Geert Bekaert
- Professor of Business
- Finance Division
- Areas of Expertise
- Asset Management, Globalization
- Contact
- Office: 1123 Kravis
- Phone: (212) 8549156
- E-mail: [email protected]
Professor Bekaert teaches courses on international finance, empirical asset pricing and investments. His research focus is international finance, with a particular interest in foreign exchange market efficiency, exchange rate determination and international and emerging equity markets. He is also interested in portfolio management. He is an associate editor of the Journal of Financial and Quantitative Analysis, the Journal of Finance, the Emerging Markets Review and the Pacific Basin Finance Journal and is coeditor of the Journal of Empirical Finance. Bekaert is also a research associate at the National Bureau of Economic Research.
- Education
-
Ph.D., Economics, Northwestern University, Evanston, Illinois
- Joined CBS
- 1999
All Activities
Journal Article
.
“The Variance Risk Premium in Equilibrium Models.”
accepted by the Review of Finance
(Forthcoming).
Journal Article
Bekaert, Geert and Andrey Ermolov
.
“International Yield Co-movements.”
accepted by the Journal of Financial and Quantitative Analysis
(Forthcoming).
Journal Article
Aloosh, Arash and
Geert Bekaert
.
“Currency Factors.”
Management Science
vol.
68
,
no.
6
(June 01, 2022):
4042
-4064
.
Journal Article
.
“Macro Risks and the Term Structure of Interest Rates.”
Journal of Financial Economics
vol.
141
,
no.
2
(August 01, 2021):
479
-504
.
Journal Article
.
“The Time Variation in Risk Appetite and Uncertainty.”
(June 01, 2021).
Journal Article
Bekaert, Geert and Roberto De Santis
.
“Risk and Return in International Corporate Bond Markets.”
Journal of International Financial Markets, Institutions and Money
vol.
72
,
(May 01, 2021):
1
-32
.
Journal Article
.
“Aggregate Demand and Aggregate Supply Effects of Covid-19: A Real-time Analysis.”
Covid Economics
vol.
25
,
(June 03, 2020):
141
-168
.
Journal Article
Bekaert, Geert and George Panayotov
.
“Good Carry, Bad Carry.”
Journal of Financial and Quantitative Analysis
vol.
5
,
(June 01, 2020):
1063
-1094
.
Journal Article
.
“Flights to Safety.”
The Review of Financial Studies
vol.
33
,
no.
2
(February 01, 2020):
689
-746
.
Journal Article
Bekaert, Geert and Alexander Popov
.
“On the Link between the Volatility and Skewness of Growth.”
IMF Economic Review
vol.
67
,
no.
4
(December 01, 2019):
746
-790
.
Journal Article
Bekaert, Geert and Arnaud Mehl
.
“On the Global Financial Market Integration 'Swoosh' and the Trilemma.”
Journal of International Money and Finance
vol.
94
,
(June 01, 2019):
227
-245
.
Journal Article
Bekaert, Geert and Eric Engstrom
.
“Asset Return Dynamics Under Habits and Bad-Environment Good-Environment Fundamentals.”
The Journal of Political Economy
vol.
125
,
no.
3
(June 01, 2017):
713
-760
.
Journal Article
.
“Economic and Financial Integration in Europe.”
DICE Report
vol.
15
,
no.
1
(April 07, 2017):
36
-42
.
Journal Article
.
“Who Is Internationally Diversified? Evidence from 296 401(k) Plans.”
Journal of Financial Economics
vol.
124
,
(April 01, 2017):
86
-112
.
Journal Article
.
“Globalization and Asset Returns.”
Annual Review of Financial Economics
vol.
8
,
no.
1
(October 23, 2016):
221
-288
.
Journal Article
Bekaert, Geert and Marie Hoerova
.
“What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?”
Journal of Banking and Finance
vol.
67
,
(June 01, 2016):
103
-118
.
Journal Article
.
“Political Risk and International Valuation.”
Journal of Corporate Finance
vol.
37
,
(April 01, 2016):
1
-23
.
Journal Article
.
“Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model.”
Journal of Econometrics
vol.
186
,
(May 01, 2015):
258
-275
.
Journal Article
.
“Macroeconomic Regimes.”
Journal of Monetary Economics
vol.
70
,
(March 01, 2015):
51
-71
.
Journal Article
Bekaert, Geert and Marie Hoerova
.
“The VIX, the Variance Premium and Stock Market Volatility.”
Journal of Econometrics
vol.
183
,
(December 01, 2014):
181
-192
.
Journal Article
.
“Political Risk Spreads.”
Journal of International Business Studies
vol.
45
,
(January 01, 2014):
471
-493
.
Journal Article
.
“Risk, Uncertainty and Monetary Policy.”
Journal of Monetary Economics
vol.
60
,
no.
7
(October 01, 2013):
771
-788
.
Journal Article
.
“The European Union, the Euro and Equity Market Integration.”
Working paper
vol.
109
,
(January 01, 2013):
583
-603
.
Journal Article
.
“Global Crises and Equity Market Contagion.”
Journal of Finance
vol.
69
,
(December 01, 2012):
2597
-2649
.
Journal Article
.
“Aggregate Idiosyncratic Volatility.”
Journal of Financial and Quantitative Analysis
vol.
47
,
(December 01, 2012):
1155
-1185
.
Journal Article
.
“What Segments Equity Markets?”
Review of Financial Studies
vol.
24
,
(January 01, 2011):
3847
-3890
.
Journal Article
.
“Financial Openness and Productivity.”
World Development
vol.
39
,
(January 01, 2011):
1
-19
.
Journal Article
.
“Stock and Bond Returns with Moody Investors.”
Journal of Empirical Finance
vol.
17
,
(December 01, 2010):
867
-894
.
Journal Article
Bekaert, Geert and Xiaozheng Wang
.
“Inflation and the Inflation Risk Premium.”
Economic Policy
vol.
25
,
(October 01, 2010):
757
-806
.
Journal Article
.
“New Keynesian Macroeconomics and the Term Structure.”
Journal of Money, Credit and Banking
vol.
42
,
(February 01, 2010):
33
-62
.
Journal Article
Bekaert, Geert and Eric Engstrom
.
“Inflation and the Stock Market: Understanding the 'Fed Model'.”
Journal of Monetary Economics
vol.
57
,
(January 01, 2010):
278
-294
.
Journal Article
.
“The Determinants of Stock and Bond Return Comovements.”
Review of Financial Studies
vol.
23
,
(January 01, 2010):
2374
-2428
.
Journal Article
.
“International Stock Return Comovements.”
Journal of Finance
vol.
64
,
(December 01, 2009):
2591
-2626
.
Journal Article
.
“Risk, Uncertainty, and Asset Prices.”
Journal of Financial Economics
vol.
91
,
(January 01, 2009):
59
-82
.
Journal Article
.
“The Term Structure of Real Rates and Expected Inflation.”
Journal of Finance
vol.
63
,
no.
2
(April 01, 2008):
797
-849
.
Journal Article
.
“Global Growth Opportunities and Market Integration.”
Journal of Finance
vol.
62
,
no.
3
(June 01, 2007):
1081
-1137
.
Journal Article
Bekaert, Geert and Min Wei
.
“Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?”
Journal of Monetary Economics
vol.
54
,
(May 01, 2007):
1163
-1212
.
Journal Article
.
“Stock Return Predictability: Is It There?”
Review of Financial Studies
vol.
20
,
(January 01, 2007):
651
-707
.
Journal Article
.
“Liquidity and Expected Returns: Lessons from Emerging Markets.”
Review of Financial Studies
vol.
20
,
(January 01, 2007):
1783
-1831
.
Journal Article
.
“Uncovered Interest Rate Parity and the Term Structure.”
Journal of International Money and Finance
vol.
26
,
(January 01, 2007):
1038
-1069
.
Journal Article
.
“Growth Volatility and Financial Liberalization.”
Journal of International Money and Finance
vol.
25
,
(April 01, 2006):
370
-403
.
Journal Article
.
“Does Financial Liberalization Spur Growth?”
Journal of Financial Economics
vol.
77
,
(July 01, 2005):
3
-55
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Time-Varying World Integration.”
Journal of Finance
vol.
50
,
(June 01, 2005):
403
-44
.
Journal Article
Bekaert, Geert and Jun Liu
.
“Why Stocks May Disappoint.”
Journal of Financial Economics
vol.
76
,
(June 01, 2005):
471
-508
.
Journal Article
.
“Market Integration and Contagion.”
Journal of Business
vol.
78
,
(January 01, 2005):
39
-69
.
Journal Article
.
“How Do Regimes Affect Asset Allocation?”
Financial Analysts Journal
vol.
60
,
(January 01, 2004):
86
-99
.
Journal Article
Bekaert, Geert and Jun Liu
.
“Conditioning Information and Variance Bounds on Pricing Kernels.”
Review of Financial Studies
vol.
17
,
(January 01, 2004):
339
-78
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Emerging Markets Finance.”
Journal of Empirical Finance
vol.
10
,
(January 01, 2003):
3
-56
.
Journal Article
Ang, Andrew and
Geert Bekaert
.
“Short Rate Nonlinearities and Regime Switches.”
Journal of Economic Dynamics and Control
vol.
26
,
no.
7-8
(July 01, 2002):
1243
-1274
.
Journal Article
Ang, Andrew and
Geert Bekaert
.
“Regime Switches In Interest Rates.”
Journal of Business and Economic Statistics
vol.
20
,
no.
2
(April 01, 2002):
163
-182
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Research in Emerging Markets Finance: Looking to the Future.”
Emerging Markets Review
vol.
3
,
(January 01, 2002):
429
-48
.
Journal Article
.
“The Dynamics of Emerging Market Equity Flows.”
Journal of International Money and Finance
vol.
21
,
(January 01, 2002):
295
-350
.
Journal Article
.
“Dating the Integration of World Equity Markets.”
Journal of Financial Economics
vol.
65
,
(January 01, 2002):
203
-47
.
Journal Article
.
“International Asset Allocation with Regime Shifts.”
Review of Financial Studies
vol.
15
,
(January 01, 2002):
1137
-87
.
Journal Article
.
“'Peso Problem' Explanations for Term Structure Anomalies.”
Journal of Monetary Economics
vol.
48
,
(December 13, 2001):
241
-70
.
Journal Article
.
“Emerging Equity Markets and Economic Development.”
ournal of Development Economics
vol.
66
,
no.
2
(December 01, 2001):
465
-504
.
Journal Article
.
“Expectations Hypotheses Tests.”
Journal of Finance
vol.
56
,
(October 13, 2001):
1357
-94
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Foreign Speculators and Emerging Equity Markets .”
The Journal of Finance
vol.
55
,
no.
2
(April 01, 2000):
565
-613
.
Journal Article
Bekaert, Geert and Guojun Wu
.
“Asymmetric Volatility and Risk in Equity Markets.”
The Review of Financial Studies
vol.
13
,
no.
1
(April 01, 2000):
1
-42
.
Journal Article
Bekaert, Geert and Michael Urias
.
“Is There a Free Lunch in Emerging Market Equities?”
Journal of Portfolio Management
vol.
25
,
no.
3
(April 30, 1999):
83
-95
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Capital Markets: An Engine for Economic Growth.”
The Brown Journal of World Affairs
vol.
5
,
no.
1
(January 01, 1998):
33
-53
.
Journal Article
.
“On Biases in Tests of the Expectation Hypothesis of the Term Structure of Interest Rates.”
Journal of Financial Economics
vol.
44
,
(June 01, 1997):
309
-48
.
Journal Article
.
“The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.”
Journal of Monetary Economics
vol.
40
,
(January 01, 1997):
3
-39
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Emerging Equity Market Volatility.”
Journal of Financial Economics
vol.
43
,
no.
1
(January 01, 1997):
29
-77
.
Journal Article
.
“The Time-Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective.”
The Review of Financial Studies
vol.
9
,
no.
2
(July 01, 1996):
427
-470
.
Journal Article
Bekaert, Geert and Michael Urias
.
“Diversification, Integration and Emerging Market Closed-End Funds.”
The Journal of Finance
vol.
51
,
no.
3
(July 01, 1996):
835
-896
.
Journal Article
.
“The Time-variation of Expected Returns and Volatility in Foreign Exchange Markets.”
Journal of Business & Economic Statistics
vol.
13
,
no.
4
(October 01, 1995):
397
-408
.
Journal Article
Bekaert, Geert and Campbell Harvey
.
“Time-Varying World Market Integration.”
Journal of Finance
vol.
50
,
(June 01, 1995):
403
-44
.
Journal Article
.
“Market Integration and Investment Barriers in Emerging Equity Markets.”
The World Bank Economic Review
vol.
9
,
no.
1
(January 01, 1995):
75
-107
.
Journal Article
.
“Exchange Rate Volatility and Deviations from Unbiasedness in a Cash-in-Advance Model.”
Journal of International Economics
vol.
36
,
no.
1-2
(February 01, 1994):
29
-52
.
Journal Article
.
“On Biases in the Measurement of Foreign Exchange Risk Premiums.”
Journal of International Money and Finance
vol.
12
,
(January 01, 1993):
115
-38
.
Journal Article
.
“Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.”
Journal of Finance
vol.
47
,
(June 01, 1992):
467
-509
.
Journal Article
.
“Caloric Consumption in Industrializing Belgium.”
The Journal of Economic History
vol.
51
,
no.
3
(September 01, 1991):
633
-655
.
Journal Article
.
“Distributional Characteristics of Emerging Market Returns and Asset Allocation.”
Journal of Portfolio Management
vol.
24
,
no.
2
(December 01, 1988):
102
-116
.
Journal Article
Bekaert, Geert and Stephen Gray
.
“Target Zones and Exchange Rates: An Empirical Investigation.”
Journal of International Economics
vol.
45
,
no.
1
(June 01, 1988):
1
-35
.
Journal Article
.
“What Matters for Emerging Equity Market Investments?”
Emerging Markets Quarterly
(June 01, 0997):
17
-46
.
Working Paper
.
Risk, Monetary Policy and Asset Prices in a Global World. July 29, 2023.
Working Paper
.
Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's. May 23, 2023.
Working Paper
Bekaert, Geert and Campbell Harvey
.
Emerging Equity Markets in a Globalizing World. March 21, 2023.
Working Paper
.
Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments. October 02, 2022.
Working Paper
.
Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks. January 12, 2021.
Working Paper
.
The China-U.S. Equity Valuation Gap. January 05, 2021.
Working Paper
.
Risk, Monetary Policy and Asset Prices in a Global World. May 18, 2020.
Working Paper
.
The Variance Risk Premium in Equilibrium Models. May 04, 2020.
Working Paper
.
Variance Risk in Global Markets. August 25, 2019.
Working Paper
Bekaert, Geert and Johannes Breckenfelder
.
The (Re)allocation of Bank Risk. August 20, 2019.
Working Paper
.
The International Commonality of Idiosyncratic Variances. December 29, 2018.
Working Paper
.
Political Risk and International Valuation. September 01, 2015.
Working Paper
.
An Anatomy of Central and Eastern European Equity Markets. July 01, 2015.
Working Paper
.
Risk, Uncertainty and Monetary Policy. January 01, 2013.
Working Paper
Bekaert, Geert and Xiaozheng Wang
.
Inflation Risk and the Inflation Risk Premium. April 01, 2010.
Working Paper
.
Stock and Bond Returns with Moody Investors. March 01, 2010.
Working Paper
Bekaert, Geert and Xiaozheng Wang
.
Globalization and Asset Prices. November 10, 2009.
Working Paper
Bekaert, Geert and Eric Engstrom
.
Asset Return Dynamics under Bad Environment-Good Environment Fundamentals. July 01, 2009.
Working Paper
.
Financial Openness and Productivity. April 01, 2009.
Working Paper
Bekaert, Geert and Xiaozheng Wang
.
Home Bias Revisited. January 01, 2009.
Working Paper
.
The Term Structure of Real Rates and Expected Inflation. January 01, 2006.
Working Paper
.
Global Growth Opportunities and Market Integration. January 01, 2004.
Working Paper
.
Growth Volatility and Financial Liberalization. January 01, 2004.
Working Paper
Bekaert, Geert and Steven Grenadier
.
Stock and Bond Pricing in an Affine Economy. January 01, 2001.
Book
.
International Financial Management.
New York
:
Cambridge University Press
,
2017.
Book
.
International Financial Management.
New Jersey
:
Prentice Hall
,
2012.
Book
.
International Financial Management.
New Jersey
:
Prentice Hall
,
2008.
Chapter
Bekaert, Geert and Campbell Harvey
.
“Capital Flows and the Behavior of Emerging Equity Market Returns.”
In Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies
,
edited by Sebastian Edwards
,
159
-194
.
Chicago
:
University of Chicago Press
,
2000.
Course
B7323: Asset Management
Course
B8323: Asset Management
Course
B9325: (PhD) Financial Econometrics: Time series
Course
B9305: (PhD) Finance Pre-Thesis Seminar
Case Study
Article
Study Proposes New Measure of World Equity Market Segmentation
- Case ID
- 100313
Valuing Currency Management: TOM vs. U.S. Commerce Bank
When the inventor of an investment model sues a U.S. bank for breaking a joint-venture agreement, what should the court decide, based on expert financial analysis from both parties?