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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

"Nominal Bonds, Real Bonds, and Equity" (with Maxim Ulrich), 5 April 2012

"Asset Pricing in the Dark: The Cross Section of OTC Stocks" (with Assaf Shtauber and Paul Tetlock), 2 February 2013

"Portfolio Choice with Illiquid Assets" (with Dimitris Papanikolaou and Mark Westerfield), 8 December 2012

"Yield Curve Predictors of Foreign Exchange Returns" (with Joe Chen), 13 March 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), 15 February 2012

"Using Stocks or Portfolios in Tests of Factor Models" (with Jun Liu and Krista Schwarz), 7 September 2010

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

"Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe" (with Francis Longstaff), forthcoming Journal of Monetary Economics

"Liability Driven Investment with Downside Risk" (with Bingxu Chen and Suresh Sundaresan), forthcoming Journal of Portfolio Management

"Searching for a Common Factor in Public and Private Real Estate Returns" (with Neil Nabar and Sam Wald), forthcoming Journal of Portfolio Management

Draft "Asset Management" Book Chapters

Part I: The Asset Owner Asset Owners Who?
Preferences Downside
Mean-Variance Investing Diversify!
Investing for the Long Run Rebalance
Life-Cycle Investing Save
Part II: Factor Risk Premiums Factor Theory Bad times
Factors Risk, therefore Rewards
Equities Buy
Fixed Income The Fed
Alpha Alpha? = Benchmark
"Real" Assets Not really
Tax-Efficient Investing Minimize
Illiquid Assets Yes and no
Factor Investing Definitely!
Part III: Delegated Portfolio Management Delegated Investing Mistrust
Mutual Funds and Other 40-Act Funds Underperformance
Hedge Funds Expensive
Private Equity Expensive and illiquid
Appendices Returns Gross, Arithmetic, Log

Cases

Cases available from Columbia CaseWorks

"The Norwegian Government Pension Fund: The Divestiture of Wal-Mart Stores Inc," 2008, Columbia CaseWorks 080301.
"The Quant Meltdown: August 2007," 2008, Columbia CaseWorks 080317.
"Liquidating Harvard," 2010, Columbia CaseWorks 100312.
"Who Watches the Watchman? New York State Common Retirement Fund," 2011, Columbia CaseWorks 110307.
"Stay the Course? Portfolio Advice in the Face of Large Losses," 2011, Columbia CaseWorks 110309.
"Is Real Estate Real?" (with Lynne Sagalyn and Rona Smith), 2011, Columbia CaseWorks 111704.
"GM Asset Management and Martingale's Low Volatility Strategy," 2012, Columbia CaseWorks 110315.
"Factor Investing: The Reference Portfolio and Canada Pension Plan Investment Board," 2012, Columbia CaseWorks 120302.
"California Dreamin': The Mess at CalPERS," (with Jeremy Abrams), 2012, Columbia CaseWorks 120306.

Past Papers

Macro Finance

"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.
"What Does the Yield Curve Tell us about GDP Growth?" (with Monika Piazzesi and Min Wei), 2006, Journal of Econometrics, 131, 359-403.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?" (with Geert Bekaert and Min Wei), 2007, Journal of Monetary Economics, 54, 1163-1212.
"The Term Structure of Real Rates and Expected Inflation" (with Geert Bekaert and Min Wei), 2008, Journal of Finance, 63, 2, 797-849.
"Monetary Policy Shifts and the Term Structure" (with Jean Boivin, Sen Dong, and Rudy Loo-Kung), 2011, Review of Economic Studies, 78, 2, 429-457. Additional results are available in this online Appendix. The data can be downloaded HERE

Fixed Income

"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.
"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.
"Taxes on Tax-Exempt Bonds" (with Vineer Bhansali and Yuhang Xing), 2010, Journal of Finance, 65, 2, 565-601. Additional results are available in this online Appendix
"Build America Bonds" (with Vineer Bhansali and Yuhang Xing), 2010, Journal of Fixed Income, 20, 1, 67-73.
"Lowering Borrowing Costs for States and Municipalities Through CommonMuni" (with Rick Green), 2011, The Hamilton Project, Brookings.

Equity Valuation

"A General Affine Earnings Valuation Model" (with Jun Liu), 2001, Review of Accounting Studies, 6, 397-425
"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.
"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.
"Price-to-Earnings Ratios: Growth and Discount Rates" (with Xiaoyan Zhang), 2012, in Brett Hammond, Marty Leibowitz, and Larry Siegel, eds., Rethinking the Equity Risk Premium, pp 130-142, Research Foundation of the CFA Institute. A technical appendix is available HERE
"Predicting Dividends in Log-Linear Present Value Models," 2012, Pacific-Basin Finance Journal, 20, 1, 151-171.
"Testing Conditional Factor Models" (with Dennis Kristensen), 2012, Journal of Financial Economics, 106, 1, 132-156.

Cross-Sectional Expected Returns

"Asymmetric Correlations of Equity Portfolios" (with Joe Chen), 2002, Journal of Financial Economics, 63, 3, 443-494.
"The Cross-Section of Volatility and Expected Returns" (with Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, Journal of Finance, 61, 1, 259-299.
"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.
"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.
"Inflation and Individual Equities" (with Marie Briere and Ombretta Signori), 2012, Financial Analysts Journal, 68, 4, 36-55. Additional results are available HERE

Investment Management and Asset Allocation

"International Asset Allocation with Regime Shifts" (with Geert Bekaert), 2002, Review of Financial Studies, 15, 4, 1137-1187.
"How do Regimes Affect Asset Allocation?" (with Geert Bekaert), 2004, Financial Analysts Journal, 60, 2, 86-99. A more technical version is available HERE
"Why Stocks May Disappoint" (with Geert Bekaert and Jun Liu), 2005, Journal of Financial Economics, 76, 471-508. A technical appendix is available HERE
"Evaluation of Active Management of the Norwegian Government Pension Fund - Global" (with Will Goetzmann and Stephen Schaefer), 2009.
"The Efficient Market Theory and Evidence: Implications for Active Investment Management" (with Will Goetzmann and Stephen Schaefer), 2011, Foundations and Trends in Finance, 5, 3, 157-242.
"Illiquid Assets", 2011, CFA Institute Conference Proceedings Quarterly, 28, 4, 12-20.
"Investing for the Long Run" (with Knut Kjaer), 2011, in Tomas Franzen, ed., A Decade of Challenges: A Collection of Essays on Pensions and Investments, pp 94-111, Andra AP-fonden, Second Swedish National Pension Fund - AP2.
"The Four Benchmarks of Sovereign Wealth Funds", 2012, in Patrick Bolton, Frederic Samama, and Joe Stiglitz, eds., Sovereign Wealth Funds and Long-Term Investing, pp 94-105, Columbia University Press.
"Regime Changes and Financial Markets" (with Allan Timmermann), 2012, Annual Review of Financial Economics, 4, 313-337.

Alternative Investments

"A New Measure for Measuring" (with Matt Rhodes-Kropf and Rui Zhao), 2006, Institutional Investor's Alpha, July/August, 40-45.
"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.
"Locked Up by a Lockup: Valuing Liquidity as a Real Option" (with Nick Bollen), 2010, Financial Management, 39, 3, 1069-1095.
"Hedge Fund Leverage" (with Sergiy Gorovyy and Greg van Inwegen), 2011, Journal of Financial Economics, 102, 1, 102-126.
"Risk, Returns, and Optimal Holdings of Private Equity" (with Morten Sorensen), 2012, Quarterly Journal of Finance, 2, 3, DOI: 10.1142/S2010139212500115.

Some Recent Co-authors: