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Robert James Hodrick

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Personal Details

First Name: Robert
Middle Name: James
Last Name: Hodrick
Suffix:

RePEc Short-ID: pho115

Email:
Homepage: http://www.columbia.edu/~rh169
Postal Address:
Phone:

Affiliation

Finance & Economics Department
Graduate School of Business
Columbia University
Location: New York City, New York (United States)
Homepage: http://www2.gsb.columbia.edu/divisions/finance/
Email:
Phone: 212/854-805
Fax:
Postal: 7W Uris Hall, New York, NY 10027
Handle: RePEc:edi:feclbus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Robert J. Hodrick in Wikipedia (English)

Works

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Working papers

  1. Esben Hedegaard & Robert J. Hodrick, 2014. "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers 20245, National Bureau of Economic Research, Inc.
  2. Esben Hedegaard & Robert J. Hodrick, 2014. "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers 19969, National Bureau of Economic Research, Inc.
  3. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2010. "Aggregate Idiosyncratic Volatility," NBER Working Papers 16058, National Bureau of Economic Research, Inc.
  4. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
  5. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
  6. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
  7. Stefano Cavaglia & Robert J. Hodrick & Moroz Vadim & Xiaoyan Zhang, 2002. "Pricing the Global Industry Portfolios," NBER Working Papers 9344, National Bureau of Economic Research, Inc.
  8. Hodrick, Robert J & Vassalou, Maria, 2001. "Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?," CEPR Discussion Papers 3056, C.E.P.R. Discussion Papers.
  9. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
  10. Hodrick, R. & Vassalou, M., 2000. "Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?," Papers 00-01, Columbia - Graduate School of Business.
  11. Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
  12. Robert J. Hodrick & David Tat-Chee Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," NBER Working Papers 7157, National Bureau of Economic Research, Inc.
  13. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
  14. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates," NBER Technical Working Papers 0191, National Bureau of Economic Research, Inc.
  15. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The implications of first-order risk aversion for asset market risk premiums," Working Paper Series, Macroeconomic Issues 94-22, Federal Reserve Bank of Chicago.
  16. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  17. Geert Bekaert & Robert J. Hodrick, 1991. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc.
  18. Robert J. Hodrick, 1991. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement," NBER Technical Working Papers 0108, National Bureau of Economic Research, Inc.
  19. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  20. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  21. Robert J. Hodrick & Narayana Kocherlakota & Deborah Lucas, 1989. "The Variability of Velocity in Cash-In-Advance Models," NBER Working Papers 2891, National Bureau of Economic Research, Inc.
  22. Robert J. Hodrick, 1988. "U.S. International Capital Flows: Perspectives From Rational Maximizing Models," NBER Working Papers 2729, National Bureau of Economic Research, Inc.
  23. Robert J. Hodrick, 1987. "Risk, Uncertainty and Exchange Rates," NBER Working Papers 2429, National Bureau of Economic Research, Inc.
  24. Robert P. Flood & Robert J. Hodrick & Paul Kaplan, 1986. "An Evaluation of Recent Evidence on Stock Market Bubbles," NBER Working Papers 1971, National Bureau of Economic Research, Inc.
  25. Robert P. Flood & Robert J. Hodrick, 1986. "Money and the Open Economy Business Cycle: A Flexible Price Model," NBER Working Papers 1967, National Bureau of Economic Research, Inc.
  26. Robert P. Flood & Robert J. Hodrick, 1986. "Asset Price Volatility, Bubbles, and Process Switching," NBER Working Papers 1867, National Bureau of Economic Research, Inc.
  27. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc.
  28. Robert J. Hodrick & Sanjay Srivastava, 1985. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc.
  29. Robert P. Flood & Robert J. Hodrick, 1985. "Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates," NBER Working Papers 1603, National Bureau of Economic Research, Inc.
  30. Robert J. Hodrick & Sanjay Srivastava, 1983. "An Investigation of Risk and Return in Forward Foreign Exchange," NBER Working Papers 1180, National Bureau of Economic Research, Inc.
  31. Robert P. Flood & Robert J. Hodrick, 1983. "Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle," NBER Working Papers 1089, National Bureau of Economic Research, Inc.
  32. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

Articles

  1. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1155-1185, December.
  2. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
  3. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
  4. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, 02.
  5. Hodrick, Robert J., 2002. "Comment on:: Time varying liquidity in foreign exchange," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 1053-1055, July.
  6. Hodrick, Robert & Vassalou, Maria, 2002. "Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1275-1299, July.
  7. Hodrick, Robert J. & Zhang, Xiaoyan, 2001. "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
  8. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
  9. Robert Hodrick & David Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," International Tax and Public Finance, Springer, vol. 6(4), pages 597-620, November.
  10. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  11. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  12. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
  13. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
  14. Bekaert, Geert & Hodrick, Robert J, 1992. " Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
  15. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-86.
  16. Hodrick, Robert J & Kocherlakota, Narayana R & Lucas, Deborah, 1991. "The Variability of Velocity in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 358-84, April.
  17. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring.
  18. Hodrick, Robert J, 1990. "Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?," American Economic Review, American Economic Association, vol. 80(2), pages 186-91, May.
  19. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
  20. Hodrick, Robert J., 1989. "U.S. International capital flows: Perspectives from rational maximizing models," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 30(1), pages 231-288, January.
  21. Hodrick, Robert J. & Srivastava, Sanjay, 1987. "Foreign currency futures," Journal of International Economics, Elsevier, vol. 22(1-2), pages 1-24, February.
  22. Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, vol. 21(3-4), pages 215-232, November.
  23. Flood, Robert P & Hodrick, Robert J, 1986. " Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-42, September.
  24. Hodrick, Robert J. & Srivastava, Sanjay, 1986. "The covariation of risk premiums and expected future spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages S5-S21, March.
  25. Flood, Robert P & Hodrick, Robert J, 1985. "Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle," The Quarterly Journal of Economics, MIT Press, vol. 100(5), pages 887-914, Supp..
  26. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April.
  27. Flood, Robert P & Hodrick, Robert J, 1984. "Exchange Rate and Price Dynamics with Asymmetric Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 513-26, October.
  28. Buyer, Russell S. & Hodrick, Robert J., 1982. "The dynamic adjustment path for perfectly foreseen changes in monetary policy," Journal of Monetary Economics, Elsevier, vol. 9(2), pages 185-201.
  29. Russell S. Boyer & Robert J. Hodrick, 1982. "Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics," Canadian Journal of Economics, Canadian Economics Association, vol. 15(1), pages 143-64, February.
  30. Hodrick, Robert J., 1982. "On the effects of macroeconomic policy in a maximizing model of a small open economy," Journal of Macroeconomics, Elsevier, vol. 4(2), pages 195-213.
  31. Hodrick, Robert J., 1982. "Monetary accomodation and the variability of output, prices, and exchange rates : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 16(1), pages 87-92, January.
  32. Hodrick, Robert J., 1981. "International asset pricing with time-varying risk premia," Journal of International Economics, Elsevier, vol. 11(4), pages 573-587, November.
  33. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  34. Hodrick, Robert J., 1980. "Dynamic effects of government policies in an open economy," Journal of Monetary Economics, Elsevier, vol. 6(2), pages 213-239, April.
  35. Hodrick, Robert J., 1979. "On the monetary analysis of exchange rates : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 11(1), pages 103-121, January.

Chapters

  1. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2014-06-28
  2. NEP-CFN: Corporate Finance (1) 2002-11-18
  3. NEP-DGE: Dynamic General Equilibrium (1) 1999-07-28
  4. NEP-FIN: Finance (5) 1999-07-28 2000-05-16 2002-11-18 2004-11-22 2006-01-01. Author is listed
  5. NEP-FMK: Financial Markets (4) 2000-05-16 2002-11-18 2006-01-01 2014-03-22. Author is listed
  6. NEP-IFN: International Finance (3) 1998-08-21 1999-07-28 2000-05-16. Author is listed
  7. NEP-RMG: Risk Management (3) 2006-01-01 2006-12-09 2008-01-26. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
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  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Number of Abstract Views in RePEc Services over the past 12 months
  28. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Breadth of citations across fields
  30. Wu-Index
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