Rui Albuquerque

Boston College
Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467
Tel: (617) 552-2825
Fax: (617) 552-0431

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliations: Boston College and Portuguese Catholic University

NBER Working Papers and Publications

January 2015Long-run Bulls and Bears
with Martin Eichenbaum, Dimitris Papanikolaou, Sergio Rebelo: w20858
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation between stock returns and fundamentals across bull and bear episodes. This correlation is much higher than the analogous time-series correlations. We show that several asset pricing models cannot simultaneously account for the low time-series and high episode correlations.

Published: Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sergio, 2015. "Long-run bulls and bears," Journal of Monetary Economics, Elsevier, vol. 76(S), pages S21-S36. citation courtesy of

December 2012Valuation Risk and Asset Pricing
with Martin S. Eichenbaum, Sergio Rebelo: w18617
Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset-pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.

Published: RUI ALBUQUERQUE & MARTIN EICHENBAUM & VICTOR XI LUO & SERGIO REBELO, 2016. "Valuation Risk and Asset Pricing," The Journal of Finance, vol 71(6), pages 2861-2904. citation courtesy of

July 2007Agency Conflicts, Investment, and Asset Pricing
with Neng Wang: w13251
The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premium, and higher interest rate. Calibrating the model to the Korean economy reveals that perfecting investor protection increases the stock market's value by 22 percent, a gain for which outside shareholders are willing to pay 11 percent of their capital stock.

Published: Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, 02. citation courtesy of

August 1998On the Dynamics of Trade Reform
with Sergio Rebelo: w6700
The empirical evidence on trade reforms suggests that these have a surprisingly small impact on the country's industrial configuration. This industrial structure inertia is difficult to rationalize in standard trade models. This paper develops a two-sector industry dynamics model in which industrial composition inertia arises naturally. The model is then used to study the consequences of different types of trade reforms (e.g. permanent, temporary, gradual, pre-announced) on investment, employment composition, and income distribution.

Published: Albuquerque, Rui and Sergio Rebelo. "On The Dynamics Of Trade Reform," Journal of International Economics, 2000, v51(1,Jun), 21-47. citation courtesy of

NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us