Geert Bekaert
Biographic Data
| ID | 5847869 |
|---|---|
| NAME | Geert Bekaert |
| GIVEN NAMES | Geert |
| FAMILY NAME | Bekaert |
| SIGNATURE | BEKAERT G |
| AFFILIATIONS | National Bureau of Economic Research |
| ORCID | 0000-0002-6835-5612 |
| VERIFIED | Yes |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 18 |
| AUTHOR COUNT | 8 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1991 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 2 |
Sustainable investment – Exploring the linkage between alpha, ESG , and SDGs
Environmental, Social and Governance (ESG) investing has attracted much attention in asset management this past decade. Asset managers who consider ESG issues when making investment decisions potentially face a trade off with their fiduciary duty to attempt to outperform investment benchmarks (“generate alpha”). We first analyze the relationship between alpha generation and ESG metrics. However, because there are no well‐accepted ESG standards, w…
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
We introduce a “bad environment–good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of …
Financial Openness and Productivity
Does financial liberalization spur growth?
Regime Switches in Interest Rates
We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-ofsample than single-regime models, including an affine multifactor model, but do not always match moments very well. Regime-switching models incorporating international short-rate and term spread information forecast better, match sample moments better, and c…
Emerging equity markets and economic development
The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
This article analyzes the time variation in conditional means and variances of monthly and quarterly excess dollar returns on Eurocurrency investments. All results are based on a vector autoregression with weekly sampled data on exchange-rate changes and forward premiums of three currencies. Both past exchange-rate changes and forward premiums predict future forward-market returns. Moreover, past forward-premium volatilities predict the volatilit…
Caloric Consumption in Industrializing Belgium
This article provides estimates of Belgian food consumption in 1812 and 1846 using a national food balance sheet approach. These estimates are then converted into caloric intakes for adult male equivalents. Despite many accounts of an absolute pauperization of the Belgian population during this period, caloric consumption per equivalent adult male is shown to have merely stagnated between 1812 and 1846. There is indirect evidence that inequality …
Caloric Consumption in Industrializing Belgium
This article provides estimates of Belgian food consumption in 1812 and 1846 using a national food balance sheet approach. These estimates are then converted into caloric intakes for adult male equivalents. Despite many accounts of an absolute pauperization of the Belgian population during this period, caloric consumption per equivalent adult male is shown to have merely stagnated between 1812 and 1846. There is indirect evidence that inequality …
Emerging equity markets and economic development
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
We introduce a “bad environment–good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of …
Sustainable investment – Exploring the linkage between alpha, ESG , and SDGs
Environmental, Social and Governance (ESG) investing has attracted much attention in asset management this past decade. Asset managers who consider ESG issues when making investment decisions potentially face a trade off with their fiduciary duty to attempt to outperform investment benchmarks (“generate alpha”). We first analyze the relationship between alpha generation and ESG metrics. However, because there are no well‐accepted ESG standards, w…
Financial Openness and Productivity
Caloric Consumption in Industrializing Belgium
This article provides estimates of Belgian food consumption in 1812 and 1846 using a national food balance sheet approach. These estimates are then converted into caloric intakes for adult male equivalents. Despite many accounts of an absolute pauperization of the Belgian population during this period, caloric consumption per equivalent adult male is shown to have merely stagnated between 1812 and 1846. There is indirect evidence that inequality …
The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
This article analyzes the time variation in conditional means and variances of monthly and quarterly excess dollar returns on Eurocurrency investments. All results are based on a vector autoregression with weekly sampled data on exchange-rate changes and forward premiums of three currencies. Both past exchange-rate changes and forward premiums predict future forward-market returns. Moreover, past forward-premium volatilities predict the volatilit…
Emerging equity markets and economic development
Regime Switches in Interest Rates
We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-ofsample than single-regime models, including an affine multifactor model, but do not always match moments very well. Regime-switching models incorporating international short-rate and term spread information forecast better, match sample moments better, and c…
Does financial liberalization spur growth?
Financial Openness and Productivity
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
We introduce a “bad environment–good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of …
Sustainable investment – Exploring the linkage between alpha, ESG , and SDGs
Environmental, Social and Governance (ESG) investing has attracted much attention in asset management this past decade. Asset managers who consider ESG issues when making investment decisions potentially face a trade off with their fiduciary duty to attempt to outperform investment benchmarks (“generate alpha”). We first analyze the relationship between alpha generation and ESG metrics. However, because there are no well‐accepted ESG standards, w…
Economics (8 works) · Econometrics (4 works) · Macroeconomics (4 works) · Monetary Policy and Economic Impact (4 works) · Finance (3 works) · Global Financial Crisis and Policies (3 works) · Liberalization (3 works) · Market economy (3 works) · Monetary economics (3 works) · Business (2 works)