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Robert James Hodrick

Global rank #35716 59%

Institution: Columbia University

Primary Field: General (weighted toward more recent publications)

Homepage: http://www.columbia.edu/~rh169

First Publication: Unknown

Most Recent: Unknown

RePEc ID: pho115 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 1.01 0.00 1.01
All Time 4.69 18.77 5.70 0.00 62.00

Publication Statistics

Raw Publications 28
Coauthorship-Adjusted Count 0.00

Publications (28)

Year Article Journal Tier Authors
2016 Estimating the risk-return trade-off with overlapping data inference Journal of Banking & Finance B 2
2012 Aggregate Idiosyncratic Volatility Journal of Financial and Quantitative Analysis B 3
2009 High idiosyncratic volatility and low returns: International and further U.S. evidence Journal of Financial Economics A 4
2009 International Stock Return Comovements Journal of Finance A 3
2006 The Cross‐Section of Volatility and Expected Returns Journal of Finance A 4
2002 Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? Journal of Economic Dynamics and Control B 2
2002 Comment on:: Time varying liquidity in foreign exchange Journal of Monetary Economics A 1
2001 Expectations Hypotheses Tests Journal of Finance A 2
2001 Peso problem explanations for term structure anomalies Journal of Monetary Economics A 3
2001 Evaluating the specification errors of asset pricing models Journal of Financial Economics A 2
1997 On biases in tests of the expectations hypothesis of the term structure of interest rates Journal of Financial Economics A 3
1997 The implications of first-order risk aversion for asset market risk premiums Journal of Monetary Economics A 3
1993 On biases in the measurement of foreign exchange risk premiums Journal of International Money and Finance B 2
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. Journal of Finance A 2
1992 Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. The Review of Financial Studies A 1
1991 The Variability of Velocity in Cash-in-Advance Models. Journal of Political Economy S 3
1990 Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? American Economic Review S 1
1989 Risk, uncertainty, and exchange rates Journal of Monetary Economics A 1
1987 Foreign currency futures Journal of International Economics A 2
1986 Asset Price Volatility, Bubbles, and Process Switching. Journal of Finance A 2
1986 Real aspects of exchange rate regime choice with collapsing fixed rates Journal of International Economics A 2
1986 The covariation of risk premiums and expected future spot exchange rates Journal of International Money and Finance B 2
1985 Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle Quarterly Journal of Economics S 2
1984 An investigation of risk and return in forward foreign exchange Journal of International Money and Finance B 2
1982 The dynamic adjustment path for perfectly foreseen changes in monetary policy Journal of Monetary Economics A 2
1981 International asset pricing with time-varying risk premia Journal of International Economics A 1
1980 Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy S 2
1980 Dynamic effects of government policies in an open economy Journal of Monetary Economics A 1