Robert Hodrick
- Nomura Professor Emeritus of International Finance
- Finance Division
- 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
- Type
-
Journal Article
.
“The Carry Trade: Risks and Drawdowns.”
Critical Finance Review
vol.
6
,
(January 01, 2017):
211
-262
.
- Type
-
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
.
- Type
-
Journal Article
.
“Aggregate Idiosyncratic Volatility.”
Journal of Financial and Quantitative Analysis
vol.
47
,
(December 01, 2012):
1155
-1185
.
- Type
-
Journal Article
.
“Aggregate Idiosyncratic Volatility.”
Journal of Financial and Quantitative Analysis
vol.
47
,
(January 01, 2012):
1155
-1185
.
- Type
-
Journal Article
.
“International Stock Return Comovements.”
Journal of Finance
vol.
64
,
(December 01, 2009):
2591
-2626
.
- Type
-
Journal Article
.
“High idiosyncratic volatility and low returns: International and further U.S. evidence.”
Journal of Financial Economics
vol.
91
,
(January 01, 2009):
1
-23
.
- Type
-
Journal Article
.
“The Cross Section of Volatility and Expected Returns.”
Journal of Finance
vol.
61
,
(February 01, 2006):
259
-99
.
- Type
-
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
.
- Type
-
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
.
- Type
-
Journal Article
.
“'Peso Problem' Explanations for Term Structure Anomalies.”
Journal of Monetary Economics
vol.
48
,
(December 13, 2001):
241
-70
.
- Type
-
Journal Article
.
“Expectations Hypotheses Tests.”
Journal of Finance
vol.
56
,
(October 13, 2001):
1357
-94
.
- Type
-
Journal Article
.
“An International Dynamic Asset Pricing Model.”
International Tax and Public Finance
vol.
6
,
(June 01, 1999):
597
-620
.
- Type
-
Journal Article
.
“On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates.”
Journal of Financial Economics
vol.
44
,
(August 13, 1997):
309
-48
.
- Type
-
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
.
- Type
-
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
.
- Type
-
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
.
- Type
-
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
.
- Type
-
Journal Article
.
“Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.”
Journal of Finance
vol.
47
,
(June 01, 1992):
467
-509
.
- Type
-
Journal Article
.
“Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement.”
Review of Financial Studies
vol.
5
,
(January 01, 1992):
357
-86
.
- Type
-
Journal Article
.
“The Variability of Velocity in Cash-in-Advance Models.”
Journal of Political Economy
vol.
99
,
(January 01, 1991):
358
-84
.
- Type
-
Journal Article
.
“Risk, Uncertainty, and Exchange Rates.”
Journal of Monetary Economics
vol.
23
,
(May 01, 1989):
433
-59
.
- Type
-
Journal Article
Flood, Robert and Robert Hodrick
.
“Asset Price Volatility, Bubbles, and Process Switching.”
Journal of Finance
vol.
41
,
(September 01, 1986):
831
-42
.
- Type
-
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
.
- Type
-
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
.
- Type
-
Working Paper
.
An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data. February 01, 2020.
- Type
-
Working Paper
.
Variance Risk in Global Markets. August 25, 2019.
- Type
-
Working Paper
.
The International Commonality of Idiosyncratic Variances. December 29, 2018.
- Type
-
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.
- Type
-
Working Paper
Hedegaard, Esben and Robert Hodrick
.
Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances. January 01, 2014.
- Type
-
Working Paper
Hodrick, Robert and Xiaoyan Zhang
.
International Diversification Revisited. January 01, 2014.
- Type
-
Working Paper
.
Pricing the Global Industry Portfolios. January 01, 2003.
- Type
-
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.
- Type
-
Book
.
International Financial Management.
New York
:
Cambridge University Press
,
2017.
- Type
-
Book
.
International Financial Management.
New Jersey
:
Prentice Hall
,
2012.
- Type
-
Book
.
International Financial Management.
New Jersey
:
Prentice Hall
,
2008.
- Type
-
Book
.
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.
- Type
-
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.
This faculty member has no associated courses currently. Please check back next semester.