User profiles for Andrew Ang

Andrew Ang

BlackRock
Verified email at blackrock.com
Cited by 34836

The cross‐section of volatility and expected returns

A Ang, RJ Hodrick, Y Xing, X Zhang - The journal of finance, 2006 - Wiley Online Library
We examine the pricing of aggregate volatility risk in the cross‐section of stock returns.
Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate …

[BOOK][B] Asset management: A systematic approach to factor investing

A Ang - 2014 - books.google.com
In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang
presents a comprehensive, new approach to the age-old problem of where to put your money. …

Stock return predictability: Is it there?

A Ang, G Bekaert - The Review of Financial Studies, 2007 - academic.oup.com
We examine the predictive power of the dividend yields for forecasting excess returns, cash
flows, and interest rates. Dividend yields predict excess returns only at short horizons …

Using stocks or portfolios in tests of factor models

A Ang, J Liu, K Schwarz - Journal of Financial and Quantitative …, 2020 - cambridge.org
We examine the efficiency of using individual stocks or portfolios as base assets to test asset
pricing models using cross-sectional data. The literature has argued that creating portfolios …

International asset allocation with regime shifts

A Ang, G Bekaert - The review of financial studies, 2002 - academic.oup.com
Correlations between international equity market returns tend to increase in highly volatile
bear markets, which has led some to doubt the benefits of international diversification. This …

Regime switches in interest rates

A Ang, G Bekaert - Journal of Business & Economic Statistics, 2002 - Taylor & Francis
We examine the econometric performance of regime-switching models for interest rate data
from the United States, Germany, and the United Kingdom. Regime-switching models …

High idiosyncratic volatility and low returns: International and further US evidence

A Ang, RJ Hodrick, Y Xing, X Zhang - Journal of Financial Economics, 2009 - Elsevier
Stocks with recent past high idiosyncratic volatility have low future average returns around
the world. Across 23 developed markets, the difference in average returns between the …

Asymmetric correlations of equity portfolios

A Ang, J Chen - Journal of financial Economics, 2002 - Elsevier
Correlations between US stocks and the aggregate US market are much greater for downside
moves, especially for extreme downside moves, than for upside moves. We develop a …

The term structure of real rates and expected inflation

A Ang, G Bekaert, M Wei - The Journal of Finance, 2008 - Wiley Online Library
ABSTRACT Changes in nominal interest rates must be due to either movements in real interest
rates, expected inflation, or the inflation risk premium. We develop a term structure model …

Downside risk

A Ang, J Chen, Y Xing - The review of financial studies, 2006 - academic.oup.com
Economists have long recognized that investors care differently about downside losses
versus upside gains. Agents who place greater weight on downside risk demand additional …