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  1. Directory
  2. Faculty
  3. Robert Hodrick

Robert Hodrick

Nomura Professor Emeritus of International Finance
Finance Division
Columbia Business School
Contact
Office: 414 Uris
Phone: (212) 8543413
E-mail: [email protected]

Professor Hodrick teaches both fundamental and advanced courses in international finance. His expertise is in the valuation of financial assets. His current research explores the empirical implications of theoretical pricing models that generate time-varying risk premiums in the markets for bonds, equities and foreign currencies. He is also a research associate of the National Bureau of Economic Research.

Education
AB, Princeton, 1972; PhD, University of Chicago, 1976.
Joined CBS
1996

All Activities

  • Research
  • Teaching
  • Awards and Honors
  • Press
  • CaseWorks
  • Journal articles
  • Working papers
  • Articles
  • Books
  • Chapters
Journal Article
Hodrick, Robert and Tuomas Tomunen
. “Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.”
Critical Finance Review
vol.
10
, no.
1
(April 01, 2021):
83
-
123
.
Explore Further about Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
Journal Article
Daniel, Kent, Robert Hodrick , and Zhongjin Lu
. “The Carry Trade: Risks and Drawdowns.”
Critical Finance Review
vol.
6
, (January 01, 2017):
211
-
262
.
Explore Further about The Carry Trade: Risks and Drawdowns
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Journal Article
Hedegaard, Esben and Robert Hodrick
. “Estimating the Risk-Return Trade-off with Overlapping Data Inference.”
Journal of Banking and Finance
vol.
67
, (June 01, 2016):
135
-
145
.
Explore Further about Estimating the Risk-Return Trade-off with Overlapping Data Inference
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Journal Article
Bekaert, Geert, Robert Hodrick , and Xiaoyan Zhang
. “Aggregate Idiosyncratic Volatility.”
Journal of Financial and Quantitative Analysis
vol.
47
, (December 01, 2012):
1155
-
1185
.
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Journal Article
Bekaert, Geert, Robert Hodrick , and Xiaoyan Zhang
. “International Stock Return Comovements.”
Journal of Finance
vol.
64
, (December 01, 2009):
2591
-
2626
.
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Download PDF on International Stock Return Comovements
Journal Article
Hodrick, Robert, Yuhang Xing, and Xiaoyan Zhang
. “High idiosyncratic volatility and low returns: International and further U.S. evidence.”
Journal of Financial Economics
vol.
91
, (January 01, 2009):
1
-
23
.
Explore Further about High idiosyncratic volatility and low returns: International and further U.S. evidence
Download PDF on High idiosyncratic volatility and low returns: International and further U.S. evidence
Journal Article
Hodrick, Robert, Yuhang Xing, and Xiaoyan Zhang
. “The Cross Section of Volatility and Expected Returns.”
Journal of Finance
vol.
61
, (February 01, 2006):
259
-
99
.
Explore Further about The Cross Section of Volatility and Expected Returns
Download PDF on The Cross Section of Volatility and Expected Returns
Journal Article
Hodrick, Robert and Maria Vassalou
. “Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics?”
Journal of Economic Dynamics and Control
vol.
26
, (July 01, 2002):
1275
-
99
.
Explore Further about Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics?
Download PDF on Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics?
Journal Article
Hodrick, Robert and Xiaoyan Zhang
. “Evaluating the Specification Errors of Asset Pricing Models.”
Journal of Financial Economics
vol.
62
, (January 13, 2002):
327
-
76
.
Explore Further about Evaluating the Specification Errors of Asset Pricing Models
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Journal Article
Bekaert, Geert, Robert Hodrick , and David Marshall
. “'Peso Problem' Explanations for Term Structure Anomalies.”
Journal of Monetary Economics
vol.
48
, (December 13, 2001):
241
-
70
.
Explore Further about 'Peso Problem' Explanations for Term Structure Anomalies
Download PDF on 'Peso Problem' Explanations for Term Structure Anomalies
Journal Article
Bekaert, Geert and Robert Hodrick
. “Expectations Hypotheses Tests.”
Journal of Finance
vol.
56
, (October 13, 2001):
1357
-
94
.
Explore Further about Expectations Hypotheses Tests
Download PDF on Expectations Hypotheses Tests
Journal Article
Hodrick, Robert, David Ng, and Paul Sengmueller
. “An International Dynamic Asset Pricing Model.”
International Tax and Public Finance
vol.
6
, (June 01, 1999):
597
-
620
.
Explore Further about An International Dynamic Asset Pricing Model
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Journal Article
Bekaert, Geert, Robert Hodrick , and David Marshall
. “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
.
Explore Further about On Biases in Tests of the Expectation Hypothesis of the Term Structure of Interest Rates
Download PDF on On Biases in Tests of the Expectation Hypothesis of the Term Structure of Interest Rates
Journal Article
Hodrick, Robert and Edward Prescott
. “Postwar U.S. Business Cycles: An Empirical Investigation.”
Journal of Money, Credit, and Banking
vol.
29
, (February 01, 1997):
1
-
16
.
Explore Further about Postwar U.S. Business Cycles: An Empirical Investigation
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Journal Article
Bekaert, Geert, Robert Hodrick , and David Marshall
. “The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.”
Journal of Monetary Economics
vol.
40
, (January 01, 1997):
3
-
39
.
Explore Further about The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
Download PDF on The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
Journal Article
Bekaert, Geert and Robert Hodrick
. “On Biases in the Measurement of Foreign Exchange Risk Premiums.”
Journal of International Money and Finance
vol.
12
, (January 01, 1993):
115
-
38
.
Explore Further about On Biases in the Measurement of Foreign Exchange Risk Premiums
Download PDF on On Biases in the Measurement of Foreign Exchange Risk Premiums
Journal Article
Bekaert, Geert and Robert Hodrick
. “Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.”
Journal of Finance
vol.
47
, (June 01, 1992):
467
-
509
.
Explore Further about Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Download PDF on Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Journal Article
Hodrick, Robert
. “Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement.”
The Review of Financial Studies
vol.
5
, no.
3
(January 01, 1992):
357
-
386
.
Explore Further about Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Download PDF on Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Journal Article
Hodrick, Robert
. “Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement.”
Review of Financial Studies
vol.
5
, (January 01, 1992):
357
-
86
.
Explore Further about Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Download PDF on Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Journal Article
Hodrick, Robert, Narayana Kocherlakota, and Deborah Lucas
. “The Variability of Velocity in Cash-in-Advance Models.”
Journal of Political Economy
vol.
99
, (January 01, 1991):
358
-
84
.
Explore Further about The Variability of Velocity in Cash-in-Advance Models
Download PDF on The Variability of Velocity in Cash-in-Advance Models
Journal Article
Hodrick, Robert
. “Risk, Uncertainty, and Exchange Rates.”
Journal of Monetary Economics
vol.
23
, (May 01, 1989):
433
-
59
.
Explore Further about Risk, Uncertainty, and Exchange Rates
Download PDF on Risk, Uncertainty, and Exchange Rates
Journal Article
Flood, Robert and Robert Hodrick
. “Asset Price Volatility, Bubbles, and Process Switching.”
Journal of Finance
vol.
41
, (September 01, 1986):
831
-
42
.
Explore Further about Asset Price Volatility, Bubbles, and Process Switching
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Journal Article
Flood, Robert and Robert Hodrick
. “Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle.”
Quarterly Journal of Economics
vol.
100
, (January 01, 1985):
887
-
914
.
Explore Further about Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
Download PDF on Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
Journal Article
Hansen, Lars and Robert Hodrick
. “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis.”
Journal of Political Economy
vol.
88
, (October 01, 1980):
829
-
53
.
Explore Further about Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
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Working Paper
Hodrick, Robert
. An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data. February 01, 2020.
Explore Further about An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
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Working Paper
Bekaert, Geert, Robert Hodrick , and Andrea Kiguel
. Variance Risk in Global Markets. August 25, 2019.
Explore Further about Variance Risk in Global Markets
Download PDF on Variance Risk in Global Markets
Working Paper
Bekaert, Geert, Robert Hodrick , Xue Wang, and Xiaoyan Zhang
. The International Commonality of Idiosyncratic Variances. December 29, 2018.
Explore Further about The International Commonality of Idiosyncratic Variances
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Working Paper
Hodrick, Robert and Tuomas Tomunen
. Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications. September 01, 2018.
Explore Further about Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
Download PDF on Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
Working Paper
Hedegaard, Esben and Robert Hodrick
. Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances. January 01, 2014.
Explore Further about Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
Download PDF on Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
Working Paper
Hodrick, Robert and Xiaoyan Zhang
. International Diversification Revisited. January 01, 2014.
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Working Paper
Cavaglia, Stefano, Robert Hodrick , Vadim Moroz, and Xiaoyan Zhang
. Pricing the Global Industry Portfolios. January 01, 2003.
Explore Further about Pricing the Global Industry Portfolios
Newspaper/Magazine Article
Hodrick, Robert and Tuomas Tomunen
. “Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.”
Critical Finance Review
. Forthcoming.
Explore Further about Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
Download PDF on Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
Book
Bekaert, Geert and Robert Hodrick
. International Financial Management. 
New York
:
Cambridge University Press
, 2017.
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Book
Bekaert, Geert and Robert Hodrick
. International Financial Management. 
New Jersey
:
Prentice Hall
, 2012.
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Book
Bekaert, Geert and Robert Hodrick
. International Financial Management. 
New Jersey
:
Prentice Hall
, 2008.
Explore Further about International Financial Management
Book
Hodrick, Robert
. The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Vol. 24, Fundamentals of Pure and Applied Economics. 
Chur, Switzerland
:
Harwood Academic Publishers
, 1987.
Explore Further about The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Vol. 24, Fundamentals of Pure and Applied Economics
Chapter
Hansen, Lars and Robert Hodrick
. “Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models.” In
Exchange Rates and International Macroeconomics
,
113
-
152
.
University of Chicago
:
University of Chicago Press
, 1983.
Explore Further about Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
Download PDF on Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
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