Andrew Ang's Web Page
To see an academic resume click HERE
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aa610@columbia.edu
Professor of Finance
Columbia Business School
3022 Broadway, 413 Uris
New York NY 10027
Ph: 212 854 9154
Working Papers:
"Using Stocks or Portfolios in Tests of Factor Models" (with Jun Liu and Krista Schwarz), 14 March 2008
"Monetary Policy Shifts and the Term Structure" (with Jean Boivin and Sen Dong), 28 January 2008
"Taxes on Tax-Exempt Bonds" (with Vineer Bhansali and Yuhang Xing), 6 March 2007
"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
"High Idiosyncratic Volatility and Low Returns: International and Future U.S. Evidence" (with Bob Hodrick, Yuhang Xing and Xiaoyan Zhang), forthcoming Journal of Financial Economics
"Do Funds-of-Funds Deserve their Fees-on-Fees?" (with Matt Rhodes-Kropf and Rui Zhao), forthcoming Journal of Investment 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.
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.
Partners in crime (research):
aa610@columbia.edu