Andrew Bing Quan. Ang

Andrew Bing Quan. Ang's AcademicInfluence.com Rankings

Business

#891

World Rank

#975

Historical Rank

Finance

#104

World Rank

#109

Historical Rank

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Business

Andrew Bing Quan. Ang's Degrees

PhD Finance University of Chicago
Masters Finance University of Chicago

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Andrew Bing Quan. Ang's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

The Cross-Section of Volatility and Expected Returns (2004) (3955)
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (2000) (1736)
Stock Return Predictability: Is it There? (2001) (1508)
Asymmetric Correlations of Equity Portfolios (2001) (1488)
International Asset Allocation With Regime Shifts (2002) (1365)
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2008) (1196)
Regime Switches in Interest Rates (1998) (936)
What Does the Yield Curve Tell Us About GDP Growth? (2003) (878)
Downside Risk (2004) (825)
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (2005) (745)
The Term Structure of Real Rates and Expected Inflation (2004) (563)
CAPM Over the Long-Run: 1926-2001 (2003) (495)
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011) (438)
Regime Changes and Financial Markets (2011) (365)
The Joint Cross Section of Stocks and Options (2010) (303)
Hedge Fund Leverage (2010) (282)
Asset Management: A Systematic Approach to Factor Investing (2014) (278)
Short Rate Nonlinearities and Regime Switches (2000) (197)
How to Discount Cashflows with Time-Varying Expected Returns (2002) (176)
Do macro variables, asset markets, or surveys forecast inflation better? (2006) (173)
Monetary Policy Shifts and the Term Structure (2009) (160)
Portfolio Choice with Illiquid Assets (2013) (145)
Estimating Private Equity Returns from Limited Partner Cash Flows (2014) (125)
Yield Curve Predictors of Foreign Exchange Returns (2010) (105)
Asset Pricing in the Dark: The Cross Section of OTC Stocks (2013) (103)
Taxes on Tax-Exempt Bonds (2007) (100)
Using Stocks or Portfolios in Tests of Factor Models (2018) (94)
A General Affine Earnings Valuation Model (2001) (74)
Locked Up by a Lockup: Valuing Liquidity as a Real Option (2008) (67)
Interest Rate Risk Management (1997) (65)
The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost (2016) (51)
The Efficient Market Theory and Evidence: Implications for Active Investment Management (2011) (46)
Searching for a Common Factor in Public and Private Real Estate Returns (2013) (45)
Downside Correlation and Expected Stock Returns (2002) (43)
Liability-Driven Investment with DownsideRisk (2012) (42)
The Four Benchmarks of Sovereign Wealth Funds (2010) (41)
Predicting Dividends in Log-Linear Present Value Models ∗ (2012) (40)
Nominal Bonds, Real Bonds, and Equity (2012) (40)
Inflation and Individual Equities (2011) (39)
Factor Timing with Cross-Sectional and Time-Series Predictors (2017) (38)
The Muni Bond Spread: Credit, Liquidity, and Tax (2014) (33)
Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches (2012) (32)
Build America Bonds (2010) (31)
Do Funds-of-Funds Deserve Their Fees-on-Fees? (2005) (31)
Is Ipo Underperformance a Peso Problem? (2005) (30)
Lowering Borrowing Costs for States and Municipalities Through CommonMuni (2011) (29)
A Generalized Earnings Model of Stock Valuation (1998) (27)
Investment Beliefs of Endowments (2014) (26)
Total Portfolio Factor, Not Just Asset, Allocation (2017) (26)
Advance Refundings of Municipal Bonds (2013) (26)
Capacity of Smart Beta Strategies from a Transaction Cost Perspective (2017) (25)
Rethinking the Equity Risk Premium (2011) (23)
Estimating Time-Varying Factor Exposures (2016) (20)
Review of the Active Management of the Norwegian Government Pension Fund Global Mandate (19)
RATE RISK MANAGEMENT : DEVELOPMENTS IN INTEREST RATE TERM STRUCTURE MODELING FOR RISK MANAGEMENT AND VALUATION OF INTEREST-RATE-DEPENDENT CASH FLOWS (1997) (16)
Factors to Assets: Mapping Factor Exposures to Asset Allocations (2016) (16)
The q-Theory Approach to Understanding the Accrual Anomaly (2009) (16)
Factor Investing (2013) (16)
Mean-Variance Investing (2012) (15)
Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens (2020) (15)
The Great Wall of Debt: The Cross Section of Chinese Local Government Credit Spreads (2015) (14)
Crowding, Capacity, and Valuation of Minimum Volatility Strategies (2017) (14)
Asset Allocation and Bad Habits (2014) (13)
How Regimes Affect Asset Allocation (2004) (12)
Investing for the Long Run (2011) (11)
ESG in Factors (2020) (11)
Do Funds-of-Funds Deserve Their Extra Fees? (2008) (10)
What’s in Your Benchmark? A Factor Analysis of Major Market Indexes (2018) (10)
Portfolio Performance Attribution via Shapley Value (2021) (8)
Illiquid Asset Investing (2013) (7)
Advance Refundings of Municipal Bonds: Advance Refundings of Municipal Bonds (2017) (7)
Investing in Private Equity (2006) (7)
Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models (2020) (7)
Price-Earnings Ratios : Growth and Discount Rates ∗ (2011) (5)
Tax-Aware Portfolio Construction via Convex Optimization (2020) (4)
The Great Wall of Debt: Corruption, Real Estate, and Chinese Local Government Credit Spreads∗ (2015) (4)
Factor risk premiums and invested capital: calculations with stochastic discount factors (2016) (4)
Liability Investment with Downside Risk (2013) (3)
Asset Owners and Delegated Managers (2012) (3)
When Hedge Funds Block the Exits (2010) (2)
What’s in Your Benchmark? A Factor Analysis of Major Market Indexes (2018) (2)
Practical Applications of Alpha, Beta & the Blend (2015) (2)
Dynamic Portfolio Choice (2012) (1)
Factors with Style (2020) (1)
The Cross Section of Over-the-Counter Equities (2011) (1)
A New Measure for Measuring (2006) (1)
Model Portfolios (2019) (1)
Factors and Advisor Portfolios (2020) (1)
How Often Should You Take Tactical Asset Allocation Decisions? (2015) (1)
What Happens with More Funds than Stocks? (2019) (1)
Net Zero Investing for Multi-Asset Portfolios seeking to satisfy Paris Aligned Benchmark Requirements with Climate Alpha Signals (2022) (1)
Asset Allocation with Crypto: Application of Preferences for Positive Skewness (2023) (1)
Portfolio Structuring and the Value of Forecasting (2016) (1)
Panel Paper: The Four Benchmarks of Sovereign Wealth Funds (2011) (1)
Index + Factors + Alpha (2020) (0)
BlackRock: Reserves Management with Factors and Reference Portfolios (2020) (0)
CharacterizingtheAbility of DividendYieldsto PredictFutureDividendsin Log-LinearPresentValue Models (2002) (0)
Refundings of Municipal Bonds (2017) (0)
Trends and Cycles of Style Factors in the 20th and 21st Centuries (2022) (0)
Andrew Ang, PhD: Including Factor Investing in Portfolio Design (2020) (0)
Public Pensions in a World of Low Rates and Low Risk Premiums (2022) (0)
1. Finance and Economics (2016) (0)
Equities Market Level (2012) (0)
Optimal Currency Allocation to Add Alpha and Reduce Risk (2021) (0)
How Many Active Funds Should You Hold? (2021) (0)
Asset Allocation and Pension Liabilities in the Presence of a Downside Constraint∗ (2015) (0)
Rate Nonlinearities and Regime Switches (2000) (0)
Sustainable Alpha in Sovereign and Corporate Bonds (2022) (0)
Macro Factor Model: Application to Liquid Private Portfolios (2021) (0)
Risk and Information in the Municipal Bond Market (2014) (0)
Internet Appendix for Taxes on Tax-Exempt Bonds (2008) (0)
Strategy for Norway’s Pension Fund Global (2014) (0)
Practical Applications of Model Portfolios (2019) (0)
Climate Alpha with Predictors Also Improving Company Efficiency (2021) (0)
Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals (2022) (0)
Projection of dry bulk carrier trade for the next 5 years in the Asia Pacific region. (2013) (0)
Investing in US Core Fixed Income with Macro and Style Factors (2021) (0)
JEL Classification : G 12 Keywords : Specifying Base Assets , Cross-Sectional Regression , Estimating Risk Premia (2017) (0)
Appendix for Monetary Policy Shifts and the Term Structure (2010) (0)
Tax-Efficient Investing (2014) (0)
1 Inflation and Individual Equities (2017) (0)
Factor risk premiums and invested capital: calculations with stochastic discount factors (2017) (0)
Factors and Advisors Portfolios (2019) (0)
Market watch: Upcoming catalysts in Q4 2014 (2014) (0)
Public Pension Portfolios in a World of Low Rates and Low Risk Premiums (2021) (0)
Optimal Claiming of Social Security Benefits (2021) (0)
Practical Applications of Capacity of Smart Beta Strategies from a Transaction Cost Perspective (2018) (0)
Climate Alpha with Predictors also Improving Firm Efficiency (2021) (0)
Systemic Sovereign Credit Risk Systemic Sovereign Credit Risk: Lessons from the U.s. and Europe We Are Grateful for Helpful Discussions with Nav (2011) (0)
Investing over the Life Cycle (2014) (0)
Mutual Funds and Other 40-Act Funds (2014) (0)
Alpha (and the Low-Risk Anomaly) (2014) (0)
Estimating Time-Varying Factor Exposures (Corrected October 2017) (2017) (0)
Online Appendix for Price-Earnings Ratios: Growth and Discount Rates (2011) (0)
2 A Real and Nominal Term Structure Model with Regime Switches 2 (2006) (0)
Practical Applications of Optimal Claiming of Social Security Benefits (2023) (0)