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aa610@columbia.edu

Ann F. Kaplan Professor of Business
Columbia Business School
3022 Broadway, 413 Uris
New York NY 10027
Ph: 212 854 9154

Working Papers:

"Yield Curve Predictors of Foreign Exchange Returns" (with Joe Chen), 23 January 2010

"When Hedge Funds Block the Exits" (with Nick Bollen), 14 January 2010

"The Joint Cross Section of Stocks and Options" (with Turan Bali and Nusret Cakici), 7 January 2010

"Testing Conditional Factor Models" (with Dennis Kristensen), 20 April 2009

"Using Stocks or Portfolios in Tests of Factor Models" (with Jun Liu and Krista Schwarz), 20 November 2008

"Monetary Policy Shifts and the Term Structure" (with Jean Boivin, Sen Dong, and Rudy Loo-Kung), 10 August 2009

"No-Arbitrage Taylor Rules" (with Sen Dong and Monika Piazzesi), 11 September 2007

"Characterizing the Ability of Dividend Yields to Predict Future Dividends in Log-Linear Present Value Models," 3 May 2002

"Taxes on Tax-Exempt Bonds" (with Vineer Bhansali and Yuhang Xing), forthcoming Journal of Finance
Additional results are available in this online Appendix

"Locked Up by a Lockup: Valuing Liquidity as a Real Option" (with Nick Bollen), forthcoming Financial Management

Cases:

"The Norwegian Government Pension Fund: The Divestiture of Wal-Mart Stores Inc," 2008, Columbia CaseWorks 080301. Email me for the case and supporting data files.

"The Quant Meltdown: August 2007," 2008, Columbia CaseWorks 080317. Email me for the case and supporting data files.

Past Papers:

"Prepayment Penalties - Why MBS Investors Demand a Premium" 1995, Journal of the Securities Institute of Australia, Dec.

"Interest Rate Risk Management" (with Mike Sherris), 1997, North American Actuarial Journal, Society of Actuaries, Apr.

"A General Affine Earnings Valuation Model" (with Jun Liu), 2001, Review of Accounting Studies, 6, 397-425

"Asymmetric Correlations of Equity Portfolios" (with Joe Chen), 2002, Journal of Financial Economics, 63, 3, 443-494.

"Regime Switches in Interest Rates" (with Geert Bekaert), 2002, Journal of Business and Economic Statistics, 20, 2, 163-182.

"Short Rate Nonlinearities and Regime Switches" (with Geert Bekaert), 2002, Journal of Economic Dynamics and Control, 26, 7-8, 1243-1274.

"International Asset Allocation with Regime Shifts" (with Geert Bekaert), 2002, Review of Financial Studies, 15, 4, 1137-1187.

"A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables" (with Monika Piazzesi), 2003, Journal of Monetary Economics, 50, 4, 745-787.

"How do Regimes Affect Asset Allocation?" (with Geert Bekaert), 2004, Financial Analysts Journal, 60, 2, 86-99
A more technical version is available HERE

"How to Discount Cashflows with Time-Varying Expected Returns" (with Jun Liu), 2004, Journal of Finance, 59, 6, 2745-2783.

"Do Demographic Changes Affect Risk Premiums? Evidence from International Data" (with Angela Maddaloni), 2005, Journal of Business, 78, 1, 341-380.

"Why Stocks May Disappoint" (with Geert Bekaert and Jun Liu), 2005, Journal of Financial Economics, 76, 471-508.
A technical appendix is available HERE

"The Cross-Section of Volatility and Expected Returns" (with Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, Journal of Finance, 61, 1, 259-299.

"What Does the Yield Curve Tell us about GDP Growth?" (with Monika Piazzesi and Min Wei), 2006, Journal of Econometrics, 131, 359-403.

"A New Measure for Measuring" (with Matt Rhodes-Kropf and Rui Zhao), 2006, Institutional Investor's Alpha, July/August, 40-45.

"Downside Risk" (with Joe Chen and Yuhang Xing), 2006, Review of Financial Studies, 19, 1191-1239.

"CAPM Over the Long Run: 1926-2001" (with Joe Chen), 2007, Journal of Empirical Finance, 14, 1, 1-40.

"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?" (with Geert Bekaert and Min Wei), 2007, Journal of Monetary Economics, 54, 1163-1212.

"Stock Return Predictability: Is it There?" (with Geert Bekaert), 2007, Review of Financial Studies, 20, 3, 651-707.

"Risk, Return and Dividends" (with Jun Liu), 2007, Journal of Financial Economics, 85, 1, 1-38.
A technical appendix is available HERE

"Is IPO Underperformance a Peso Problem?" (with Li Gu and Yael Hochberg), 2007, Journal of Financial and Quantitative Analysis, 42, 3, 565-594.

"The Term Structure of Real Rates and Expected Inflation" (with Geert Bekaert and Min Wei), 2008, Journal of Finance, 63, 2, 797-849.

"Do Funds-of-Funds Deserve their Fees-on-Fees?" (with Matt Rhodes-Kropf and Rui Zhao), 2008, Journal of Investment Management, 6, 4, 34-58.

"High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence" (with Bob Hodrick, Yuhang Xing and Xiaoyan Zhang), 2009, Journal of Financial Economics, 91, 1, 1-23.

Partners in crime (research):

aa610@columbia.edu