Jacob Boudoukh

15 catalog papers. Name-matched publications do not establish a verified researcher identity.

Arison School of Business, Reichman University and AQR Capital Management (consultant), United States

Publications

• Biases in long-horizon predictive regressions — Journal of Financial Economics 2022
• Sovereign Credit Quality and Violations of the Law of One Price — Review of Finance 2021
• Information, Trading, and Volatility: Evidence from Firm-Specific News — The Review of Financial Studies 2019
• New Evidence on the Forward Premium Puzzle — Journal of Financial and Quantitative Analysis 2016
• The Myth of Long-Horizon Predictability — The Review of Financial Studies 2008
• On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing — The Journal of Finance 2007
• Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market — Journal of Financial Economics 2007
• Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations — The Review of Financial Studies 2002
• Ex Ante Bond Returns and the Liquidity Preference Hypothesis — The Journal of Finance 1999
• Optimal Risk Management Using Options — The Journal of Finance 1999
• Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach — The Review of Financial Studies 1997
• Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure — Management Science 1997
• Industry Returns and the Fisher Effect — The Journal of Finance 1994
• Is the ex ante risk premium always positive?: A new approach to testing conditional asset pricing models — Journal of Financial Economics 1993
• Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market — The Review of Financial Studies 1993