Lecturer

Prof. Jacom Boudukh


CV-Jacob-Boudukh.pdf

Received his Ph.D. in finance in 1991 from Stanford University’s Graduate School of Business.
From 1990 to 2004 was a finance professor at NYU-Stern.
His areas of expertise include asset pricing and model driven investment management focusing on global macro, equities and derivatives.

Personal Site: https://www.boudoukh.org/

Publications

Refereed Papers in Academic Journals

“The Myth of Long Horizon Predictability” (with Matthew Richardson and Robert Whitelaw) Forthcoming: The Review of Financial Studies

“Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market”, (with Matthew Richardson, Jeffery Shen and Robert Whitelaw) Forthcoming: Journal of Financial Economics

“On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing” (with Roni Michaely, Matthew Richardson and Michael Roberts) Journal of Finance, 2007, 62: 877-915.

“Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations” (with Dong-Hyun Ahn, Matthew Richardson and Robert Whitelaw) Review of Financial Studies, 2002, Vol. 15, No. 2, pp. 655-689.

“Ex Ante Bond Returns and the Liquidity Preference Hypothesis” (with Matthew Richardson, Tom Smith and Robert Whitelaw) Journal of Finance, 1999, vol.54/3, pp. 1153-1167.

“Optimal Risk Management Using Options” (with Dong-Hyun ahn, Matthew Richardson and Robert Whitelaw) Journal of Finance, 1999, vol. 54/1, 369-375.

“Pricing of Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Review of Financial Studies, 1997, vol. 10/2, pp. 405-446.

“Nonlinearities in the Relation between the Equity Risk Premium and the Term Structure” (with Matthew Richardson and Robert Whitelaw) Management Science, 1997, vol. 43/3, 371-385.

“Industry Returns and the Fisher Effect” (with Matthew Richardson and Robert Whitelaw) Journal of Finance, 1994, vol. 49/5, 1595-1616.

“A Tale of Three Schools: A Reexamination of Autocorrelation Patterns in Stock Returns” (with Matthew Richardson and Robert Whitelaw) Review of Financial Studies, 1994, vol. 7/3, 539-573.

“Is the Ex Ante Risk Premium Always Positive? A New Approach to Testing Conditional Asset Pricing Models” (with Matthew Richardson and Tom Smith) Journal of Financial Economics, 1993, vol. 34, 387‑408.

“The Statistics of Long-Horizon Regressions” (with Matthew Richardson) Mathematical Finance, 1993, vol. 4/2, 103-120, special issue: “Econometric Issues in Finance”

“Liquidity as a Choice Variable: A Lesson from the Japanese Bond Market” (with Robert Whitelaw) Review of Financial Studies, 1993, vol. 6/2, 266‑292.

“Stocks Returns and Inflation: A Long Term Perspective” (with Matthew Richardson) American Economic Review, 1993, vol.83, 1346‑1355.

“Stocks Returns and Inflation: A Long Term Perspective” (with Matthew Richardson) American Economic Review, 1993, vol.83, 1346‑1355.

“An Equilibrium Model of Nominal Bond Prices with Inflation-Output Correlation and Stochastic Volatility” Journal of Money Credit and Banking, 1993, vol. 25/3, 636‑665.

Refereed Papers in Practitioner & Semi-Academic Journals

“MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Journal of Investment Management, 2004,Vol. 2, No. 3, pp. 14-19.

“The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor” (with Matthew Richardson and Robert Whitelaw)    Financial Analysts Journal, 2002, Vol. 58, No. 4, pp. 53-71.

“An Investigation of a Class of Volatility Forecasting Models” (with Matthew Richardson and Robert Whitelaw) Journal of Derivatives, 1997, vol. 4/3, pp. 63-71.

“A New Strategy for Dynamically Hedging Mortgage-Backed Securities” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Journal of Derivatives, 1995, vol. 2/4, pp. 60-77.

“The Benchmark Effect in the Japanese Government Bond Market” (with Robert Whitelaw) Journal of Fixed Income, 1991, vol. 1/2, pp. 52-59.

Practitioner Articles and Book Chapters

“A Mulifactor, Nonlinear, Continuous-time model of Interest Rate Volatility” (with Christopher Downing, Matthew Richardson, Richard Stanton and Robert Whitelaw), 2010, in Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson (eds.), */Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle/*, Oxford University Press, New York.

“The Pricing and Hedging of Mortgage-Backed Securities”  (with Matthew Richardson, Richard Stanton and Robert Whitelaw), 2000, in Narasimhan Jegadeesh and Bruce Tuckman (eds.), Advanced Fixed-Income Valuation Tools, John Wiley & Sons, New York.

“The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk” (with Matthew Richardson and Robert Whitelaw) Risk, May 1998 Reprint in Internal Modeling and CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk Books, London, England). 1999.

“Hedging the Interest Rate Risk of Bradys: The Case of Argentinean Fixed and Floating Rate Bonds” (with Dong Hyun Ahn, Matthew Richardson, and Robert Whitelaw) Emerging Market Capital Flows (Kluwer Academic Publishers, Dordrecht, Netherlands), 1998.

“Non – Parametric Mortgage – Backed Security Pricing” (with Matthew Richardson, Richard Stanton and Robert Whitelaw )  Advanced Tools for the Fixed Income Professional, 1997 (John Wiley & Sons Publishers)

“Expect the Worst — Rethinking the Value at Risk Concept using Worst Case Scenario Analysis and its Implications for Risk Management” (with Matthew Richardson, and Robert F. Whitelaw) Risk, Vol. 8, No. 9, pp. 100-101, September 1995 Reprint in “VAR: Understanding and Applying Value-at-Risk” (Risk Publications, London, England), 1997. Reprint in Internal Modeling and CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk Books, London, England). 1999.

“The Effect of Index Options Trading on Stock Return Volatility: Evidence from the TASE” The Tel-Aviv Stock Exchange Monthly Research Report, 1995, November issue, #167.

Refereed Papers in Academic Journals

“The Myth of Long Horizon Predictability” (with Matthew Richardson and Robert Whitelaw) Forthcoming: The Review of Financial Studies

“Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market”, (with Matthew Richardson, Jeffery Shen and Robert Whitelaw) Forthcoming: Journal of Financial Economics

“On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing” (with Roni Michaely, Matthew Richardson and Michael Roberts) Journal of Finance, 2007, 62: 877-915.

“Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations” (with Dong-Hyun Ahn, Matthew Richardson and Robert Whitelaw) Review of Financial Studies, 2002, Vol. 15, No. 2, pp. 655-689.

“Ex Ante Bond Returns and the Liquidity Preference Hypothesis” (with Matthew Richardson, Tom Smith and Robert Whitelaw) Journal of Finance, 1999, vol.54/3, pp. 1153-1167.

“Optimal Risk Management Using Options” (with Dong-Hyun ahn, Matthew Richardson and Robert Whitelaw) Journal of Finance, 1999, vol. 54/1, 369-375.

“Pricing of Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Review of Financial Studies, 1997, vol. 10/2, pp. 405-446.

“Nonlinearities in the Relation between the Equity Risk Premium and the Term Structure” (with Matthew Richardson and Robert Whitelaw) Management Science, 1997, vol. 43/3, 371-385.

“Industry Returns and the Fisher Effect” (with Matthew Richardson and Robert Whitelaw) Journal of Finance, 1994, vol. 49/5, 1595-1616.

“A Tale of Three Schools: A Reexamination of Autocorrelation Patterns in Stock Returns” (with Matthew Richardson and Robert Whitelaw) Review of Financial Studies, 1994, vol. 7/3, 539-573.

“Is the Ex Ante Risk Premium Always Positive? A New Approach to Testing Conditional Asset Pricing Models” (with Matthew Richardson and Tom Smith) Journal of Financial Economics, 1993, vol. 34, 387‑408.

“The Statistics of Long-Horizon Regressions” (with Matthew Richardson) Mathematical Finance, 1993, vol. 4/2, 103-120, special issue: “Econometric Issues in Finance”

“Liquidity as a Choice Variable: A Lesson from the Japanese Bond Market” (with Robert Whitelaw) Review of Financial Studies, 1993, vol. 6/2, 266‑292.

“Stocks Returns and Inflation: A Long Term Perspective” (with Matthew Richardson) American Economic Review, 1993, vol.83, 1346‑1355.

“Stocks Returns and Inflation: A Long Term Perspective” (with Matthew Richardson) American Economic Review, 1993, vol.83, 1346‑1355.

“An Equilibrium Model of Nominal Bond Prices with Inflation-Output Correlation and Stochastic Volatility” Journal of Money Credit and Banking, 1993, vol. 25/3, 636‑665.

Refereed Papers in Practitioner & Semi-Academic Journals

“MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Journal of Investment Management, 2004,Vol. 2, No. 3, pp. 14-19.

“The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor” (with Matthew Richardson and Robert Whitelaw)    Financial Analysts Journal, 2002, Vol. 58, No. 4, pp. 53-71.

“An Investigation of a Class of Volatility Forecasting Models” (with Matthew Richardson and Robert Whitelaw) Journal of Derivatives, 1997, vol. 4/3, pp. 63-71.

“A New Strategy for Dynamically Hedging Mortgage-Backed Securities” (with Matthew Richardson, Richard Stanton and Robert Whitelaw) Journal of Derivatives, 1995, vol. 2/4, pp. 60-77.

“The Benchmark Effect in the Japanese Government Bond Market” (with Robert Whitelaw) Journal of Fixed Income, 1991, vol. 1/2, pp. 52-59.

Practitioner Articles and Book Chapters

“A Mulifactor, Nonlinear, Continuous-time model of Interest Rate Volatility” (with Christopher Downing, Matthew Richardson, Richard Stanton and Robert Whitelaw), 2010, in Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson (eds.), */Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle/*, Oxford University Press, New York.

“The Pricing and Hedging of Mortgage-Backed Securities”  (with Matthew Richardson, Richard Stanton and Robert Whitelaw), 2000, in Narasimhan Jegadeesh and Bruce Tuckman (eds.), Advanced Fixed-Income Valuation Tools, John Wiley & Sons, New York.

“The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk” (with Matthew Richardson and Robert Whitelaw) Risk, May 1998 Reprint in Internal Modeling and CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk Books, London, England). 1999.

“Hedging the Interest Rate Risk of Bradys: The Case of Argentinean Fixed and Floating Rate Bonds” (with Dong Hyun Ahn, Matthew Richardson, and Robert Whitelaw) Emerging Market Capital Flows (Kluwer Academic Publishers, Dordrecht, Netherlands), 1998.

“Non – Parametric Mortgage – Backed Security Pricing” (with Matthew Richardson, Richard Stanton and Robert Whitelaw )  Advanced Tools for the Fixed Income Professional, 1997 (John Wiley & Sons Publishers)

“Expect the Worst — Rethinking the Value at Risk Concept using Worst Case Scenario Analysis and its Implications for Risk Management” (with Matthew Richardson, and Robert F. Whitelaw) Risk, Vol. 8, No. 9, pp. 100-101, September 1995 Reprint in “VAR: Understanding and Applying Value-at-Risk” (Risk Publications, London, England), 1997. Reprint in Internal Modeling and CADII: Qualifying and Quantifying Risk within a Financial Institution (Risk Books, London, England). 1999.

“The Effect of Index Options Trading on Stock Return Volatility: Evidence from the TASE” The Tel-Aviv Stock Exchange Monthly Research Report, 1995, November issue, #167.