About me

Jacob Boudoukh is a Professor of Finance at the Arison School of Business, IDC. He received his Ph.D. in finance from Stanford University's Graduate School of Business in 1991. Until 2004 he served as a Professor of Finance and International Business at the Stern School of Business, NYU.  He also served as a research fellow at the National Bureau of Economic Research (NBER) in Boston.

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From 2002 to 2014 he served as the founding academic director of the Caesarea Center for Capital Markets and Risk Management at IDC. Since 2002 he has been the academic organizer of the Eagle Labs Conference in Financial Economics Research, now in its 16th year.​

 

Jacob's research focuses on theoretical, empirical and practical aspects of asset pricing. His research was published in leading academic journals such as the American Economic Review, The Journal of Finance, Journal of Financial Economics and The Review of Financial Studies, as well as in practitioner journals such as the Financial Analyst Journal, Journal of Fixed Income, Journal of Derivatives and Risk.​

 

From 1998 to 2002 he served as a member of the board of directors of Bank Hapoalim, Israel’s largest bank. Through the years he consulted multiple financial institutions and quant hedge funds. He currently serves as a consultant for AQR Capital Management.

Academic Papers

 

“Information, Trading, and Volatility: Evidence from Firm-Specific News“

With Ronen Feldman, Shimon Kogan and Matthew Richardson

Review of Financial Studies, Forthcoming

“New Evidence on the Forward Premium Puzzle“

With Matthew Richardson and Robert Whitelaw

Journal of Financial and Quantitative Analysis, 2016, Vol. 51, No. 3, pp. 875-897.

“The Myth of Long Horizon Predictability”

With Matthew Richardson and Robert Whitelaw

Review of Financial Studies, 2008, Vol. 24, No. 4, 1577-1605.

“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(2), 877-915.

“Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market“

With Matthew Richardson, Jeffery Shen and Robert Whitelaw

Journal of Finanancial Economics, 2007, 83. 397-412.

“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.

“Optimal Risk Management Using Options“

With Dong-Hyun Ahn, Matthew Richardson and Robert Whitelaw

Journal of Finance, 1999, vol. 54/1, 369-375.

“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.

“Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure”

With Matthew Richardson and Robert Whitelaw

Review of Financial Studies, 1997, vol. 10/2, pp. 405-446.

“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

"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.

“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.

“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”

“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”

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Journal of Money Credit and Banking, 1993, vol. 25/3, 636 665.

Practitioner Papers

"MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment"

With Matthew Richardson, and Robert Whitelaw

Journal of Investment Management, 2004

"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.

“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.

“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.

“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.

“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.

 

Working Papers

"Is there a Dollar Risk Factor?"

With Matthew Richardson, Ashwin Thapar and Franklin Wang

"Optimal Currency Hedging for International Equity Portfolios"

With Matthew Richardson, Ashwin Thapar and Franklin Wang

"Long Horizon Predictability: A Cautionary Tale"

With Ronen Israel and Matthew Richardson

"The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds"

With Jordan Brooks, Matthew Richardson and Zhikai Xu

Permanent Working Papers

“Valuing Mutual Fund Contracts“

With Matthew Richardson, Richard Stanton and Robert Whitelaw

Working Paper, 2004

“The Valuation and Hedging of Deferred Commission Asset Backed Securities“

With Patrick McAllister, Matthew Richardson and Robert Whitelaw

Working Paper, 2003.

“Regime Shifts and Bond Returns”

With Matthew Richardson, Tom Smith and Robert Whitelaw

Working Paper, 1999.

"The Pricing of Stripped Mortgage-Backed Securities"

With Matthew Richardson, Richard Stanton and Robert Whitelaw

Working Paper, 1999.

 

Books

"Understanding Market, Credit and Operational Risk: The Value at Risk Approach"

With Linda Allen and Anthony Saunders

Blackwell Publishing, 2004

Book Chapters

“A Mulifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility“

With Christopher Downing, Matthew Richardson, Richard Stanton and Robert Whitelaw

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. 2010.

“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.

“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.

Interdisciplinary Center Herzliya

© 2019 by Jacob Boudoukh

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