Matthew Richardson

28 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-3184-9301

Stern School of Business, NYU, NBER and AQR Capital Management (consultant), 44 West 4th St, New York, NY 10012, 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
• Measuring Systemic Risk — The Review of Financial Studies 2017
• The volatility of a firm's assets and the leverage effect — Journal of Financial Economics 2016
• New Evidence on the Forward Premium Puzzle — Journal of Financial and Quantitative Analysis 2016
• Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks — American Economic Review 2012
• The Myth of Long-Horizon Predictability — The Review of Financial Studies 2008
• Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market — Journal of Financial Economics 2007 (name-matched, not ORCID-linked)
• On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing — The Journal of Finance 2007
• Limited arbitrage and short sales restrictions: evidence from the options markets — Journal of Financial Economics 2004 (name-matched, not ORCID-linked)
• DotCom Mania: The Rise and Fall of Internet Stock Prices — The Journal of Finance 2003
• Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations — The Review of Financial Studies 2002
• Discussion — The Journal of Finance 2001
• Optimal Risk Management Using Options — The Journal of Finance 1999
• Ex Ante Bond Returns and the Liquidity Preference Hypothesis — The Journal of Finance 1999
• Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks — The Review of Financial Studies 1997 (name-matched, not ORCID-linked)
• 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
• Market efficiency around the clock some supporting evidence using foreign-based derivatives — Journal of Financial Economics 1995
• Industry Returns and the Fisher Effect — The Journal of Finance 1994
• A tale of three schools: insights on autocorrelations of short-horizon stock returns — The Review of Financial Studies 1994
• A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information — Journal of Financial and Quantitative Analysis 1994
• Is the ex ante risk premium always positive?: A new approach to testing conditional asset pricing models — Journal of Financial Economics 1993 (name-matched, not ORCID-linked)
• The monotonicity of the term premium — Journal of Financial Economics 1992 (name-matched, not ORCID-linked)
• Tests of Financial Models in the Presence of Overlapping Observations — The Review of Financial Studies 1991
• Using Generalized Method of Moments to Test Mean-Variance Efficiency — The Journal of Finance 1991
• Drawing inferences from statistics based on multiyear asset returns — Journal of Financial Economics 1989 (name-matched, not ORCID-linked)