Robert J. Hodrick
Nomura Professor Emeritus of International Finance
Finance
AB, Princeton, 1972; PhD, University of Chicago, 1976.
Joined CBS in 1996
Office:
414
Uris
Phone:
212-854-3413
E-mail:
rh169@gsb.columbia.edu
Fax:
212-854-9895
Curriculum Vitae
Biography
Professor Hodrick teaches both fundamental and advanced courses in international finance. His expertise is in the valuation of financial assets. His current research explores the empirical implications of theoretical pricing models that generate time-varying risk premiums in the markets for bonds, equities and foreign currencies. He is also a research associate of the National Bureau of Economic Research.
Teaching
Summer 2019
Advanced International Corporate Finance
(EMBA)
Summer 2018
Advanced International Corporate Finance
(EMBA)
Spring 2018
(PhD) Empirical Asset Pricing II
(PHD)
(PhD) Financial Econometrics: Time series
(PHD)
Empirical Asset Pricing I
(PHD)
Summer 2017
Advanced International Corporate Finance
(EMBA)
Spring 2017
(PhD) Financial Econometrics: Time series
(PHD)
Empirical Asset Pricing I
(PHD)
(PhD) Empirical Asset Pricing II
(PHD)
Fall 2016
Advanced International Corporate Finance
(MBA)
Summer 2016
Advanced International Corporate Finance
(EMBA)
Spring 2016
(PhD) Financial Econometrics: Time series
(PHD)
Fall 2015
Independent Study - 3 credits
(MBA)
Independent Study - 1.5 credits
(MBA)
Advanced International Corporate Finance
(MBA)
(PhD) Adv Topics in Asset Pricing
(PHD)
Summer 2015
Independent Study - 1.5 credits
(MBA)
Advanced International Corporate Finance
(EMBA)
Independent Study - 3 credits
(MBA)
Spring 2015
(PhD) Financial Econometrics: Time series and Panel Data
(PHD)
Research
Journal articles
Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
In Critical Finance Review
(forthcoming)
Coauthor(s): Robert Hodrick, Tuomas Tomunen
The Carry Trade: Risks and Drawdowns
In Critical Finance Review
(2017)
Coauthor(s): Kent Daniel, Robert Hodrick, Zhongjin Lu
Estimating the Risk-Return Trade-off with Overlapping Data Inference
In Journal of Banking and Finance
(2016)
Coauthor(s): Esben Hedegaard, Robert Hodrick
Aggregate Idiosyncratic Volatility
In Journal of Financial and Quantitative Analysis
(2012)
Coauthor(s): Geert Bekaert, Robert Hodrick, Xiaoyan Zhang
International Stock Return Comovements
In Journal of Finance
(2009)
Coauthor(s): Geert Bekaert, Robert Hodrick, Xiaoyan Zhang
High idiosyncratic volatility and low returns: International and further U.S. evidence
In Journal of Financial Economics
(2009)
Coauthor(s): Robert Hodrick, Yuhang Xing, Xiaoyan Zhang
The Cross Section of Volatility and Expected Returns
In Journal of Finance
(2006)
Coauthor(s): Robert Hodrick, Yuhang Xing, Xiaoyan Zhang
Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics?
In Journal of Economic Dynamics and Control
(2002)
Coauthor(s): Robert Hodrick, Maria Vassalou
Evaluating the Specification Errors of Asset Pricing Models
In Journal of Financial Economics
(2001)
Coauthor(s): Robert Hodrick, Xiaoyan Zhang
'Peso Problem' Explanations for Term Structure Anomalies
In Journal of Monetary Economics
(2001)
Coauthor(s): Geert Bekaert, Robert Hodrick, David Marshall
Expectations Hypotheses Tests
In Journal of Finance
(2001)
Coauthor(s): Geert Bekaert, Robert Hodrick
An International Dynamic Asset Pricing Model
In International Tax and Public Finance
(1999)
Coauthor(s): Robert Hodrick, David Ng, Paul Sengmueller
On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates
In Journal of Financial Economics
(1997)
Coauthor(s): Geert Bekaert, Robert Hodrick, David Marshall
Postwar U.S. Business Cycles: An Empirical Investigation
In Journal of Money, Credit, and Banking
(1997)
Coauthor(s): Robert Hodrick, Edward Prescott
The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
In Journal of Monetary Economics
(1997)
Coauthor(s): Geert Bekaert, Robert Hodrick, David Marshall
On Biases in the Measurement of Foreign Exchange Risk Premiums
In Journal of International Money and Finance
(1993)
Coauthor(s): Geert Bekaert, Robert Hodrick
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
In Journal of Finance
(1992)
Coauthor(s): Geert Bekaert, Robert Hodrick
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
In Review of Financial Studies
(1992)
Coauthor(s): Robert Hodrick
The Variability of Velocity in Cash-in-Advance Models
In Journal of Political Economy
(1991)
Coauthor(s): Robert Hodrick, Narayana Kocherlakota, Deborah Lucas
Risk, Uncertainty, and Exchange Rates
In Journal of Monetary Economics
(1989)
Coauthor(s): Robert Hodrick
Asset Price Volatility, Bubbles, and Process Switching
In Journal of Finance
(1986)
Coauthor(s): Robert Flood, Robert Hodrick
Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
In Quarterly Journal of Economics
(1985)
Coauthor(s): Robert Flood, Robert Hodrick
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
In Journal of Political Economy
(1980)
Coauthor(s): Lars Hansen, Robert Hodrick
Books
International Financial Management
(2017)
Coauthor(s): Geert Bekaert, Robert Hodrick
International Financial Management
(2012)
Coauthor(s): Geert Bekaert, Robert Hodrick
International Financial Management
(2008)
Coauthor(s): Geert Bekaert, Robert Hodrick
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Vol. 24, Fundamentals of Pure and Applied Economics
(1987)
Coauthor(s): Robert Hodrick
Chapters
Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
In Exchange Rates and International Macroeconomics
(1983)
Coauthor(s): Lars Hansen, Robert Hodrick
Working papers
An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
In Working Paper 26750
(2020)
Coauthor(s): Robert Hodrick
Variance Risk in Global Markets
(2019)
Coauthor(s): Geert Bekaert, Robert Hodrick, Andrea Kiguel
The International Commonality of Idiosyncratic Variances
(2018)
Coauthor(s): Geert Bekaert, Robert Hodrick, Xue Wang, Xiaoyan Zhang
Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
In Working Paper 25092
(2018)
Coauthor(s): Robert Hodrick, Tuomas Tomunen
International Diversification Revisited
(2014)
Coauthor(s): Robert Hodrick, Xiaoyan Zhang
Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
In Working Paper No. 20245
(2014)
Coauthor(s): Esben Hedegaard, Robert Hodrick
Awards And Honors
Honorary Professor, Chinese Academy of Finance and Development, Central University of Finance and Economics, 2013
Awarded by the Ph.D. students of the Columbia Economics Department
National Science Foundation Grant #SES-0082352, "Empirical Asset Pricing"
Columbia Business School
The Institute for Quantitative Research in Finance