Duke University Global Capital Market Center

"The Real Term Structure and Consumption Growth," Journal of Financial Economics 22 (1988): 305-334. (P1) View PDF, 2.8mb.
"Forecasting Economic Growth with the Bond and Stock Markets," Financial Analysts Journal, September/October (1989): 38-45. ( P2) View PDF, 0.9mb.
"Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24
(1989): 289-317. (P3) View PDF, 2.4mb.
"Bayesian Inference in Asset Pricing Tests," with Guofu Zhou, Journal of Financial Economics 26 (1990): 221-254. (P4) View PDF, 2.6mb.
"The Variation of Economic Risk Premiums," with Wayne Ferson, Journal of Political Economy 99 (1991): 285-315. (P5) View PDF, 4.1mb.
"The Term Structure and World Economic Growth," Journal of Fixed Income 1 (1991): 4-17. (P6) View PDF, 1.9mb.
"Sources of Predictability in Portfolio Returns," with Wayne Ferson, Financial Analysts Journal May/June (1991): 49-56. (P7) View PDF, 1.1mb.
"Les Taux d'Intérêt et la Croissance Economique en France," Analyse Financière 86 (1991): 97-103. (P8) View PDF, 1.2mb.
"S & P 100 Index Option Volatility," with Robert Whaley, Journal of Finance 46 (1991): 1551-1561. (P9) View PDF, 1.4mb.
"The World Price of Covariance Risk," Journal of Finance 46 (1991): 111-157. (P10) View PDF, 4.5mb.
"Volatility in the Foreign Currency Futures Market," with Roger Huang, Review of Financial Studies 4 (1991): 543-569. (P11) View PDF, 2.7mb.
"Interest Rate Based Forecasts of German Economic Growth," Weltwirtschaftliches Archiv 127 (1991): 701-718. (P12) View PDF, 1.6mb.
"Dividends and S&P 100 Index Option Valuation," with Robert Whaley, Journal of Futures Markets 12 (1992): 123-137. (P13) View PDF, 1.5mb.
"Information and Volatility in the FX Market," with Roger Huang, Finanzmarkt und Portfolio Management 6 (1992): 14-22. (P14) View PDF, 1.4mb.
"Seasonality and Consumption-Based Asset Pricing," with Wayne Ferson, Journal of Finance 47 (1992): 511-552. (P15) View PDF, 4.3mb.
"Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market," with Robert Whaley, Journal of Financial Economics 31 (1992): 43-73. (P16) View PDF, 3.2mb.
"Explaining the Predictability in Asset Returns," with Wayne Ferson, Research in Finance 11 (1993): 65-106. (P17) View PDF, 3.8mb.
"The Term Structure Forecasts Economic Growth," Financial Analysts Journal May/June (1993): 6-8. (P18) View PDF, 0.7mb.
"Seasonality and Heteroskedasticity in Consumption-Based Asset Pricing: An Analysis of Linear Models," with Wayne Ferson, Research in Finance 11 (1993): 1-35. (P19) View PDF, 3.3mb.
"International Asset Pricing with Alternative Distributional Specifications," with Guofu Zhou, Journal of Empirical Finance 1 (1993): 107-131. (P20) View PDF, 2.3mb.
"The Risk and Predictability of International Equity Returns," with Wayne Ferson, Review of Financial Studies 6 (1993) 527- 566. (P21) View PDF, 4.1mb.
"Strategic Treasury Debt Management in Public Policy," Policy Studies, Review 12 (1993): 76-89. (P22) View PDF, 1.3mb.
"National Risk and Global Fixed Income Allocation," with Claude Erb and Tadas Viskanta, Journal of Fixed Income (Sept 1994): 17--26. (P23) View PDF, 1.3mb.
"Sources of Risk and Expected Returns in Global Equity Markets," with Wayne Ferson, Journal of Banking and Finance (1994): 775-803. (P24) View PDF, 2.6mb. Also published as NBER working paper 4622.
"Economic Activity Measures in Nonlinear Asset Pricing," Advances in Financial Economics (1995): 123-154. (P25) View PDF, 2.2mb.
"Country Credit Risk and Global Portfolio Selection," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management (Winter 1995): 74-83. (P26) View PDF, 1.2mb.
"Forecasting International Equity Correlations," with Claude Erb and Tadas Viskanta, Financial Analysts Journal (1994): November/December 32-45. (P27) View PDF, 1.9mb.
"Do World Markets Still Serve as a Hedge?," with Claude Erb and Tadas Viskanta, Journal of Investing (1995): Fall 23-46. (P28) View PDF, 2.1mb.
"The Cross-Section of Volatility and Autocorrelation in Emerging Markets" Finanzmarkt und Portfolio Management 9 (1995): 12-34. (P29) View PDF, 2.8mb.
"The Risk Exposure of Emerging Equity Markets," World Bank Economic Review (1995): 19-50. (P30) View PDF, 2.7mb.
"Predictability and Time-Varying Risk in World Equity Markets," with Wayne Ferson, Research in Finance 13 (1995): 25-88. (P31) View PDF, 4.7mb.
"Predictable Risk and Returns in Emerging Markets," Review of Financial Studies (1995): 773-816. (P32) View PDF, 3.4mb. Also published as NBER working paper 4621.
"Time-Varying World Market Integration," with Geert Bekaert, Journal of Finance(1995): 403-444. [Lead Article] (P33) View PDF, 4.3mb. Also published as NBER working paper 4843.
"Inflation and World Equity Selection," with Claude Erb and Tadas Viskanta, Financial Analysts Journal, (1995): November-December, 28-42. (P34) View PDF, 2.0mb.
Also in Japanese, Security Analysts Journal (1996): Part I, October, 45-61; Part II, November, 84-90. (P34J)
"The Relation Between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics (1997): 30:1, February, 169-193. (P35) View PDF, 2.4mb.
"Expected Returns and Volatility in 135 Countries" with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Spring 1996, pp. 46-58. (P36) View PDF, 1.5mb.
"Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations," with John Graham, Journal of Financial Economics (1996): 397-422. (P37) View PDF, 2.2mb. Also published as NBER working paper 4890.
"Political Risk, Financial Risk and Economic Risk," with Claude Erb and Tadas Viskanta, Financial Analysts Journal (1996): November/December 52:6, 28-46. (P38) [prev. W23] View PDF, 2.0mb.
Also in Japanese, Security Analysts Journal (1998):1 Part I, 109-119; (1998):2 Part II, 84-95. (P38J)
"The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns," with Claude Erb and Tadas Viskanta, Journal of Fixed Income (1996): June 6:1, 7-31 [Lead article]. (P39) [prev. W24] View PDF, 2.5mb.
"Emerging Equity Market Volatility," with Geert Bekaert, Journal of Financial Economics (1997): 43:1, January, 29-78. (P40) [prev. W14] View PDF Also published as NBER working paper 5307.
"Demographics and International Investment," with Claude Erb and Tadas Viskanta, Financial Analysts Journal (1997): July/August, Vol. 53:4, 14-28.(P41)[prev. W27] View PDF, 1.7mb.
"Fundamental Determinants of International Equity Returns: A Perspective on Conditional Asset Pricing," with Wayne Ferson, Journal of Banking and Finance (1997): 21, 1625-1665. (P42)[prev. W7] View PDF, 4.2mb. Also published as NBER working paper 5860.
"The Making of an Emerging Market," with Claude Erb and Tadas Viskanta, Emerging Markets Quarterly (1997) 1:1 14-19. (P43) View PDF, 0.7mb.
"Grading the Performance of Market Timing Newsletters," with John Graham, Financial Analysts Journal November/December Vol 53:6, 54-66. (P44)[prev. W26] View PDF, 1.8mb.
"What Matters for Emerging Market Investment," with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Emerging Markets Quarterly (1997) 1:2, 17-46. (P45) View PDF, 4.2mb.
"Distributional Characteristics of Emerging Market Returns and Asset Allocation," with Geert Bekaert, Claude B. Erb and Tadas E. Viskanta, Journal of Portfolio Management (1998), Winter, 102-116. (P46) View PDF, 1.7mb.
"Measurement Error and Nonlinearity in the Earnings-Returns Relation of Large Firms," with Messod Beneish, Review of Quantitative Finance and Accounting, (1998), 11, 219-247. [Lead article.] (P47) [prev. W4] View PDF, 3.0mb.
"Emerging/Developed Market Portfolio Mixes," with Stefano M. F. G. Cavaglia, Magnus Dahlquist, Peter L. Rathjens and Jarrod W. Wilcox. Emerging Markets Quarterly (1997), Winter, 47-62. (P48) [prev. W29] View PDF, 1.9mb.
"The Future of Investment in Emerging Markets" NBER Reporter, Summer 1998, pp. 5-8. (P49) View PDF, 1.5mb.
"Risk in Emerging Markets" with Claude B. Erb and Tadas E. Viskanta, The Financial Survey, 1998, July/August, pp.42-46. (P50) [prev. W41] View PDF, 0.8mb.
"Contagion and Risk" with Claude Erb and Tadas Viskanta, in Emerging Markets Quarterly 2, Summer 1998, pp. 46-64. (P51) [prev. W42] View PDF, 2.6mb.
"A New Perspective on Emerging Market Bonds," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management 1998 forthcoming (P52) [prev. W36] View PDF, 1.2mb.
"Stock Selection in Emerging Markets: Portfolio Strategies for Malaysia, Mexico and South Africa" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 1999, Winter, 38-91. (P53) View PDF, 6.4mb.
"Autoregressive Conditional Skewness," with Akhtar Siddique, Journal of Financial and Quantitative Analysis 1999, forthcoming, (P54) [prev. W22] View PDF, X.Xmb.
"Stock Selection in Malaysia" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 1999, Spring, 54-91 (P55) View PDF, 5.5mb.
"Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 1999 or 2000, forthcoming. (P56) [prev. W17] View PDF, 1.0mb.
"Conditioning Variables and the Cross-Section of Stock Returns," with Wayne Ferson, Journal of Finance 1999, 54 1325-1360. (P57) [prev. W32] View PDF, 0.2mb. Also published as NBER working paper 7009.
"Capital Markets: An Engine for Economic Growth," with Geert Bekaert, Brown Journal of World Affairs 5:1 (Winter/Spring), 1998, 33-53. (P58)[prev. W21] View PDF, 1.9mb.
"Brazil in Crisis" with Chris Lundblad and Diego Valderrama, Emerging Markets Quarterly 1999, Spring, 4-9. (P59) View PDF, 1.0mb.
"Efficient Online Non-Parametric Density Estimation," with Christophe G. Lambert, Scott E. Harrington, Nathan D. Bronson and Arman Glodjo. Algorithmica 1999, forthcoming (P60)[prev. W28] View PDF, 1.8mb.
"Forecasting emerging market returns using neural networks: A comparative study of nine emerging markets," with Kirsten E. Travers and Michael J. Costa, Emerging Markets Quarterly 1999, forthcoming (P61) [prev. W44] View PDF, 1.7mb.
"Economic, Financial and Fundamental Global Risk In and Out of the EMU," with Wayne Ferson, Swedish Economic Policy Review (P62) [prev. W40] View PDF, 2.1mb. Also published as NBER working paper 6967.
"Stock Selection in Mexico" with Dana Achour, Greg Hopkins and Clive Lang, Emerging Markets Quarterly 3, Fall 1999, 38-75. (P63) [prev. W46] View PDF, 1.1mb. View PDF of last working paper version, 0.3mb
"Foreign Speculators and Emerging Equity Markets," with Geert Bekaert, Journal of Finance, 1999 or 2000, forthcoming, (P64) [prev. W31) View PDF of last working paper version, 2.4mb Also published as NBER working paper 6312. ** Supplementary tables available.**
"Stock Selection in South Africa" with Dana Achour, Greg Hopkins and Clive Lang, African Finance Journal 1, 1-68. (P65) [prev. W47] View PDF of last working paper version, 0.3mb View PDF [not ready yet]

Working Papers

"Conditional Asset Allocation in Emerging Markets," (W1) View PDF, 3.5mb Also published as NBER working paper 4623.
"Public Information and Fixed Income Volatility," with Roger Huang. (W2) View PDF, 2.3mb
"The Impact of Federal Reserve Bank's Open Market Operations," with Roger Huang. (W3) View PDF, 2.9mb Also published as NBER working paper 4663.
"The Specification of Conditional Expectations," (previous title: "Is the Expected Compensation for Market Volatility Constant?") (W6) View PDF, 5.7mb
"What Determines Expected International Asset Returns?" with Bruno Solnik and Guofu Zhou. (W8) View PDF, 4.0mb Also published as NBER working paper 4660.
"Global Risk Exposure to a Trade-Weighted Currency Index," (W10) View PDF, 5.8mb
"Forecasting Foreign Exchange Market Returns via Entropy Based Coding: The Framework," with Arman Glodjo. (W13) View PDF, 2.6mb
"Analytic Tests of Linear Factor Models," with Chris Kirby. (W18) View PDF, 3.2mb
"Performance Evaluation in the Presence of Dynamic Trading Strategies," with Ravi Bansal. (W19) View PDF, 3.2mb
"Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs," with Bernard Dumas and Pierre Ruiz (W34) View PDF, 1.8mb
"The International Cost of Capital and Risk Calculator," (W35) View PDF, 1.2mb
"Dating the Integration of World Capital Markets," with Geert Bekaert and Robin Lumsdaine, (W38) View PDF, 4.6mb Also published as NBER working paper 6724.
"The Dynamics of Emerging Market Equity Flows," with Geert Bekaert and Robin Lumsdaine, (W39) View PDF, 2.1mb Also published as NBER working paper 7219.
"The theory and practice of corporate finance: Evidence from the field," with John Graham, (W45) View PDF, 1.3mb
"Understanding emerging market bonds," with Claude B. Erb and Tadas E. Viskanta, (W48) View PDF, xxxmb

Books, Chapters, Monographs

"An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," with Wayne Ferson, in Jeffrey Frankel, Editor, The Internationalization of Equity Markets, (Chicago: University of Chicago Press, 1994, pp. 59-138). (C1) View PDF, 6.3mb Also published as NBER working paper 4595.
"Portfolio Enhancement using Emerging Markets and Conditioning Information," in Stijn Claessens and Shan Gooptu, Eds., Portfolio Investment in Developing Countries, (Washington: The World Bank Discussion Series, 1993, pp. 110-144). (C2) View PDF, 2.1mb
"The World Price of Covariance Risk," in Stanley Stansell, Editor, International Financial Market Integration, (London: Basil Blackwell, 1993, pp. 187-234). (C3)
"la Capacità Previsiva della Struttura per Scadenza dei Tassi d'Interesse Italiani in Relazione alla Crescita Economica Reale," with Sidhartha Kaul and Chris M. Kirby, Serie Economica, 1990, CRF Gruppo IMI. (C4) View PDF, 1.6mb
"The Contribution of Speculators to Effective Financial Markets," with Geert Bekaert and Márcio G.P. Garcia, Catalyst Monograph Series, 1995, Catalyst Institute. (C5) View PDF, 4.8mb
"The Role of Capital Markets in Economic Growth," with Geert Bekaert and Márcio G.P. Garcia, Catalyst Monograph Series, 1995, Catalyst Institute. (C6) View PDF, 4.9mb
"Capital Markets: An Engine for Economic Growth," with Geert Bekaert, Catalyst Monograph Series, 1995, Catalyst Institute. (C7) View PDF, 3.3mb
"Instrumental Variables Estimation of Conditional Beta Pricing Models," with Christopher Kirby, Handbook of Statistics 14, G.S. Maddala, C.R. Rao and H.D. Vinod, Eds., North Holland, 1996, 35-60. (C8) View PDF, 2.5
"The Risk Exposure of Emerging Equity Markets," in Investing in Emerging Markets Mike J. Howell, Ed., London, 1994, pp. 116-174. [Expanded version of W30]. (C9) View PDF, 4.9mb
"The Behavior of Emerging Market Returns," with Geert Bekaert, Claude Erb and Tadas Viskanta, in The Future of Emerging Market Capital Flows, in Richard Levich (ed.), Boston: Kluwer Academic Publishers), 1998, Chapter 5, 107-173. (C10) [prev. W25] View PDF, 4.4mb
"The Cross-Sectional Determinants of Emerging Equity Market Returns," with Geert Bekaert, Claude Erb and Tadas Viskanta, in Peter Carman, ed., Quantitative Investing ofr the Global Markets: Strategies, Tactics, and Advanced Analytical Techniques, 1997, (Chicago: Glenlake Publishing), 221-272. (C11) View PDF, 4.4mb
"The Risk and Expected Returns of African Equity Investments," with Claude Erb and Tadas Viskanta, in Cathy Pattillo, Ed., Risk and Agencies of Restraint: Reducing the Perceived Risks of African Investment, (MacMillan), forthcoming. (C12) [prev. W30] View PDF, 2.1mb
Country Risk in Global Financial Management, with Claude B. Erb and Tadas E. Viskanta, AIMR, 1997. (C13) [prev. W33] View PDF, 7.7mb
"Capital Flows and the Behavior of Emerging Market Equity Returns," with Geert Bekaert, in Sebastian Edwards, Capital Inflows to Emerging Markets NBER and University of Chicago Press, 1999, forthcoming. (C14) [prev. W37] View PDF Also published as NBER working paper 6669.
"Forecasting emerging market returns using neutral networks," in Institutional Investor's, Financial Technology, Institutional Investor, 1999, forthcoming. (C15) View PDF, 1.1mb
"The variation of economic risk premiums," with Wayne E. Ferson, in Robert Korajczyk, Ed., Asset pricing and portfolio performance: Models, strategy and performance metrics, 1999, London: Risk Books. (C16) View PDF, 3.8mb
"The Asian Bet," with Andrew Roper, in Alison Harwood, Robert E. Litan and Michael Pomerleano, Eds., The Crisis in Emerging Financial Markets, Brookings Institution Press, 1999, pp. 29-115. (C17)[prev. W43]. View PDF (not ready). View PDF of last working paper version, 0.8mb
"Glossary of Equity Related Terms," in Reuters Financial Training Series, An Introduction to Equity Markets, John Willey and Sons, Singapore, 1999. (C18) View PDF.

Reviews

"The Econometrics of Financial Markets," Journal of Finance (1998) 53, 803-806.

Published Discussions

Commentary on "A Test of International CAPM Using Business Cycle Indicators as Instrumental Variables," in Internationalization of Equity Markets, (Chicago: University of Chicago Press, 1994, pp. 50--54). (PD1) View PDF, 0.4mb
Commentary on "Emerging Stock Markets and International Asset Pricing," in Stijn Claessens and Shan Gooptu, Eds., Portfolio Investment in Developing Counties, (Washington: The World Bank of Discussion Series, 1994, pp. 183-184). (PD2) View PDF, 0.4mb
Commentary on "Testing the Unbiasedness in Foreign Exchange Markets: The Effects of Price Limits,"Review of Futures Markets 7 (1988): 167-172. (PD3) View PDF, 0.7mb

Policy

"Managing the Maturity Structure of Treasury Debt &The Role of Floating-Rate Treasury Bonds," Presentation to the Hearings on President Clinton's Plan for Public Investment and Deficit Reduction Committee on Ways and Means of the United States House of Representatives, 103rd Congress, First Session, (1993): 103-127, pp. 1644-1649. View PDF, 0.8mb

Executive Education Materials

Value and Risk Management Through Derivatives (PM1) View PDF, 5.0mb
Lessons in Risk Management (PM2) View PDF, 1.0mb
Option Valuation in Corporate Fiance (PM3) View PDF, 7.6mb
Value Creation (PM4)

Long-term value
International perspective
Value added metrics
Discounted cash flow metrics
Value management
Risk Magagement and value
Financial engineering
View PDF, 5.8mb

Active Investment in Developed and Emerging Markets (PM5)

Why invest internationally?
Foreign exchange risk
Predictability
Emerging markets
Managing in bull and bear markets
Managing in low and high volatility markets
Portfolio strategy and the business cycle
Inflation and world equity returns
Do world markets still serve as a hedge?
What about Mexico?
View PDF, 4.8mb

Time-varing International Correlations: Implications for Global Diversification (PM6) View PDF, 1.8mb
Predictable Returns in Developed and Emerging Markets (PM7) View PDF, 1.1mb
Return Prediction for Dynamic Trading Strategies (PM8) View PDF, 1.2mb
Mathematics for Finance (PM9) View PDF, 1.2mb
Emerging Markets: Opportunities and Risks (PM10) View PDF, 0.7mb
An Introduction to Conditional Asset Allocation (PM11) View PDF, 1.8mb
The Implications of Predictable Returns in Asset Markets (PM12) View PDF, 2.0mb
Global Financial Management and Country Risk (PM13) View PDF, 3.8mb
Stock Market Predictability and Active Asset Allocation in Emerging and Mature Markets (PM14) View PDF, 5.0mb
Towards a Truly Global Portfolio Strategy: New Directions in Dynamically Forecasting and Comparing the Risk and Returns of Worldwide Stocks (PM15) View PDF, 0.5mb
Outperforming in Emerging Markets: Using Quantitative Methods (PM16) View PDF, 2.2mb
Active Asset Allocation: Does it Work? (PM17) View PDF, 2.1mb
What Matters for Emerging Markets Investments (PM18) View PDF, 4.3mb
I. Recent Advances in Cost of Capital Measurement; II. Global Financial Management and Shareholder Value (PM19) View PDF, 2.6mb
An Introduction to Dynamic Global Financial Management (PM20) View PDF, 1.1mb
Emerging Markets: Unsolved Puzzles (PM21) View PDF, 0.9mb
Emerging Market Debt: A Global Perspective (PM22) View PDF, 2.0mb
Cross-Sectional Prediction in Dynamic Trading Strategies(PM23) View PDF, 0.8mb
Stock Selection in Emerging Markets (PM24) View PDF, 1.5mb
Conditioning Variables and the Cross-Section of Stock Returns (PM25) View PDF, 0.7mb
The International Cost of Capital (PM26) View PDF, 0.9mb
Global Risk Analysis and Valuation (PM27) View PDF, 2.7mb
Perspectives on Corporate Yield Spreads: Variation through Time and Predictability (PM28) View PDF, 0.4mb
The Theory and Practice of Corporate Finance: Evidence from the Field; Harvard Conference Presentation, July 8, 1999 (PM29) View PDF, 0.1mb

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