Campbell R. Harvey's Research Papers

Dissertation

• "Recovering Expectations of Consumption Growth from an Equilibrium Model of the Term Structure of Interest Rates", University of Chicago, December 1986. Chair: Eugene F. Fama (Nobel 2013). Committee Members: Wayne E. Ferson, Robert Stambaugh, Merton H. Miller (Nobel 1990), Shmuel Kandel and Lars P. Hansen (Nobel 2013).
• My dissertation links the shape of the yield curve (difference between long-term interest rates and short-term rates) to future economic growth. I showed that inverted yield curves precede economic recessions in the U.S.
• PDF   GS   Convocation Program   Picture with Eugene F. Fama, May 2014.

Top Peer-Reviewed Publications

• "The Real Term Structure and Consumption Growth," Journal of Financial Economics 22, (1988): 305-333. (P1)
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• "Forecasts of Economic Growth from the Bond and Stock Markets," Financial Analysts Journal September/October, 1989): 38-45. [P2]
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• "Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24, (1989): 289-317. [P3]
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• "Bayesian Inference in Asset Pricing Tests," with Guofu Zhou, Journal of Financial Economics 26, (1990): 221-254. [P4]
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  • 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]
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• "The Term Structure and World Economic Growth," Journal of Fixed Income 1, (1991): 4-17. [P6]
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• "Sources of Predictability in Portfolio Returns," with Wayne Ferson, Financial Analysts Journal May/June, (1991): 49-56. [P7]
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• "Les Taux d'Intérêt et la Croissance Economique en France," Analyse Financière 86, (1991): 97-103. [P8]
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• "S&P 100 Index Option Volatility," with Robert Whaley, Journal of Finance 46, (1991): 1551-1561. [P9]
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• "The World Price of Covariance Risk," Journal of Finance 46, (1991): 111-157. [P10]
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  • 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] 
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• "Interest Rate Based Forecasts of German Economic Growth," Weltwirtschaftliches Archiv 127, (1991): 701-718. [P12]
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• "Dividends and S&P 100 Index Option Valuation," with Robert Whaley, Journal of Futures Markets 12, (1992): 123-137. [P13]
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• "Information and Volatility in the FX Market," with Roger Huang, Finanzmarkt und Portfolio Management 6, (1992): 14-22. [P14]
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• "Seasonality and Consumption-Based Asset Pricing," with Wayne Ferson, Journal of Finance 47, (1992): 511-552. [P15]
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  • 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]
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• "Explaining the Predictability in Asset Returns," with Wayne Ferson, Research in Finance 11, (1993): 65-106. [P17]
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• "The Term Structure Forecasts Economic Growth," Financial Analysts Journal May/June, (1993): 6-8. [P18]
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• "Seasonality and Heteroskedasticity in Consumption-Based Asset Pricing: An Analysis of Linear Models," with Wayne Ferson, Research in Finance 11, (1993): 1-35. [P19]
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  • 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]
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• "The Risk and Predictability of International Equity Returns," with Wayne Ferson, Review of Financial Studies 6, (1993): 527-566. [P21]
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  • 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]
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• "National Risk and Global Fixed Income Allocation," with Claude Erb and Tadas Viskanta, Journal of Fixed Income September, (1994): 17--26. [P23]
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• "Sources of Risk and Expected Returns in Global Equity Markets," with Wayne Ferson, Journal of Banking and Finance, (1994): 775-803. [P24]
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• "Economic Activity Measures in Nonlinear Asset Pricing," Advances in Financial Economics, (1995): 123-154. [P25]
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• "Country Credit Risk and Global Portfolio Selection," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Winter, (1995): 74-83. [P26]
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• "Forecasting International Equity Correlations," with Claude Erb and Tadas Viskanta, Financial Analysts Journal November/December, (1994): 32-45. [P27]
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• "Do World Markets Still Serve as a Hedge?," with Claude Erb and Tadas Viskanta, Journal of Investing Fall, (1995): 23-46. [P28]
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• "The Cross-Section of Volatility and Autocorrelation in Emerging Markets" Finanzmarkt und Portfolio Management 9, (1995): 12-34. [P29]
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• "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, (1995): 19-50. [P30]
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• "Predictability and Time-Varying Risk in World Equity Markets," with Wayne Ferson, Research in Finance 13, (1995): 25-88. [P31]
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• "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies 8, (1995): 773-816. [P32]
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• "Time-Varying World Market Integration," with Geert Bekaert, Journal of Finance 50, (1995): 403-444. [P33] [Lead Article]
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  • 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]
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  • 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]
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• "Expected Returns and Volatility in 135 Countries" with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Spring, (1996): 46-58. [P36]
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• "Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations," with John Graham, Journal of Financial Economics 42, 3, (1996): 397-421. [P37]
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• "Political Risk, Financial Risk and Economic Risk," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 52:6, (1996): 28-46. [P38]
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  • 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): 7-30. [P39] [Lead Article]
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• "Emerging Equity Market Volatility," with Geert Bekaert, Journal of Financial Economics 43, 1, (1997): 29-77. [P40]
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• "Demographics and International Investment," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 53, 4, (1997): 14-28.[P41]
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• "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]
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• "The Making of an Emerging Market," with Claude Erb and Tadas Viskanta, Emerging Markets Quarterly 1:1, (1997): 14-19. [P43]
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• "Grading the Performance of Market Timing Newsletters," with John Graham, Financial Analysts Journal 53:6, (1997): 54-66. [P44]
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• "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]
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• "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]
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• "Measurement Error and Nonlinearity in the Earnings-Returns Relation," with Messod Beneish, Review of Quantitative Finance and Accounting 11, (1998): 219-247. [P47] [Lead Article]
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• "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]
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• "The Future of Investment in Emerging Markets" NBER Reporter Summer, (1998): 5-8. [P49]
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• "Risk in Emerging Markets" with Claude B. Erb and Tadas E. Viskanta, The Financial Survey July/August, (1998): 42-46. [P50]
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• "Contagion and Risk" with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 2, Summer, (1998): 46-64. [P51]
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• "A New Perspective on Emerging Market Bonds," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management (1999): 83-92. [P52]
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• "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]
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• "Autoregressive Conditional Skewness," with Akhtar Siddique, Journal of Financial and Quantitative Analysis 34, 4, (1999): 465-487. [P54]
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• "Stock Selection in Malaysia" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly Spring, (1999): 54-91 [P55]
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• "Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 55, (2000): 1263-1295. [P56]
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• "Conditioning Variables and the Cross-Section of Stock Returns," with Wayne Ferson, Journal of Finance 54, (1999): 1325-1360. [P57]
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  • 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]
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• "Brazil in Crisis" with Chris Lundblad and Diego Valderrama, Emerging Markets Quarterly Spring, (1999): 4-9. [P59]
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• "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]
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• "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]
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• "Economic, Financial and Fundamental Global Risk In and Out of the EMU," with Wayne Ferson, Swedish Economic Policy Review 6, (1999): 123-184. [P62]
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• "Stock Selection in Mexico" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 3, Fall, (1999): 38-75. [P63]
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• "Foreign Speculators and Emerging Equity Markets," with Geert Bekaert, Journal of Finance 55, (2000): 565-613. [P64]
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  • Reprinted in G. Andrew Karolyi and Rene M. Stulz, (eds.) International Capital Markets, Edward Elgar, 2003.
  • ** Supplementary tables available.**
  
  
• "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]
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• "Understanding Emerging Market Bonds" with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 4, 1, (2000): 7-23, [P66]
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• "The theory and practice of corporate finance: Evidence from the field," with John Graham, Journal of Financial Economics 60, (2001): 187-243. [P67]
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• "Time-Varying Conditional Skewness and the Market Risk Premium," with Akhtar Siddique, Research in Banking and Finance 1, (2000): 27-60. [P68]
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• "The Drivers of Expected Returns in International Markets," Emerging Markets Quarterly (2000): 32-49. [P69].
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• "Emerging Equity Markets and Economic Development," with Geert Bekaert and Chris Lundblad, Journal of Development Economics 66, (2001): 465-504. [P70]
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• "Global Tactical Asset Allocation," with Magnus Dahlquist, Emerging Markets Quarterly (2001): 6-14. [P71]
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• "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]
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• "The Impact of Federal Reserve Bank's Open Market Operations," with Roger Huang, Journal of Financial Markets 5, 2, (2002): 223-257. [P73]
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• "The Specification of Conditional Expectations," (previous title: "Is the Expected Compensation for Market Volatility Constant?") Journal of Empirical Finance 8, 5, (2001): 573-637. [P74]
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• "Dating the Integration of World Capital Markets," with Geert Bekaert and Robin Lumsdaine, Journal of Financial Economics 65, 2, (2002): 203-247. [P75]
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  • Supplementary graphs and tables available here.


• "How do CFOs make capital budgeting and capital structure decisions?," with John Graham, Journal of Applied Corporate Finance 15, 1, (2002): 8-23. [P76]
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• "Market Integration and Contagion," with Geert Bekaert and Angela Ng, Journal of Business 78, (2005): 39-70. [P77]
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• "Research in Emerging Markets Finance: Looking to the Future," with Geert Bekaert, (P78) [prev. W69], Emerging Markets Review 2002, 429-448.
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• "What Determines Expected International Asset Returns?" with Bruno Solnik and Guofu Zhou. [P79] Annals of Economics and Finance 3, (2002): 249-298.
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• "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs," with Bernard Dumas and Pierre Ruiz [P80] Journal of International Money and Finance 22, (2003): 777-811.
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• "A Brief Note from the Editors," with Javier Estrada and Robert Bruner, (P81), Emerging Markets Review, (2002): 329.
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• "Implications for Asset Allocation, Portfolio Management, and Future Research", AIMR Equity Premium Forum, October, (2002): 92-96. [P82]
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• "Emerging Markets Finance," with Geert Bekaert, [P83] Journal of Empirical Finance 10, (2003): 3-55.
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• "Foreword by the Editors," with Geert Bekaert, [P84] Journal of Empirical Finance 10, (2003): 1.
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• "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.
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• "Equity Market Liberalization in Emerging Markets," with Geert Bekaert and Christian Lundblad, [P85b] Journal of Financial Research 26, (2003): 275-299.
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• "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] [Lead Article]
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• "Does Financial Liberalization Spur Growth," with Geert Bekaert and Chris Lundblad, Journal of Financial Economics 77, (2005): 3-55. [P87] [Lead Article]
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  • 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): 483-527. [P88] [Lead Article]
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• "The Economic Implications of Corporate Financial Reporting" with John Graham and Shiva Rajgopal, Journal of Accounting and Economics, 40, (2005):3-73. [P89] [Lead Article]
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  • 2006 Notable Contribution to the Accounting Literature Award in 2006 (best accounting paper published in last five years)
  • 2006 FARS (Financial and Reporting Section) best paper award from the American Accounting Association


• "Growth Volatility and Financial Liberalization," with Geert Bekaert and Chris Lundblad, Journal of International Money and Finance, (2006): 25:3, 370-403. [P90]
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• "The Strategic and Tactical Value of Commodity Futures" with Claude Erb, Financial Analysts Journal, 62:2, March/April, 69-97. [P91]
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  • Graham and Dodd Award, 2007, CFA Institute
  • Roger F. Murray First Prize, Q-Group


• "The Long-Run Equity Risk Premium," with John Graham, Finance Research Letters, 2, (2005): 185-194. [P92] [Lead Article]
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• "Growth Opportunities and Market Integration," with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Journal of Finance , 62, June 2007, 1081-1137. [P93]
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• "Value Destruction and Financial Reporting Decisions" with John Graham and Shiva Rajgopal, Financial Analysts Journal, Nov/Dec 2006, 27-39. [P94]
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  • Graham and Dodd Scroll, 2007, CFA Institute


• "Bayes vs. Markowitz: A Rematch" with John Liechty and Merrill Liechty, Journal of Investment Management, 2008, First Quarter, 29-45. [P95]
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• "Managerial Response to the May 2003 Dividend Tax Cut" with Alon Brav, John Graham, and Roni Michaely [P96], Managerial Finance, Winter, 611-624. [Lead Article]
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• "The Equity Risk Premium in January 2007: Evidence from the Global CFO Surveyt" with John Graham [P97] , The IUP Journal of Financial Risk Management, IV:2, June 2007, 46-61.
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• "Liquidity and Expected Returns: Lessons from Emerging Markets," with Geert Bekaert and Chris Lundblad, Review of Financial Studies, 2007, 20:6, 1783-1831. [P98]
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• "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]
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• "Comments on Bayes vs. Markowitz: A Rematch" with John Liechty and Merrill Liechty, Journal of Investment Management, 6:3, 1-2. [P100]
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• "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]
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• "Investor Competence, Trading Frequency, and Home Bias" with John Graham and Hai Huang, Management Science, 2009, Volume 55, No. 7, pp. 1094-1106. [P102]
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• "Portfolio Selection with Higher Moments" with Merrill Liechty, John Liechty and Peter Muller, Quantitative Finance, 2010, 10(5) 469-485. [P103]
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• "The Real Effects of Financial Constraints: Evidence from a Financial Crisis" with Murillo Campello and John Graham, Journal of Financial Economics, 2010, 470-487. [P104]
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• "Financial Openness and Productivity" with Geert Bekaert and Chris Lundblad, World Development, 2011, 39:1, 1-19. [P105] [Lead Article]
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• "Liquidity Management and Corporate Investment During a Financial Crisis" with Murillo Campello, Erasmo Giambona and John Graham, Review of Financial Studies, 2011, 24:6, 1944-1979. [P106]
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• "What Segments Equity Markets" with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Review of Financial Studies, 2011, 24:12, 3841-3890 [P107] [Lead Article]
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• "Access to Liquidity and Corporate Investment in Europe During the Financial Crisis" with Murillo Campello, Erasmo Giambona, and John Graham, Review of Finance, 2012, 16(2) 323-346. [P108] [Lead Article]
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• "Managerial Attitudes and Corporate Actions" with John Graham and Manju Puri, Journal of Financial Economics, 2013, 109:1, 103-121. [P109].
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  • 2014 Jensen Prize for Best Corporate Finance Paper in the Journal of Financial Economics.


• "Managerial Miscalibration" with Zahi Ben-David and John Graham, Quarterly Journal of Economics, 2013,128:4, 1547-1584. [P110]
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• "The European Union, the Euro, and Equity Market Integration" with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Journal of Financial Economics, 2013, 109:3, 583-603. [P111] [Lead Article]
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• "The Truth about Gold: Why It Should (or Should Not) Be Part of Your Asset Allocation Strategy", CFA Institute Conference Proceedings Quarterly, 30:1, March 2013, 9-17. [P112]
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• "The Golden Dilemma" with Claude Erb, Financial Analysts Journal, 2013:69:4, July-August, 10-42. [P113] (Prev. W110) [Lead Article]
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  • Graham and Dodd Scroll, 2014, CFA Institute
  • Financial Analysts Journal Readers' Choice Award, 2014.


• "Earnings Quality: Evidence from the Field" with Ilia Dichev, John Graham, and Shiva Rajgopal. Journal of Accounting and Economics, 2013:56, 1-33. [P114] [Lead Article]
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  • 2016 Notable Contribution to the Accounting Literature Award in 2016 (best accounting paper published in last five years)


• "Political Risk Spreads" with Geert Bekaert, Christian Lundblad and Stephen Siegel, Journal of International Business Studies 45:4, (2014): 471-493. [P115]
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• "Evaluating Trading Strategies." with Yan Liu, Journal of Portfolio Management, 2014, 40:5, 108-118. [P116]
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  • Winner Jacobs-Levy Bernstein Fabozzi Award, Best Paper in the Journal of Portfolio Management in 2014.


• "Capital Allocation and Delegation of Decision-Making Authority Within Firms" with John Graham and Manju Puri, Journal of Financial Economics, 2015, 115:3 (March): 449-470. [P117]
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• "... and the Cross-Section of Expected Returns" with Yan Liu and Heqing Zhu, Review of Financial Studies, 2016, 29:1 (January): 5-68. [P118] [Lead Article]
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• NASDAQ OMX Award, 2014, for the best paper in asset pricing at the Western Finance Association Meetings.
• Best Paper Award, 2014, INQUIRE-Europe-UK.


• "The Misrepresentation of Earnings", with Ilia Dichev, John Graham and Shiva Rajgopal, Financial Analysts Journal, 2016, 72, (January/February), 22-35. [P119]
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  • 2017 Graham and Dodd Scroll, CFA Institute.


• "Backtesting" with Yan Liu. Journal of Portfolio Management 2015, 42:1, 13-28. [P120]   [Lead Article]
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  • 2016 Bernstein Fabozzi/Jacobs-Levy Award for Best Article published in the Journal of Portfolio Management in 2015


• "A Corporate Beauty Contest" with John Graham and Manju Puri, Management Science, 2017,63, 3044-3058. [P121]
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• "Political Risk and International Valuation" with Geert Bekaert, Christian Lundblad and Stephen Siegel, Journal of Corporate Finance, 37, 2016, 1-23. [P122] [Lead Article]
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• "What We Know - and What We Know We Don't Know", Practical Applications. 2015, 2:4, 1-2. [P123]   [Lead Article]
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• "Conquering Misperceptions about Commodity Futures Investing", with Claude Erb. Financial Analysts Journal, 2016, 72, July/August, 22-35. [P124]
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• "The Management of Political Risk", with John Graham and Erasmo Giambona. Journal of International Business Studies, 2017, 48, 523-533. [P125]
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• "Globalization and Asset Prices", with Geert Bekaert, Andrea Kiguel, and Xiaosheng Wang. Annual Review of Financial Economics, 2016, 8, 221-288. [P126]
  • PDF   DOI   SSRN   GS


• "How to Write an Effective Referee Report and Improve the Scientific Review Process", with Jonathan Berk and David Hirshleifer. Journal of Economic Perspectives, 2017, 31:1, 231-244. [P127]
  • PDF   DOI   SSRN   GS


• "The Golden Constant", with Claude B. Erb. Journal Investing 26, 2017, 94-100. [P128]
  • PDF   DOI   SSRN   GS


• "Economic and Financial Integration in Europe", with Geert Bekaert, Christian Lundblad and Stephen Siegel. CESifo DICE Report, 2017, Vol. 15:1, 36-42. [P129]
  • PDF   DOI   SSRN   GS
  
  
• "Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance" with Sandy Rattray, Andrew Sinclair and Otto van Hemert, Journal of Portfolio Management, Summer 2017, 55-69. [P130]
  • PDF   DOI   SSRN   GS
  • 2018 Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article in the Journal of Portfolio Management in 2017


• "Presidential Address: The Scientific Outlook in Financial Economics," Journal of Finance 72, 2017, 1399-1440. [P131]
  • PDF   DOI   SSRN   GS


• "Detecting Repeatable Performance" with Yan Liu, Review of Financial Studies, 31:7, 2018, 2499-2552. [P132]
  • PDF   DOI   SSRN   GS


• "A View Inside Corporate Risk Management" with Gordon Bodnar, Erasmo Giambona, and John Graham, Management Science, 2017, 63, 3044-3058. [P133]
  • PDF   DOI   SSRN   GS


• "The Theory and Practice of Corporate Risk Management: Evidence from the Field" with Erasmo Giambona, John Graham, and Gordon Bodnar, Financial Management, Winter 2018, 783-832. [P134]
  • PDF   DOI   SSRN   GS
  • Best Financial Management Paper Award, Winter 2018
  • Best paper in Financial Management 2018-2020


• "The Impact of Volatility Targetting" with Hoyle, Edward and Korgaonkar, Russell and Rattray, Sandy and Sargaison, Matthew and Van Hemert, Otto, Journal of Portfolio Management, 45(1), Fall 2018, 14-33.  [P135]
  • PDF   DOI   SSRN   GS
  • 2019 Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article in the Journal of Portfolio Management in 2018


• "Cross-Sectional Alpha Dispersion and Performance Evaluation" with Yan Liu, Journal of Financial Economics, 134:2, November 2019, 273-296. [P136]
  • PDF   DOI   SSRN   GS


• "Modeling Analysts' Recommendations via Bayesian Machine Learning" with David Bew, Anthony Ledford, Sam Radnor, Andrew Sinclair, Journal of Financial Data Science, 1:1, (Winter) 75-98. [P137]
  • PDF   DOI   SSRN   GS


• "A Backtesting Protocol in the Era of Machine Learning" with Rob Arnott and Harry Markowitz, Journal of Financial Data Science, 1:1 (Winter) 64-74. [P138]
  • PDF   DOI   SSRN   GS


• "Alice's Adventures in Factorland: Three Blunders that Plague Factor Investing" (with Rob Arnott, Vitali Kalesnik and Juhani Linnainmaa), Journal of Portfolio Management, 45:4, 2019, 18-36. [P139]  [Lead Article]
  • PDF   DOI   SSRN   GS
• 2020 Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article in the Journal of Portfolio Management in 2019


• "The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?" with Ed Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto van Hemert, Journal of Portfolio Management, July 2019, 7-29. [P140]
  • PDF   DOI   SSRN   GS


• "Understanding Cryptocurrencies" with Wolfgang K. Hardle and Raphael C. G. Reule, Journal of Financial Econometrics, 2020, 18:2, 181-208. [P141]
  • PDF   DOI   SSRN   GS


• "Replication in Financial Economics", Critical Finance Review, 2020, 8, No. 1-2, 1-9. [P142]   [Lead Article]
  • PDF   DOI   SSRN   GS


• "False (and Missed) Discoveries in Financial Economics" (with Yan Liu) Journal of Finance 2020, 75:5, 2503-2553. [P143]
  • PDF   DOI   SSRN   GS


• "An Evaluation of Alternative Multiple Testing Methods for Finance Applications" (with Allesio Saretto and Yan Liu)    Review of Asset Pricing Studies, 2020, 10:2, 199-248. [P144]
  • PDF   DOI   SSRN   GS


• "Strategic Rebalancing" (with Nicolas Granger, Sandy Rattray and Otto van Hemert) Journal of Portfolio Management, Multiasset Special Issue, 2020, 1-22. [P145]
  • PDF PDF   DOI   SSRN   GS
• 2021 Af2i (Association francaise des investisseurs institutionnels) Academic First Prize


• "Lucky Factors" (with Yan Liu) Journal of Financial Economics 2021, 141:2, 413-435. [P146]
  • PDF PDF   DOI   SSRN   GS


• "Drawdowns" (with Otto Van Hemert, Mark Ganz, Sandy Rattray, Eva Sanchez Martin and Darrel Yawitch) Journal of Portfolio Management 2020, 46:8, 34-50. [P147]
  • PDF   DOI   SSRN   GS


• "Gold, the Golden Constant and Deja vu" (with Claude B. Erb and Tadas E. Viskanta) Financial Analysts Journal 2020, 76:4, 134-142. [P148]
  • PDF   DOI   SSRN   GS


• "Reports of Value's Death May Be Greatly Exaggerated" (with Rob Arnott, Vitali Kalesnik and Juhani Linnainmaa), Financial Analysts Journal 2021, 77:1, 44-67. [P149]
  • PDF   DOI   SSRN   GS
• Graham and Dodd Scroll for Excellence in Financial Writing, 2022


• "Unpatented Innovation and Merger Synergies" (with Messod D. Beneish, Ayung Tseng, and Patrick Vorst), Review of Accounting Studies 2022: 27:2, 706-744. [P150]
  • PDF   DOI   SSRN   GS


• "Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence" (with Yan Liu), Journal of Finance 77:3, 1921-1966. [P151]
  • PDF   DOI   SSRN   GS


• "The Perils of Factor Investing", (with Rob Arnott, Vitali Kalesnik and Juhani Linnainmaa) Security Analysts Journal 2021, 59:3, 41-50 (in Japanese). [P152]
  • PDF   DOI   SSRN   GS


• "Why Systematic Investing is Important"  Journal of Systematic Investing, 2021, 1:1, i-iv.  [P153]
  • PDF   DOI   SSRN   GS


• "The Best Strategies for Inflationary Times", (with Henry Neville, Teun Draaisma, Ben Funnell and Otto Van Hemert) Journal of Portfolio Management, 2021, 47:8, 8-37. [P154] [Lead Article]
  • PDF   DOI   SSRN   GS
• 2022 Bernstein Fabozzi/Jacobs Levy Award for Best Article published in the Journal of Portfolio Management in 2021
• 2021 Af2i (Association francaise des investisseurs institutionnels) Academic First Prize


• "Quantifying Long-Term Market Impact", (with Anthony Ledford, Emidio Sciulli, Philipp Ustinov, and Stefan Zohren), Journal of Portfolio Management, 2022 48:3, 25-46. [P155]
  • PDF   DOI   SSRN   GS
• 2023 Bernstein Fabozzi/Jacobs Levy Award for Best Article published in the Journal of Portfolio Management in 2022


• "The Pitfalls of Asset Management Research" Journal of Systematic Investment, 2022, 2:1, 9-17. [P156]
  • PDF   DOI   SSRN   GS


• "Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence", (with Akhtar Siddique) Critical Finance Review,  2023 12:1-4,  355-366.  [P157]
  • PDF   DOI   SSRN   GS


• "Momentum Turning Points", (with Christian Goulding and Michele Mazzoleni) Journal of Financial Economics, 2023, 149:3, 378-406. [P158]
  • PDF   DOI   SSRN   GS


• "Corporate Culture: Evidence from the Field", (with John Graham, Jillian Popadak and Shiva Rajgopal) Journal of Financial Economics, 2022, 146, 552-593. [P159]
  • PDF   DOI   SSRN   GS
  • Weinberg Center for Corporate Governance/IRRCI Research Award


• "Examining Quantitative Investment Strategies" Journal of Investment Consulting, 2022, 21:1, 4-14. [P160]
  • PDF   DOI   SSRN   GS


• "The Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-Sample Evidence", Journal of Fixed Income, 2022, 32:2, 53-63. [P161]
  • PDF   DOI   SSRN   GS


• "Corporate Culture: The Interview Evidence", (with John Graham, Jillian Grennan and Shiva Rajgopal) Journal of Applied Corporate Finance, 2023: 1-20. [P163]  [Lead article].
  • PDF   DOI   SSRN   GS


• "An Investor's Guide to Crypto", (with Tarek Abou Zeid, Tuen Drassisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van Hemert).  Journal of Portfolio Management, 2022, 49:1, November, 172-197.  [P164]
  • PDF   DOI   SSRN   GS


• "Is Sector-Neutrality in Factor Investing a Mistake?" (with Sina Ehsani and Feifei Li).   Financial Analysts Journal, 2023 79:3, 95-117. [P165]
  • PDF  DOI  SSRN  GS


• "Emerging Markets in a Globalized World", (with Geert Bekaert and Tomas Mondino). Emerging Markets Review, , 2023, 101034. [P166]
  • PDF  DOI   SSRN   GS


• "Breaking Bad Trends" with Christian Golding and Michele Mazzoleni. Financial Analysts Journal 80:1, 80-98. [P167]
  • PDF   DOI   SSRN   GS


• "Corporate Culture in a New Era: Views From the C-Suite", (with John Graham, Jillian Grennan and Shiva Rajgopal) Journal of Applied Corporate Finance, 2023: 7-21. [P168]  [Lead article].
  • PDF   DOI   SSRN GS


• "International Business and Decentralized Finance", (with Daniel Rabetti) Journal of International Business Studies, forthcoming. [P169] 
• PDF   DOI  SSRN  GS


• "Eggs in a Basket: Harry Markowitz's Contribution and How I Achieved Erdős 3", Journal of Portfolio Management, (forthcoming) [P170] 
• PDF   DOI  SSRN  GS


• "What do financial executives say about corporate culture and strategy?", (with John Graham, Jillian Grennan and Shiva Rajgopal) Management and Business Review, forthcoming. [P171] 
  • PDF   DOI   SSRN   GS

Books and Monographs

• DeFi and the Future of Finance, with Ashwin Ramachandra and Joey Santoro.  Hoboken, NJ: John Wiley and Sons, 2021. ISBN: 978-1-119-83602-5
• Amazon   SSRN (excerpt)   GS   Video


• DeFi and the Future of Finance, with Ashwin Ramachandra and Joey Santoro.  (translated by Gyojik Song, Seongpil Ahn and Dongyeop Lee). Seoul, Korea: Shinyoungsa, 2022. ISBN-13:9788955017878


• Strategic Risk Management, with Sandy Rattray and Otto van Hemert, Hoboken. NJ: John Wiley and Sons, 2021. ISBN: 978-1-119-77391-7 [B3]
  • Amazon GS
  
  
• The New York Times Dictionary of Money and Investing, with Gretchen Morgenson. New York, NY: Henry Holt and Company, 2002. ISBN: 0-8050-6933-X [B2]
  • Amazon
  
  
• Country Risk in Global Financial Management, with Claude B. Erb and Tadas E. Viskanta. Charlottesville, VA: The Research Foundation of the CFA Institute, 1998 [B1]
  • Amazon GS

New Work

• "Structural Alpha" with Rob Arnott, Sina Ehsani, and Omid Shakernia (W165)
  • Download PDF [Not available yet].
  • Google scholar citations [Not available yet]
  
  
• "Decentralized Exchange: Opportunites, Risks and Oversight" with Joel Hasbrouck and Fahad Saleh (W164)
  • Download PDF .
  • Google scholar citations [Not available yet]
  
  
• "Is There Still a Golden Dilemma?" with Claude B. Erb (W163)
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  • Google scholar citations [Not available yet]
  
  
• "An Anatomy of Crypto-Enabled Cybercrimes" with Lin William Cong, Daniel Rabetti and Zonig-Yu Wu (W162)
  • SSRN   NBER.
  • Google scholar citations [Not available yet]
  
  
• "Disagreement of Disagreement" with Christian Goulding and Hrjove Kurtovic (W161)
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  • Google scholar citations [Not available yet]
  
  
• "Up or Out: Resetting Norms for Peer Reviewed Publishing in the Social Sciences" with David Hirshleifer (W151)
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  • Google scholar citations [Not available yet]
  
  
• "Decoding Systematic Relative Investing: A Pairs Approach"  with Christian Golding and Alex Pickard (W150)
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  • Google scholar citations [Not available yet]
  
  
• "Crowding: Evidence from Managerial Fund Structures"  with Yan Liu, Erik K.M. Tan, and Min Zhu (W148)
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  • Google scholar citations [Not available yet]
  
  
• "The Persistence of Miscalibration"  with Michael Boutros, Zahi Ben-David, John Graham and John Payne (W144)
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  • Google scholar citations [Not available yet]
  
  
• "A Census of the Factor Zoo" with Yan Liu (W142)
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  • Google scholar citations [Not available yet]
  
  
• "Corporate Culture: The Interview Evidence" with John Graham, Jillian Popadak and Shiva Rajgopal (W137)
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  • Google scholar citations [Not available yet]
  
  
• "Decreasing Returns to Scale, Fund Flows, and Performance" with Yan Liu (W136)
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  • Google scholar citations [Not available yet]
  
  
• "Dissecting Investment Strategies in the Cross-Section and Time Series" with Jamil Baz, Nicolas Granger, Nicolas Le Roux and Sandy Rattray (W134)
  • Download PDF.
  
  
• "Rebalancing Risk" with Nicolas Granger, Douglas Greenig, Sandy Rattray and David Zou (W127)
  • Download PDF.
  
  
• "Multiple Testing in Economics" with Yan Liu.(W122)
  • Download PDF.
  
  
• "Stock Market Valuations across U.S. States" with Geert Bekaert, Christian Lundblad and Stephen Siegel.(W121)
  • Not available yet.
  
  
• "Emerging Equity Markets in a Globalizing World" with Geert Bekaert (W119)
  • Download PDF.
  
  
• "Where are the World's Best Analysts?" with Sam Radnor, Khalil Mohammed and William Ferreira (W118)
  • Download PDF.
  
  
• "Managing Risk Management" with Gordon Bodnar, John Graham, and Richard Marston (W107)
  • Download PDF.
  • Alternative download.

Crypto-related research (Blockchain and cryptocurrencies)

• "Bitcoin Myths and Facts." (W126)
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• "Cryptofinance." (W125)
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Teaching materials

• "A Guide to Earnings Quality" with Ilia Dichev, John Graham, and Shiva Rajgopal.(W120)
  • Download PDF.
  
  
• "A Guide to Corporate Risk Management," with Gordon Bodnar, Erasmo Giambona, and John Graham (W129)
  • Download PDF.

Gold and Commodities