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Andrew Ang

Personal Details

First Name:Andrew
Middle Name:
Last Name:Ang
Suffix:
RePEc Short-ID:pan374
http://www.columbia.edu/~aa610
Terminal Degree:1999 Graduate School of Business; Stanford University (from RePEc Genealogy)

Affiliation

(50%) Finance and Economics Department
Graduate School of Business
Columbia University

New York City, New York (United States)
http://www.gsb.columbia.edu/finance
RePEc:edi:feclbus (more details at EDIRC)

(50%) National Bureau of Economic Research (NBER)

Cambridge, Massachusetts (United States)
http://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Nicholas Moehle & Stephen Boyd & Andrew Ang, 2021. "Portfolio Performance Attribution via Shapley Value," Papers 2102.05799, arXiv.org.
  2. Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2020. "Tax-Aware Portfolio Construction via Convex Optimization," Papers 2008.04985, arXiv.org, revised Feb 2021.
  3. Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013. "Liability Investment with Downside Risk," NBER Working Papers 19030, National Bureau of Economic Research, Inc.
  4. Andrew Ang & Neil Nabar & Sam Wald, 2013. "Search for a Common Factor in Public and Private Real Estate Returns," NBER Working Papers 19194, National Bureau of Economic Research, Inc.
  5. Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013. "Portfolio Choice with Illiquid Assets," NBER Working Papers 19436, National Bureau of Economic Research, Inc.
  6. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013. "The Joint Cross Section of Stocks and Options," NBER Working Papers 19590, National Bureau of Economic Research, Inc.
  7. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers 19309, National Bureau of Economic Research, Inc.
  8. Andrew Ang & Richard C. Green & Yuhang Xing, 2013. "Advance Refundings of Municipal Bonds," NBER Working Papers 19459, National Bureau of Economic Research, Inc.
  9. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.
  10. Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
  11. Andrew Ang & Francis A. Longstaff, 2011. "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers 16982, National Bureau of Economic Research, Inc.
  12. Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011. "Hedge Fund Leverage," NBER Working Papers 16801, National Bureau of Economic Research, Inc.
  13. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
  14. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Build America Bonds," NBER Working Papers 16008, National Bureau of Economic Research, Inc.
  15. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," NBER Working Papers 15937, National Bureau of Economic Research, Inc.
  16. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
  17. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
  18. Andrew Ang & Matthew Rhodes-Kropf & Rui Zhao, 2008. "Do Funds-of-Funds Deserve Their Fees-on-Fees?," NBER Working Papers 13944, National Bureau of Economic Research, Inc.
  19. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008. "Taxes on Tax-Exempt Bonds," NBER Working Papers 14496, National Bureau of Economic Research, Inc.
  20. Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
  21. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
  22. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc.
  23. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
  24. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  25. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
  26. Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
  27. Bekaert, Geert & Ang, Andrew, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
  28. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
  29. Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc.
  30. Andrew Ang & Angela Maddaloni, 2003. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," NBER Working Papers 9677, National Bureau of Economic Research, Inc.
  31. Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc.
  32. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  33. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  34. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  35. Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
  36. Andrew Ang & Geert Bekaert, 1999. "International Asset Allocation with Time-Varying Correlations," NBER Working Papers 7056, National Bureau of Economic Research, Inc.
  37. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.

Articles

  1. Ang, Andrew & Liu, Jun & Schwarz, Krista, 2020. "Using Stocks or Portfolios in Tests of Factor Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(3), pages 709-750, May.
  2. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
  3. Andrew Ang & Ked Hogan & Sara Shores, 2018. "Factor risk premiums and invested capital: calculations with stochastic discount factors," Journal of Asset Management, Palgrave Macmillan, vol. 19(3), pages 145-155, May.
  4. Andrew Ang & Bingxu Chen & William N. Goetzmann & Ludovic Phalippou, 2018. "Estimating Private Equity Returns from Limited Partner Cash Flows," Journal of Finance, American Finance Association, vol. 73(4), pages 1751-1783, August.
  5. Andrew Ang & Richard C. Green & Francis A. Longstaff & Yuhang Xing, 2017. "Advance Refundings of Municipal Bonds," Journal of Finance, American Finance Association, vol. 72(4), pages 1645-1682, August.
  6. Andrew Ang & Dimitris Papanikolaou & Mark M. Westerfield, 2014. "Portfolio Choice with Illiquid Assets," Management Science, INFORMS, vol. 60(11), pages 2737-2761, November.
  7. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014. "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, vol. 69(5), pages 2279-2337, October.
  8. Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
  9. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028.
  10. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  11. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
  12. Andrew Ang & Morten Sorensen, 2012. "Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-27.
  13. Ang, Andrew & Goetzmann, William N. & Schaefer, Stephen M., 2011. "The Efficient Market Theory and Evidence: Implications for Active Investment Management," Foundations and Trends(R) in Finance, now publishers, vol. 5(3), pages 157-242, June.
  14. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
  15. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 429-457.
  16. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
  17. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, September.
  18. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
  19. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  20. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  21. Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007. "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 565-594, September.
  22. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  23. Andrew Ang & Geert Bekaert, 2007. "Stock Return Predictability: Is it There?," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 651-707.
  24. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
  25. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
  26. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  27. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  28. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  29. Andrew Ang & Angela Maddaloni, 2005. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," The Journal of Business, University of Chicago Press, vol. 78(1), pages 341-380, January.
  30. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  31. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
  32. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  33. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
  34. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1243-1274, July.
  35. Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
  36. Andrew Ang & Michael Sherris, 1997. "Interest Rate Risk Management," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(2), pages 1-26.

Books

  1. Ang, Andrew, 2014. "Asset Management: A Systematic Approach to Factor Investing," OUP Catalogue, Oxford University Press, number 9780199959327.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Number of Abstract Views in RePEc Services over the past 12 months
  28. Number of Downloads through RePEc Services over the past 12 months
  29. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  30. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Euclidian citation score
  32. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 33 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (9) 2000-07-11 2001-04-02 2001-07-13 2001-12-19 2005-12-09 2006-01-01 2006-05-13 2007-01-28 2007-03-03. Author is listed
  2. NEP-MAC: Macroeconomics (9) 2004-08-31 2005-02-13 2005-09-11 2005-12-01 2006-05-27 2007-03-03 2007-10-06 2009-08-22 2011-05-07. Author is listed
  3. NEP-FIN: Finance (8) 2000-07-11 2001-04-02 2003-11-30 2004-07-18 2004-11-22 2005-12-09 2006-01-01 2006-05-13. Author is listed
  4. NEP-CBA: Central Banking (7) 2006-05-27 2007-03-03 2007-10-06 2009-08-22 2011-05-07 2011-07-13 2011-07-21. Author is listed
  5. NEP-MON: Monetary Economics (7) 2005-02-13 2005-09-11 2005-12-01 2006-05-27 2007-03-03 2007-10-06 2009-08-22. Author is listed
  6. NEP-RMG: Risk Management (6) 2003-02-03 2005-12-09 2006-01-01 2007-01-28 2008-01-26 2020-08-17. Author is listed
  7. NEP-CFN: Corporate Finance (5) 2001-12-19 2003-05-15 2003-11-30 2006-05-13 2013-11-09. Author is listed
  8. NEP-ECM: Econometrics (5) 1998-04-26 2005-09-11 2006-05-27 2009-03-14 2011-11-14. Author is listed
  9. NEP-ETS: Econometric Time Series (2) 1998-04-21 2009-03-14
  10. NEP-FOR: Forecasting (2) 2005-09-11 2006-05-27
  11. NEP-BAN: Banking (1) 2011-02-26
  12. NEP-CMP: Computational Economics (1) 2020-08-17
  13. NEP-CWA: Central and Western Asia (1) 2021-04-19
  14. NEP-EEC: European Economics (1) 2011-05-07
  15. NEP-GTH: Game Theory (1) 2021-04-19
  16. NEP-HIS: Business, Economic and Financial History (1) 2006-05-13
  17. NEP-MIC: Microeconomics (1) 2011-05-07
  18. NEP-PBE: Public Economics (1) 2008-11-25

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