Robert J. Hodrick
Columbia University
2 papers in the Anchorcite directory, published between 1997 and 2006, cited 12,357 times in total.
Research topics
- Market Dynamics and Volatility · 2 papers
- Monetary Policy and Economic Impact · 1 paper
- Complex Systems and Time Series Analysis · 1 paper
- Financial Markets and Investment Strategies · 1 paper
- Financial Risk and Volatility Modeling · 1 paper
Frequent co-authors
- Edward C. Prescott · 1 paper
- Andrew Ang · 1 paper
- Yuhang Xing · 1 paper
- Xiaoyan Zhang · 1 paper
Papers
- Postwar U.S. Business Cycles: An Empirical InvestigationJournal of money credit and banking · 1997 · 7,491 citations
A study documents some features of aggregate economic fluctuations sometimes referred to as business cycles. The investigation uses quarterly data from the postwar US economy. The fluctuations studied are those that are too rapid to be accounted for by slowly…
- The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance · 2006 · 4,866 citations
ABSTRACT We examine the pricing of aggregate volatility risk in the cross‐section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative…
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