New York.
2010, in Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson (eds.),
"The Myth of Long-Horizon Predictability"
(with Matthew Richardson and Robert Whitelaw)
“Do Asset Prices Reflect
Fundamentals? Freshly Squeezed Evidence from the FCOJ Market”
(with
Matthew Richardson, Jeffery Shen and Robert Whitelaw)
Journal of
Financial economics, 2007, Vol. 83 No.2 pp 397-412
“On the Importance of
Measuring Payout Yield: Implications for Empirical Asset Pricing”
(with Roni Michaely, Matthew Richardson and Michael Roberts)
NBER Working paper #10651.
Data
Journal of
Finance, 2007, Vol. 62, 877-915.
“Partial Adjustment or
Stale Prices? Implications from Stock Index and Futures Return Autocorrelations”
(with Dong-Hyun Ahn, Matthew Richardson and Robert Whitelaw)
NBER Working paper #7214.
Review of Financial Studies, 2002, Vol. 15, No. 2, pp. 655-689.
“Optimal Risk
Management Using Options”
[spreadsheet for X*
calculation]
(with Dong-Hyun ahn, Matthew Richardson and Robert
Whitelaw)
NBER Working paper
#6158.
Journal of finance, 1999, vol. 54/1, 369-375.
“Ex Ante Bond Returns
and the Liquidity Preference Hypothesis”
(with Matthew Richardson,
Tom Smith and Robert Whitelaw)
Journal of finance, 1999,
vol.54/3, pp. 1153-1167.
“Nonlinearities in the
Relation Between the Equity Risk Premium and the Term Structure”
(with Matthew Richardson and
Robert Whitelaw)
Management Science, 1997, vol.
43/3, 371-385.
“Pricing of
Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A
Multivariate Density Estimation Approach”
(with Matthew Richardson,
Richard Stanton and Robert Whitelaw)
Review of Financial Studies,
1997, vol. 10/2, pp. 405-446.
“Industry Returns and
the Fisher Effect”
(with
Matthew Richardson and
Robert Whitelaw)
Journal of Finance, 1994, vol. 49/5,
1595-1616.
“A Tale of Three
Schools: A Reexamination of Autocorrelation Patterns in Stock Returns”
(with Matthew Richardson
and Robert Whitelaw)
Review of Financial Studies, 1994,
vol. 7/3, 539-573.
“Liquidity as a
Choice Variable: A Lesson from the Japanese Bond Market”
(with
Robert Whitelaw)
Review of Financial Studies, 1993, vol. 6/2,
266 292.
“Is the Ex Ante Risk
Premium Always Positive? A New Approach to Testing Conditional Asset Pricing
Models”
(with Matthew Richardson and Tom Smith)
Journal of
Financial Economics, 1993, vol. 34, 387 408.
“The Statistics of
Long-Horizon Regressions”
(with Matthew Richardson)
Mathematical Finance, 1993, vol. 4/2, 103-120, special issue:
“Econometric Issues in Finance”
“Stocks Returns and
Inflation: A Long Term Perspective”
(with Matthew Richardson)
American Economic Review, 1993, vol.83, 1346 1355.
“An Equilibrium
Model of Nominal Bond Prices with Inflation-Output Correlation and Stochastic
Volatility”
Journal of Money Credit and Banking, 1993,
vol. 25/3, 636 665.
"MaxVaR: Long Horizon
Value at Risk in a Mark-to-Market Environment"
(with Matthew
Richardson, and Richard Stanton and Robert Whitelaw),
Journal of
Investment Management, 2004
“The Last Great
Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor”
(with
Matthew Richardson and
Robert Whitelaw)
Financial Analysts Journal, 2002, Vol.
58, No. 4, pp. 53-71.
“The Pricing and Hedging
of Mortgage-Backed Securities”
(with Matthew Richardson, Richard
Stanton and Robert Whitelaw), 2000, in Narasimhan Jegadeesh and Bruce Tuckman
(eds.),
Advanced Fixed-Income Valuation Tools, John Wiley & Sons, New
York.
“Hedging the Interest
Rate Risk of Bradys: The Case of Argentinean Fixed and Floating Rate Bonds”
(with Dong Hyun Ahn, Matthew Richardson, and Robert Whitelaw)
Emerging Market Capital Flows (Kluwer Academic Publishers, Dordrecht,
Netherlands), 1998.
“The Best of Both
Worlds: A Hybrid Approach to Calculating Value at Risk”
(with
Matthew Richardson and
Robert Whitelaw)
Risk, May 1998.
Reprint in Internal Modeling and CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk Books, London, England). 1999.
“An Investigation of a
Class of Volatility Forecasting Models”
(with
Matthew Richardson and
Robert Whitelaw)
Journal of Derivatives, 1997, vol. 4/3,
pp. 63-71.
“Expect the Worst --
Rethinking the Value at Risk Concept using Worst Case Scenario Analysis and its
Implications for Risk Management”
(with
Matthew Richardson, and
Robert F. Whitelaw)
Risk, Vol. 8, No. 9, pp. 100-101,
September 1995.
Reprint in “VAR: Understanding and Applying Value-at-Risk” (Risk Publications, London, England), 1997.
Reprint in Internal Modeling and
CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk
Books, London, England). 1999.
“A New Strategy for
Dynamically Hedging Mortgage-Backed Securities”
(with Matthew
Richardson, Richard Stanton and Robert Whitelaw)
Journal of
Derivatives, 1995, vol. 2/4, pp. 60-77.
“The Benchmark Effect
in the Japanese Government Bond Market”
(with Robert Whitelaw)
Journal of Fixed Income, 1991, vol. 1/2, pp. 52-59.
“Understanding Market, Credit and Operational Risk:The Value at Risk Approach”
(with Linda Allen and Anthony Suanders)
January 2004 – Blackwell
Publishing
"The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly" (with Matthew Richardson and Robert Whitelaw) NBER Working paper #11840.
Winner of the 2006 GSAM Quant Award granted by Goldman Sachs Asset Management to the best paper in investments at the annual meetings of the Western Finance Association
“Valuing Mutual Fund
Contracts” (with Matthew Richardson, Richard Stanton and Robert
Whitelaw)
“The Valuation and Hedging
of Deferred Commission Asset Backed Securities” (with Ptrick
McAllister, Matthew Richardson and Robert Whitelaw)
“A Multifactor,
Nonlinear, Continuous-Time Model of Interest Rate Volatility” (with
Matthew Richardson, Richard Stanton and Robert Whitelaw)
NBER Working paper #7213.
“Regime Shifts
and Bond Returns” (with Matthew Richardson, Tom Smith and Robert
Whitelaw)
The Pricing of Stripped
Mortgage-Backed Securities (with Matthew Richardson, Richard Stanton
and Robert Whitelaw)
