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Stefan Nagel

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ulrike Malmendier & Stefan Nagel, 2009. "Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?," NBER Working Papers 14813, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Miles's Presentation at the Federal Reserve Board on May 14, 2012 (pptx)
      by in Confessions of a Supply-Side Liberal on 2012-07-06 16:21:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market
  2. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Econometrics > Big Data

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Markus K. Brunnermeier & Stefan Nagel, 2008. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, vol. 98(3), pages 713-736, June.

    Mentioned in:

    1. Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation (AER 2008) in ReplicationWiki ()

Working papers

  1. Serhiy Kozak & Stefan Nagel, 2023. "When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?," NBER Working Papers 31275, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bryan Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2024. "Large (and Deep) Factor Models," Papers 2402.06635, arXiv.org.

  2. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.

    Cited by:

    1. Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
    2. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    3. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
    4. Kevin J. Lansing, 2021. "Replicating Business Cycles and Asset Returns with Sentiment and Low Risk Aversion," Working Paper Series 2021-02, Federal Reserve Bank of San Francisco.
    5. Charles, Constantin & Frydman, Cary & Kilic, Mete, 2024. "Insensitive investors," LSE Research Online Documents on Economics 120788, London School of Economics and Political Science, LSE Library.
    6. Andries, Marianne & Bianchi, Milo & Huynh, Karen & Pouget, Sébastien, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," TSE Working Papers 1561, Toulouse School of Economics (TSE).
    7. Marianne Andries & Milo Bianchi & Karen Huynh & Sébastien Pouget, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," Post-Print hal-04680777, HAL.
    8. Kenneth Eva & Fabian Winkler, 2023. "A Comprehensive Empirical Evaluation of Biases in Expectation Formation," Finance and Economics Discussion Series 2023-042, Board of Governors of the Federal Reserve System (U.S.).
    9. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).

  3. Klaus Adam & Stefan Nagel, 2022. "Expectations Data in Asset Pricing," CRC TR 224 Discussion Paper Series crctr224_2022_337, University of Bonn and University of Mannheim, Germany.

    Cited by:

    1. Ayan Bhattacharya, 2022. "Arbitrage from a Bayesian's Perspective," Papers 2211.03244, arXiv.org.
    2. Florian Schuster & Marco Wysietzki & Jonas Zdrzalek, 2023. "How Heterogeneous Beliefs Trigger Financial Crises," ECONtribute Discussion Papers Series 238, University of Bonn and University of Cologne, Germany.
    3. B. James Deaton & Chad Lawley, 2022. "A survey of literature examining farmland prices: A Canadian focus," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 95-121, June.
    4. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.

  4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.

    Cited by:

    1. Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
    2. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    3. Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
    4. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    5. Zhengyang Jiang, 2024. "Exorbitant Privilege: A Safe-Asset View," CESifo Working Paper Series 11279, CESifo.
    6. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
    7. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021. "Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
    8. Costain, James & Nuño, Galo & Thomas, Carlos, 2024. "The Term Structure of Interest Rates in a Heterogeneous Monetary Union," CEPR Discussion Papers 18736, C.E.P.R. Discussion Papers.
    9. Chase P. Ross & Landon J. Ross, 2022. "Cash-Hedged Stock Returns," Finance and Economics Discussion Series 2022-055, Board of Governors of the Federal Reserve System (U.S.).
    10. Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
    11. Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
    12. Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2023. "Supply and Demand and the Term Structure of Interest Rates," NBER Working Papers 31879, National Bureau of Economic Research, Inc.
    13. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Temi di discussione (Economic working papers) 36, Bank of Italy, Economic Research and International Relations Area.
    14. Annette Vissing-Jørgensen, 2021. "The Treasury market in spring 2020 and the response of the Federal Reserve," BIS Working Papers 966, Bank for International Settlements.
    15. Jason Allen & Milena Wittwer, 2023. "Intermediary Market Power and Capital Constraints," Staff Working Papers 23-51, Bank of Canada.
    16. Allaire, Nolwenn & Breckenfelder, Johannes & Hoerova, Marie, 2023. "Fund fragility: the role of investor base," Working Paper Series 2874, European Central Bank.
    17. Pinter, Gabor & Uslu, Semih, 2022. "Comparing search and intermediation frictions across markets," Bank of England working papers 974, Bank of England.
    18. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
    19. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2024. "The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(4), pages 1320-1346, December.
    20. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
    21. Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021. "(In)efficient repo markets," Swiss Finance Institute Research Paper Series 21-10, Swiss Finance Institute.
    22. Daniel Barth & R. Jay Kahn & Phillip J. Monin & Oleg Sokolinskiy, 2024. "Reaching for Duration and Leverage in the Treasury Market," Finance and Economics Discussion Series 2024-039, Board of Governors of the Federal Reserve System (U.S.).
    23. Hong, Zhiwu & Wang, Zhenhan & Li, Xinda, 2024. "Foreign trade and China’s yield curve during the COVID-19 pandemic: An analysis based on an extended arbitrage-free Nelson–Siegel model," Research in International Business and Finance, Elsevier, vol. 70(PB).
    24. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    25. Fatouh, Mahmoud & Giansante, Simone & Ongena, Steven, 2024. "Quantitative easing and the functioning of the gilt repo market," Bank of England working papers 1055, Bank of England.
    26. David Cashin & Erin E. Syron Ferris & Elizabeth Klee, 2023. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1475-1506, September.
    27. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
    28. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard, 2021. "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers 910, Bank of England, revised 18 Jun 2021.
    29. Bats, Joost & Hoondert, Jurian J.A., 2022. "The relationship between central bank auctions and bill market liquidity," Working Paper Series 2708, European Central Bank.
    30. Marcin Kacperczyk & Christophe Pérignon & Guillaume Vuillemey, 2021. "The Private Production of Safe Assets," Journal of Finance, American Finance Association, vol. 76(2), pages 495-535, April.
    31. Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021. "Dash for Dollars," CEPR Discussion Papers 16415, C.E.P.R. Discussion Papers.
    32. Qian, Xianhang & Qiu, Shanyun & Zhang, Guangli, 2021. "The impact of COVID-19 on housing price: Evidence from China," Finance Research Letters, Elsevier, vol. 43(C).
    33. Nicholas Apergis, 2022. "Residential Housing Prices, COVID-19 and the Role of the Vaccination Program: Evidence from US State Panel Data," International Real Estate Review, Global Social Science Institute, vol. 25(4), pages 461-478.
    34. Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," CESifo Working Paper Series 8679, CESifo.
    35. Hossein Tarighi & Grzegorz Zimon & Mohammad Javad Sheikh & Mohammad Sayrani, 2024. "The Impact of Firm Risk and the COVID-19 Crisis on Working Capital Management Strategies: Evidence from a Market Affected by Economic Uncertainty," Risks, MDPI, vol. 12(4), pages 1-33, April.
    36. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," Working Paper Series 2805, European Central Bank.
    37. Valseth, Siri, 2023. "Repo market frictions and intermediation in electronic bond markets," UiS Working Papers in Economics and Finance 2023/1, University of Stavanger.
    38. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series 2021-08, Federal Reserve Bank of San Francisco.
    39. Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023. "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, vol. 29(7), pages 800-825, May.
    40. Zaremba, Adam & Kizys, Renatas & Aharon, David Y., 2021. "Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    41. Claudiu Tiberiu Albulescu & Eugenia Grecu, 2023. "Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis," Mathematics, MDPI, vol. 11(5), pages 1-14, February.
    42. Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
    43. Angelo Ranaldo & Benedikt Ballensiefen & Hannah Winterberg, 2020. "Monetary policy disconnect," Working Papers on Finance 2003, University of St. Gallen, School of Finance.
    44. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-Intermediated Arbitrage," Liberty Street Economics 20181018, Federal Reserve Bank of New York.
    45. Wang, Mei-Chih & Chang, Tsangyao & Mikhaylov, Alexey & Linyu, Jia, 2024. "A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    46. Woei Chyuan Wong & Edie Erman Che Johari & Shazida Jan Mohd Khan & Siti Nurazira Mohd Daud & Mohd Yushairi Mat Yusoff & Hafirda Akma Musaddad, 2023. "From Outbreak to Vaccination: An Analysis of the Commercial Property Market Reaction to COVID-19 in Malaysia," International Real Estate Review, Global Social Science Institute, vol. 26(3), pages 267-298.
    47. Sebastian Doerr & Sebastian Egemen Eren & Semyon Malamud, 2023. "Money market funds and the pricing of near-money assets," BIS Working Papers 1096, Bank for International Settlements.
    48. Chase P. Ross & Landon J. Ross & Sharon Y. Ross, 2022. "Cash-Hedged Stock Returns," Working Papers 22-03, Office of Financial Research, US Department of the Treasury.
    49. Nissinen, Juuso & Sihvonen, Markus, 2024. "Bond convenience curves and funding costs," Journal of International Economics, Elsevier, vol. 151(C).
    50. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard Anna Maria, 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," Journal of Financial Stability, Elsevier, vol. 70(C).
    51. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    52. Zaremba, Adam & Kizys, Renatas & Tzouvanas, Panagiotis & Aharon, David Y. & Demir, Ender, 2021. "The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    53. Falk Bräuning & Hillary Stein, 2024. "The Effect of Primary Dealer Constraints on Intermediation in the Treasury Market," Working Papers 24-7, Federal Reserve Bank of Boston.
    54. David Bowman & Yesol Huh & Sebastian Infante, 2024. "Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing," Finance and Economics Discussion Series 2024-057, Board of Governors of the Federal Reserve System (U.S.).
    55. Pengxiang Zhai & Fei Wu & Qiang Ji & Duc Khuong Nguyen, 2024. "From fears to recession? Time‐frequency risk contagion among stock and credit default swap markets during the COVID pandemic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 551-580, January.
    56. Ahn, Yongkil, 2024. "Flight to safety, intermediation frictions, and US Treasury floating rate note prices," Finance Research Letters, Elsevier, vol. 60(C).
    57. Ahn, Jungkyu & Ahn, Yongkil, 2023. "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    58. Choi, Dong Beom & Yorulmazer, Tanju, 2024. "Whatever it takes? Market maker of last resort and its fragility," Journal of Financial Intermediation, Elsevier, vol. 60(C).
    59. Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.
    60. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
    61. Thomas M. Eisenbach & Gregory Phelan, 2023. "Fragility of Safe Assets," Working Papers 23-02, Office of Financial Research, US Department of the Treasury.
    62. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    63. Arkorful, Gideon Bruce & Chen, Haiqiang & Gu, Ming & Liu, Xiaoqun, 2023. "What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 141-153.
    64. Benjamin Knox, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.
    65. Duncan, Elizabeth & Horvath, Akos & Iercosan, Diana & Loudis, Bert & Maddrey, Alice & Martinez, Francis & Mooney, Timothy & Ranish, Ben & Wang, Ke & Warusawitharana, Missaka & Wix, Carlo, 2022. "COVID-19 as a stress test: Assessing the bank regulatory framework," Journal of Financial Stability, Elsevier, vol. 61(C).
    66. Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.
    67. Pierre Olivier Gourinchas, 2023. "International Macroeconomics: From the Great Financial Crisis to COVID-19, and Beyond," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(1), pages 1-34, March.
    68. Chen, Zhuo & Li, Pengfei & Liao, Li & Liu, Lu & Wang, Zhengwei, 2024. "Assessing and addressing the coronavirus-induced economic crisis: Evidence from 1.5 billion sales invoices," China Economic Review, Elsevier, vol. 85(C).
    69. Matthias Fleckenstein & Francis A. Longstaff, 2024. "Treasury Richness," Journal of Finance, American Finance Association, vol. 79(4), pages 2797-2844, August.
    70. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
    71. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Umar, Zaghum, 2022. "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets," Finance Research Letters, Elsevier, vol. 44(C).
    72. Corradin, Stefano & Schwaab, Bernd, 2023. "Euro area sovereign bond risk premia before and during the Covid-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
    73. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    74. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
    75. Acharya, Viral V. & Plantin, Guillaume & Reggiani, Pietro & Yao, Iris, 2024. "Monetary easing, lack of investment and financial instability," Journal of Financial Intermediation, Elsevier, vol. 59(C).
    76. O'Hara, Maureen & Zhou, Xing (Alex), 2021. "Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 142(1), pages 46-68.
    77. Fang, Yi & Shao, Zhiquan & Zhao, Yang, 2023. "Risk spillovers in global financial markets: Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 821-840.
    78. Francisco Jareño & María-Isabel Martínez-Serna & María Chicharro, 2023. "Government Bonds and COVID-19. An International Evaluation Under Different Market States," Evaluation Review, , vol. 47(3), pages 433-478, June.
    79. Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
    80. Changyun Wang & Chenyu Wang & Weixing Wu, 2023. "Customers' stock price crash risk and suppliers' investment inefficiency: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5069-5092, December.
    81. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
    82. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard A. M., 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," LSE Research Online Documents on Economics 121347, London School of Economics and Political Science, LSE Library.
    83. Bȩdowska-Sójka, Barbara & Kliber, Agata, 2022. "Impact of COVID-19 on sovereign risk: Latin America versus Asia," Finance Research Letters, Elsevier, vol. 47(PA).
    84. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    85. Jappelli, Ruggero & Pelizzon, Loriana & Subrahmanyam, Marti G., 2023. "Quantitative easing, the repo market, and the term structure of interest rates," SAFE Working Paper Series 395, Leibniz Institute for Financial Research SAFE.
    86. Chuanhao Tian & Xintian Peng & Xiang Zhang, 2021. "COVID-19 Pandemic, Urban Resilience and Real Estate Prices: The Experience of Cities in the Yangtze River Delta in China," Land, MDPI, vol. 10(9), pages 1-17, September.
    87. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.

  5. Malmendier, Ulrike M. & Nagel, Stefan & Yan, Zhen, 2020. "The Making of Hawks and Doves," CEPR Discussion Papers 14938, C.E.P.R. Discussion Papers.

    Cited by:

    1. Arai, Natsuki, 2023. "The FOMC’s new individual economic projections and macroeconomic theories," Journal of Banking & Finance, Elsevier, vol. 151(C).
    2. Jonathan Benchimol & Makram El-Shagi & Yossi Saadon, 2020. "Do Expert Experience and Characteristics Affect Inflation Forecasts?," Bank of Israel Working Papers 2020.11, Bank of Israel.
    3. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
    4. Donato Masciandaro & Paola Profeta & Davide Romelli, 2023. "Women and Governance: Central Bank Boards and Monetary Policy," Trinity Economics Papers tep1123, Trinity College Dublin, Department of Economics.
    5. Mayer, Alexander, 2023. "Two-step estimation in linear regressions with adaptive learning," Statistics & Probability Letters, Elsevier, vol. 195(C).
    6. Ekaterina Borisova & Klaus Gründler & Armin Hackenberger & Anina Harter & Niklas Potrafke & Koen Schoors, 2023. "Crisis experience and the deep roots of COVID-19 vaccination preferences," Post-Print hal-04272149, HAL.
    7. Makram El-Shagi, 2024. "Does the Fed Adhere to its Mandate? Estimating the Federal Reserve's Objective Function," CFDS Discussion Paper Series 2024/3, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    8. Hamza Bennani & Davide Romelli, 2024. "Exploring the informativeness and drivers of tone during committee meetings: the case of the Federal Reserve," Post-Print hal-04670309, HAL.
    9. Chien-Wen Yang & Fang-Ni Chu & Wan-I Chen & Ming-Chi Chen, 2022. "Willingness to Purchase a House during Economic Lost Decades in Japanese Urban Housing Market," International Real Estate Review, Global Social Science Institute, vol. 25(3), pages 333-370.
    10. Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2024. "Attention to the Macroeconomy," CEBI working paper series 23-09, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    11. Ulrike Malmendier & Alexandra Steiny Wellsjo, 2024. "Rent or Buy? Inflation Experiences and Homeownership within and across Countries," Journal of Finance, American Finance Association, vol. 79(3), pages 1977-2023, June.
    12. Hubert, Paul & Labondance, Fabien, 2021. "The signaling effects of central bank tone," European Economic Review, Elsevier, vol. 133(C).
    13. Carlos Madeira & João Madeira & Paulo Santos Monteiro, 2023. "The origins of monetary policy disagreement: the role of supply and demand shocks," Working Papers Central Bank of Chile 993, Central Bank of Chile.
    14. Klodiana Istrefi & Florens Odendahl & Giulia Sestieri, 2021. "Fed communication on financial stability concerns and monetary policy decisions: revelations from speeches," Working Papers 2110, Banco de España.
    15. Heiss, Florian & Hurd, Michael & Rossmann, Tobias & Winter, Joachim & van Rooij, Maarten, 2019. "Dynamics and Heterogeneity of Subjective Stock Market Expectations," Rationality and Competition Discussion Paper Series 157, CRC TRR 190 Rationality and Competition.
    16. Stan Du Plessis & Monique Reid & Pierre Siklos, 2018. "What drives household inflation expectations in South Africa? Demographics and anchoring under inflation targeting," CAMA Working Papers 2018-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Alex Rees-Jones & John D'Attoma & Amedeo Piolatto & Luca Salvadori, 2020. "COVID-19 Changed Tastes for Safety-Net Programs," NBER Working Papers 27865, National Bureau of Economic Research, Inc.
    18. Groero, Jaroslav, 2024. "The role of gene–environment interaction in the formation of risk attitudes," Economics & Human Biology, Elsevier, vol. 55(C).
    19. Borowiecki, Karol Jan & Mauri, Caterina Adelaide, 2021. "Originality, influence, and success: A model of creative style," Discussion Papers on Economics 6/2021, University of Southern Denmark, Department of Economics.
    20. Alessandro Riboni & Francisco Ruge-Murcia, 2020. "The Power of the Federal Reserve Chair," Cahiers de recherche 20-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    21. Laura Battaglia & Timothy M. Christensen & Stephen Hansen & Szymon Sacher, 2024. "Inference for regression with variables generated from unstructured data," CeMMAP working papers 10/24, Institute for Fiscal Studies.
    22. Laura Battaglia & Timothy Christensen & Stephen Hansen & Szymon Sacher, 2024. "Inference for Regression with Variables Generated by AI or Machine Learning," Papers 2402.15585, arXiv.org, revised Dec 2024.
    23. Donato Masciandaro, 2023. "How Elastic and Predictable Money Should Be: Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993-2023)," BAFFI CAREFIN Working Papers 23196, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    24. Bordo, Michael & Istrefi, Klodiana, 2023. "Perceived FOMC: The making of hawks, doves and swingers," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 125-143.
    25. Arai, Natsuki & 荒井, 夏來 & Nakazawa, Nobuhiko & 中澤, 伸彦, 2021. "Does Working with a Future Executive Make Junior Employees More Likely to Be Promoted ?," Discussion Papers 2021-01, Graduate School of Economics, Hitotsubashi University.
    26. Giuliano, Paola & Spilimbergo, Antonio, 2024. "Aggregate Shocks and the Formation of Preferences and Beliefs," IZA Discussion Papers 17110, Institute of Labor Economics (IZA).
    27. Kwok Ping Tsang & Zichao Yang, 2023. "Agree to Disagree: Measuring Hidden Dissent in FOMC Meetings," Papers 2308.10131, arXiv.org, revised Nov 2024.
    28. Hefeker, Carsten, 2022. "Policy coordination under model disagreement and asymmetric shocks," Economic Modelling, Elsevier, vol. 114(C).
    29. Conrad, Christian & Lahiri, Kajal, 2024. "Heterogeneous Expectations among Professional Forecasters," Working Papers 0754, University of Heidelberg, Department of Economics.
    30. Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
    31. Jan C. van Ours, 2022. "How Retirement Affects Mental Health, Cognitive Skills and Mortality; an Overview of Recent Empirical Evidence," Tinbergen Institute Discussion Papers 22-050/V, Tinbergen Institute.
    32. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
    33. Happel, Jonas & Karabulut, Yigitcan & Schäfer, Larissa & Tüzel, Şelale, 2024. "Shattered housing," Journal of Financial Economics, Elsevier, vol. 156(C).
    34. Donato Masciandaro, 2021. "Central Bank Governance in Monetary Policy Economics (1981-2020)," BAFFI CAREFIN Working Papers 21153, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    35. Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2021. "Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples," ECONtribute Discussion Papers Series 119, University of Bonn and University of Cologne, Germany.
    36. Alexander Mayer, 2022. "Two-step estimation in linear regressions with adaptive learning," Papers 2204.05298, arXiv.org, revised Nov 2022.
    37. Dorine Boumans & Klaus Gründler & Niklas Potrafke & Fabian Ruthardt, 2022. "Political Leaders and Macroeconomic Expectations: Evidence from a Global Survey Experiment," CESifo Working Paper Series 9974, CESifo.
    38. Lehmann-Hasemeyer, Sibylle & Neumayer, Andreas & Streb, Jochen, 2023. "Heterogeneous inflation and deflation experiences and savings decisions during German industrialization," Journal of Banking & Finance, Elsevier, vol. 154(C).
    39. Daniel Aromí & Daniel Heymann, 2024. "Talk to Fed: a Big Dive into FOMC Transcripts," Working Papers 323, Red Nacional de Investigadores en Economía (RedNIE).
    40. Heinke, Steve & Olschewski, Sebastian & Rieskamp, Jörg, 2024. "Experiences, demand for risky investments, and implications for price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
    41. Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
    42. Klaus Gründler & Armin Hackenberger & Anina Harter & Niklas Potrafke, 2021. "Covid-19 Vaccination: The Role of Crisis Experience," CESifo Working Paper Series 9096, CESifo.
    43. Strong, Christine & Yayi, Constant L., 2023. "The political affiliation of central bankers and government debt: Evidence from Africa," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 603-620.
    44. Alexander Mayer, 2022. "Estimation and inference in adaptive learning models with slowly decreasing gains," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 720-749, September.
    45. Chen, Jie & Lasfer, Meziane & Song, Wei & Zhou, Si, 2021. "Recession managers and mutual fund performance," Journal of Corporate Finance, Elsevier, vol. 69(C).
    46. Emmanuelle Deglaire & Peter Daly & Fabrice Le Lec, 2021. "Exposure to tax dilemmas deteriorate individuals' self-declared tax morale," Post-Print hal-03593787, HAL.
    47. Laura Battaglia & Timothy Christensen & Stephen Hansen & Szymon Sacher, 2025. "Inference for Regression with Variables Generated by AI or Machine Learning," Cowles Foundation Discussion Papers 2421, Cowles Foundation for Research in Economics, Yale University.
    48. Rounak Sil & Unninarayanan Kurup & Ashima Goyal & Apoorva Singh and Rajendra Paramanik, 2023. "Chorus in the cacophony: Dissent and policy communication of India's Monetary Policy Committee," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-03, Indira Gandhi Institute of Development Research, Mumbai, India.
    49. Gründler, Klaus & Dräger, Lena & Potrafke, Niklas, 2023. "Political Shocks and Inflation Expectations: Evidence from the 2022 Russian Invasion of Ukraine," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277673, Verein für Socialpolitik / German Economic Association.
    50. Bodea, Cristina & Kerner, Andrew, 2022. "Fear of inflation and gender representation in central banking," European Journal of Political Economy, Elsevier, vol. 74(C).
    51. Kokoszczyński, Ryszard & Mackiewicz-Łyziak, Joanna, 2024. "Making monetary policy in Poland: Are Polish hawks and doves different?," European Journal of Political Economy, Elsevier, vol. 81(C).
    52. Aromí J. Daniel & Heymann Daniel, 2024. "Synthetic surveys of monetary policymakers: perceptions, narratives and transparency," Asociación Argentina de Economía Política: Working Papers 4707, Asociación Argentina de Economía Política.
    53. Davide Romelli & Hamza Bennani, 2021. "Disagreement inside the FOMC: New Insights from Tone Analysis," Trinity Economics Papers tep1021, Trinity College Dublin, Department of Economics.

  6. Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank risk dynamics and distance to default," CESifo Working Paper Series 7637, CESifo.

    Cited by:

    1. Andrew Atkeson & Adrien D'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," Staff Report 567, Federal Reserve Bank of Minneapolis.
    2. Carmelo Salleo & Alberto Grassi & Constantinos Kyriakopoulos, 2020. "A Comprehensive Approach for Calculating Banking Sector Risks," IJFS, MDPI, vol. 8(4), pages 1-21, November.
    3. Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
    4. Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez & Dominik Supera, 2020. "Twin Default Crises," Working Papers wp2020_2006, CEMFI.
    5. Giambona, Erasmo & Matta, Rafael & Peydró, José-Luis & Wang, Ye, 2020. "Quantitative Easing, Investment, and Safe Assets: The Corporate-Bond Lending Channel," EconStor Preprints 217049, ZBW - Leibniz Information Centre for Economics, revised 2020.
    6. David Xiao, 2023. "Default Process Modeling and Credit Valuation Adjustment," Papers 2309.03311, arXiv.org.
    7. Schnabl, Philipp & Savov, Alexi & Drechsler, Itamar, 2018. "Banking on Deposits: Maturity Transformation without Interest Rate Risk," CEPR Discussion Papers 12950, C.E.P.R. Discussion Papers.
    8. Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
    9. Lukasz Prorokowski, 2016. "Bankrupt UK cities: PD model for credit risk in sub-sovereign sector," Bank i Kredyt, Narodowy Bank Polski, vol. 47(6), pages 495-528.
    10. Peleg Lazar, Sharon & Raviv, Alon, 2019. "The risk spiral: The effects of bank capital and diversification on risk taking," International Review of Financial Analysis, Elsevier, vol. 65(C).
    11. Atreya, Nikhil & Mjøs, Aksel & Persson, Svein-Arne, 2015. "Making Bank: Why High Bank Leverage is Optimal - for the Bank's Shareholders," Discussion Papers 2015/33, Norwegian School of Economics, Department of Business and Management Science.
    12. Antonio Sánchez Serrano, 2018. "EU banks after the crisis: sinners in the hands of angry markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 24-51, May.
    13. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.

  7. Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    2. Alice Hsiaw & Ing-Haw Cheng, 2016. "Distrust in Experts and the Origins of Disagreement," Working Papers 110R3, Brandeis University, Department of Economics and International Business School, revised Mar 2018.
    3. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    4. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
    5. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Belief Overreaction and Stock Market Puzzles," Journal of Political Economy, University of Chicago Press, vol. 132(5), pages 1450-1484.
    6. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
    7. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," 2019 Meeting Papers 641, Society for Economic Dynamics.
    8. Kevin J. Lansing, 2021. "Replicating Business Cycles and Asset Returns with Sentiment and Low Risk Aversion," Working Paper Series 2021-02, Federal Reserve Bank of San Francisco.
    9. Vedolin, Andrea & Molavi, Pooya & Tahbaz-Salehi, Alireza, 2021. "Model Complexity, Expectations, and Asset Prices," CEPR Discussion Papers 15717, C.E.P.R. Discussion Papers.
    10. Kim, Yongjin & Kuehn, Lars-Alexander & Li, Kai, 2024. "Learning about the consumption risk exposure of firms," Journal of Financial Economics, Elsevier, vol. 152(C).
    11. Klaus Adam & Oliver Pfäuti & Timo Reinelt, 2020. "Falling Natural Rates, Rising Housing Volatility and the Optimal Inflation Target," CRC TR 224 Discussion Paper Series crctr224_2020_235, University of Bonn and University of Mannheim, Germany.
    12. Charles, Constantin & Frydman, Cary & Kilic, Mete, 2024. "Insensitive investors," LSE Research Online Documents on Economics 120788, London School of Economics and Political Science, LSE Library.
    13. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    14. Mark Egan & Alexander MacKay & Hanbin Yang, 2022. "Recovering Investor Expectations from Demand for Index Funds," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2559-2599.
    15. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
    16. Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020. "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers 27969, National Bureau of Economic Research, Inc.
    17. Anmol Bhandari & Jaroslav Borovicka & Paul Ho, 2019. "Survey Data and Subjective Beliefs in Business Cycle Models," Working Paper 19-14, Federal Reserve Bank of Richmond.
    18. Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
    19. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
    20. Artem Kuriksha, 2021. "An Economy of Neural Networks: Learning from Heterogeneous Experiences," Papers 2110.11582, arXiv.org.
    21. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
    22. Pierpaolo Battigalli & Nicolò Generoso, 2021. "Information Flows and Memory in Games," Working Papers 678, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    23. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
    24. Heinke, Steve & Olschewski, Sebastian & Rieskamp, Jörg, 2024. "Experiences, demand for risky investments, and implications for price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
    25. Jiang, Zhengyang & Peng, Cameron & Yan, Hongjun, 2024. "Personality differences and investment decision-making," LSE Research Online Documents on Economics 121634, London School of Economics and Political Science, LSE Library.
    26. Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
    27. Maenhout, Pascal J. & Vedolin, Andrea & Xing, Hao, 2025. "Robustness and dynamic sentiment," Journal of Financial Economics, Elsevier, vol. 163(C).
    28. Zhang, Yue & Wang, Caiping & Chen, Yufei, 2024. "Foreign ownership, institutional distance and mutual fund performance: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    29. Yeji Sung, 2024. "Macroeconomic Expectations and Cognitive Noise," Working Paper Series 2024-19, Federal Reserve Bank of San Francisco.
    30. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
    31. Oesinghaus, Andreas, 2024. "Analysts’ extrapolative expectations in the cross-section," Journal of Economics and Business, Elsevier, vol. 130(C).
    32. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
    33. Radke, Lucas & Wicknig, Florian, 2021. "Experience-Based Heterogeneity in Expectations and Monetary Policy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242414, Verein für Socialpolitik / German Economic Association.
    34. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    35. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
    36. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.

  8. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Staff Working Papers 19-11, Bank of Canada.

    Cited by:

    1. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five Facts about Beliefs and Portfolios," NBER Working Papers 25744, National Bureau of Economic Research, Inc.
    2. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    3. Kevin J. Lansing, 2021. "Replicating Business Cycles and Asset Returns with Sentiment and Low Risk Aversion," Working Paper Series 2021-02, Federal Reserve Bank of San Francisco.
    4. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Documents de Travail de l'OFCE 2020-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    5. Stefano Gnocchi & Fanny McKellips & Rodrigo Sekkel & Laure Simon & Yinxi Xie & Yang Zhang, 2024. "The Output-Inflation Trade-off in Canada," Discussion Papers 2024-07, Bank of Canada.
    6. Klaus Adam & Oliver Pfäuti & Timo Reinelt, 2020. "Falling Natural Rates, Rising Housing Volatility and the Optimal Inflation Target," CRC TR 224 Discussion Paper Series crctr224_2020_235, University of Bonn and University of Mannheim, Germany.
    7. Boehl, Gregor, 2022. "Monetary policy and speculative asset markets," European Economic Review, Elsevier, vol. 148(C).
    8. Pei Kuang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," 2019 Meeting Papers 187, Society for Economic Dynamics.
    9. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    10. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
    11. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    12. Dmitri V. Vinogradov & Michael J. Lamla & Yousef Makhlouf, 2024. "Survey-based expectations and uncertainty attitudes," Working Papers 2024_02, Business School - Economics, University of Glasgow.
    13. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
    14. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
    15. Boqiang Lin & Tianxu Lan, 2024. "The time‐varying volatility spillover effects between China's coal and metal market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 699-719, May.
    16. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    17. Maenhout, Pascal J. & Vedolin, Andrea & Xing, Hao, 2025. "Robustness and dynamic sentiment," Journal of Financial Economics, Elsevier, vol. 163(C).
    18. Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
    19. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
    20. Sias, Richard & Starks, Laura T. & Turtle, H.J., 2023. "The negativity bias and perceived return distributions: Evidence from a pandemic," Journal of Financial Economics, Elsevier, vol. 147(3), pages 627-657.
    21. Pascal Kieren & Jan Müller-Dethard & Martin Weber, 2023. "Risk-Taking and Asymmetric Learning in Boom and Bust Markets," Review of Finance, European Finance Association, vol. 27(5), pages 1743-1779.

  9. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.

    Cited by:

    1. Dohyun Chun & Jongho Kang & Jihun Kim, 2024. "Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
    2. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    3. Melina & Sukono & Herlina Napitupulu & Norizan Mohamed, 2023. "A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review," Risks, MDPI, vol. 11(3), pages 1-24, March.
    4. Foucault, Thierry & Frésard, Laurent, 2021. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," CEPR Discussion Papers 15786, C.E.P.R. Discussion Papers.
    5. Zhang, Junsheng & Peng, Zezhi & Zeng, Yamin & Yang, Haisheng, 2023. "Do big data mutual funds outperform?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    6. Wang, Jing & Yu, Huaying & Ren, Daowen & Zhang, Jocelyn, 2023. "Promoting mineral resources consumption efficiency: Evidence from technology of big data," Resources Policy, Elsevier, vol. 86(PB).
    7. Cao, Sean & Jiang, Wei & Wang, Junbo & Yang, Baozhong, 2024. "From Man vs. Machine to Man + Machine: The art and AI of stock analyses," Journal of Financial Economics, Elsevier, vol. 160(C).
    8. Jérôme Dugast & Thierry Foucault, 2020. "Equilibrium Data Mining and Data Abundance," Post-Print hal-02933315, HAL.
    9. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    10. Bo Yan & Mengru Liang & Yinxin Zhao, 2024. "Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 744-766, May.
    11. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    12. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    13. Bryan Kelly & Semyon Malamud & Kangying Zhou, 2024. "The Virtue of Complexity in Return Prediction," Journal of Finance, American Finance Association, vol. 79(1), pages 459-503, February.
    14. Gang Kou & Yang Lu, 2025. "FinTech: a literature review of emerging financial technologies and applications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-34, December.
    15. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f, Center for Open Science.
    16. Jérôme Dugast & Thierry Foucault, 2024. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04941346, HAL.
    17. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f_v1, Center for Open Science.
    18. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
    19. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    20. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    21. Xi Dong & Yan Li & David E. Rapach & Guofu Zhou, 2022. "Anomalies and the Expected Market Return," Journal of Finance, American Finance Association, vol. 77(1), pages 639-681, February.
    22. Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    23. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    24. Wu, Fei & Hu, Yan & Shen, Me, 2024. "The color of FinTech: FinTech and corporate green transformation in China," International Review of Financial Analysis, Elsevier, vol. 94(C).
    25. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    26. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.

  10. Nagel, Stefan & Malmendier, Ulrike M. & Yan, Zhen, 2017. "The Making of Hawks and Doves: Inflation Experiences on the FOMC," CEPR Discussion Papers 11902, C.E.P.R. Discussion Papers.

    Cited by:

    1. Carlos Madeira & João Madeira, 2019. "The Effect of FOMC Votes on Financial Markets," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 921-932, December.
    2. Pierre L Siklos, 2019. "US monetary policy since the 1950s and the changing content of FOMC minutes," CAMA Working Papers 2019-69, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Hjort, Jonas & Rao, Gautam & Moreira, Diana & Santini, Juan Francisco, 2020. "How Research Affects Policy: Experimental Evidence from 2,150 Brazilian Municipalities," CEPR Discussion Papers 14280, C.E.P.R. Discussion Papers.
    4. Hamza Bennani & Tobias Kranz & Matthias Neuenkirch, 2017. "Disagreement Between the FOMC and the Fed's Staff: New Insights Based on a Counterfactual Interest Rate," Research Papers in Economics 2017-10, University of Trier, Department of Economics.
    5. Heiss, Florian & Hurd, Michael & Rossmann, Tobias & Winter, Joachim & van Rooij, Maarten, 2019. "Dynamics and Heterogeneity of Subjective Stock Market Expectations," Rationality and Competition Discussion Paper Series 157, CRC TRR 190 Rationality and Competition.
    6. Guido Schultefrankenfeld, 2020. "Appropriate monetary policy and forecast disagreement at the FOMC," Empirical Economics, Springer, vol. 58(1), pages 223-255, January.
    7. Barry Eichengreen & Rebecca Maria Mari & Gregory Thwaites, 2021. "Will Brexit Age Well? Cohorts, Seasoning and the Age–Leave Gradient: On the Evolution of UK Support for the European Union," Economica, London School of Economics and Political Science, vol. 88(352), pages 1130-1143, October.
    8. Malmendier, Ulrike & Szeidl, Adam, 2020. "Fishing for fools," Games and Economic Behavior, Elsevier, vol. 122(C), pages 105-129.
    9. Monnet, Eric & Puy, Damien, 2020. "Do Old Habits Die Hard? Central Banks and the Bretton Woods Gold Puzzle," CEPR Discussion Papers 15286, C.E.P.R. Discussion Papers.
    10. Bordo, Michael & Istrefi, Klodiana, 2023. "Perceived FOMC: The making of hawks, doves and swingers," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 125-143.
    11. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
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    122. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Belief Distortions and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 112(7), pages 2269-2315, July.
    123. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    124. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
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    126. Cássio Roberto de Andrade Alves & Márcio Laurini, 2023. "Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach," Mathematics, MDPI, vol. 11(17), pages 1-20, September.
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    Cited by:

    1. Christopher Roth & Johannes Wohlfart, 2020. "How Do Expectations about the Macroeconomy Affect Personal Expectations and Behavior?," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 731-748, October.
    2. Goldfayn-Frank, Olga & Wohlfart, Johannes, 2018. "How do consumers adapt to a new environment in their economic forecasting? Evidence from the German reunification," IMFS Working Paper Series 129, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    3. Weber, Michael & D'Acunto, Francesco & Fuster, Andreas, 2021. "Diverse Policy Committees Can Reach Underrepresented Groups," CEPR Discussion Papers 16563, C.E.P.R. Discussion Papers.
    4. Christopher Roth & Sonja Settele & Johannes Wohlfart, 2020. "Risk Exposure and Acquisition of Macroeconomic Information," CESifo Working Paper Series 8634, CESifo.
    5. Bucher-Koenen, Tabea & Fessler, Pirmin & Silgoner, Maria Antoinette, 2023. "Households' financial resilience, risk perceptions, and financial literacy: Evidence from a survey experiment," ZEW Discussion Papers 23-074, ZEW - Leibniz Centre for European Economic Research.
    6. Yoontae Hwang & Yongjae Lee & Frank J. Fabozzi, 2023. "Identifying household finance heterogeneity via deep clustering," Annals of Operations Research, Springer, vol. 325(2), pages 1255-1289, June.
    7. Francesco D’Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "IQ, Expectations, and Choice," NBER Working Papers 25496, National Bureau of Economic Research, Inc.
    8. Buchanan, Bonnie & Silvola, Hanna & Vähämaa, Emilia, 2023. "Sustainability and private investors," Bank of Finland Research Discussion Papers 14/2023, Bank of Finland.
    9. Teresa Messner & Fabio Rumler, 2023. "Inflation expectations of Austrian households and firms amid high inflation," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/22-Q1/, pages 55-66.
    10. Sarantis Tsiaplias, 2021. "Consumer inflation expectations, income changes and economic downturns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 784-807, September.
    11. Maya Haran Rosen & Orly Sade, 2021. "The Disparate Effect of Nudges on Minority Groups," Bank of Israel Working Papers 2021.21, Bank of Israel.
    12. Stan Du Plessis & Monique Reid & Pierre Siklos, 2018. "What drives household inflation expectations in South Africa? Demographics and anchoring under inflation targeting," CAMA Working Papers 2018-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Goldfayn-Frank, Olga & Wohlfart, Johannes, 2019. "How Do Consumers Adapt to a New Environment in their economic forecasting? Evidence from the German Reunification," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203668, Verein für Socialpolitik / German Economic Association.
    14. William J. Bazley & Henrik Cronqvist & Milica Mormann, 2021. "Visual Finance: The Pervasive Effects of Red on Investor Behavior," Management Science, INFORMS, vol. 67(9), pages 5616-5641, September.
    15. Becker, Christoph & Dürsch, Peter & Eife, Thomas A. & Glas, Alexander, 2023. "Households' probabilistic inflation expectations in high-inflation regimes," ZEW Discussion Papers 23-072, ZEW - Leibniz Centre for European Economic Research.
    16. Da Ke, 2021. "Who Wears the Pants? Gender Identity Norms and Intrahousehold Financial Decision‐Making," Journal of Finance, American Finance Association, vol. 76(3), pages 1389-1425, June.
    17. Chhatwani, Malvika & Mishra, Sushanta Kumar, 2021. "Financial fragility and financial optimism linkage during COVID-19: Does financial literacy matter?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 94(C).
    18. Kieren, Pascal & König-Kersting, Christian & Schmidt, Robert J. & Trautmann, Stefan T. & Theurich, Franziska, 2024. "First-order and higher-order inflation expectations: Evidence about households and firms," Discussion Papers 18/2024, Deutsche Bundesbank.
    19. Merkoulova, Yulia & Veld, Chris, 2022. "Does it pay to invest? The personal equity risk premium and stock market participation," Journal of Banking & Finance, Elsevier, vol. 136(C).
    20. Sydnee Caldwell & Scott Nelson & Daniel Waldinger, 2023. "Tax Refund Uncertainty: Evidence and Welfare Implications," American Economic Journal: Applied Economics, American Economic Association, vol. 15(2), pages 352-376, April.
    21. Briggs, Joseph & Cesarini, David & Lindqvist, Erik & Östling, Robert, 2015. "Windfall Gains and Stock Market Participation," Working Paper Series 1092, Research Institute of Industrial Economics.
    22. Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
    23. Hie Joo Ahn & Choongryul Yang, 2022. "Effects of Monetary Policy on Household Expectations: The Role of Homeownership," Finance and Economics Discussion Series 2022-065, Board of Governors of the Federal Reserve System (U.S.).
    24. Heikkinen, Joni & Heimonen, Kari, 2024. "Media tone: The role of news and social media on heterogeneous inflation expectations," Bank of Finland Research Discussion Papers 8/2024, Bank of Finland.
    25. Itzhak Ben-David & Elyas Fermand & Camelia M. Kuhnen & Geng Li, 2018. "Expectations Uncertainty and Household Economic Behavior," NBER Working Papers 25336, National Bureau of Economic Research, Inc.
    26. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    27. Pascal Kieren & Christian König-Kersting & Robert Schmidt & Stefan Trautmann & Franziska Heinicke, 2023. "First-Order and Higher-Order Inflation Expectations: Evidence about Households and Firms," Working Papers 2023-10, Faculty of Economics and Statistics, Universität Innsbruck.
    28. Ye, Zihan & Zou, Xiaopeng & Post, Thomas & Mo, Weiqiao & Yang, Qianqian, 2022. "Too old to plan? Age identity and financial planning among the older population of China," China Economic Review, Elsevier, vol. 73(C).
    29. Dzung Bui & Lena Draeger & Bernd Hayo & Giang Nghiem, 2021. "The Effects of Fiscal Policy on Households during the COVID-19 Pandemic: Evidence from Emerging Economies," IMK Working Paper 211-2021, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    30. George-Marios Angeletos & Zhen Huo & Karthik A. Sastry, 2020. "Imperfect Macroeconomic Expectations: Evidence and Theory," NBER Working Papers 27308, National Bureau of Economic Research, Inc.
    31. Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan I. Simester, 2018. "Belief Disagreement and Portfolio Choice," NBER Working Papers 25108, National Bureau of Economic Research, Inc.
    32. Dovern, Jonas & Müller, Lena Sophia & Wohlrabe, Klaus, 2023. "Local information and firm expectations about aggregates," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 1-13.
    33. Antonio Gargano & Marco Giacoletti & Elvis Jarnecic, 2023. "Local Experiences, Search, and Spillovers in the Housing Market," Journal of Finance, American Finance Association, vol. 78(2), pages 1015-1053, April.
    34. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2021. "Unconventional monetary policy, funding expectations, and firm decisions," Working Paper Series 2598, European Central Bank.
    35. Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020. "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers 27969, National Bureau of Economic Research, Inc.
    36. Nathan Goldstein & Ohad Raveh, 2024. "Looking up the sky: unidentified aerial phenomena and macroeconomic attention," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-25, December.
    37. Pavlova, Lora, 2024. "Framing effects in consumer expectations surveys," ZEW Discussion Papers 24-036, ZEW - Leibniz Centre for European Economic Research.
    38. Bazley, William J. & Bonaparte, Yosef & Korniotis, George M., 2021. "Financial Self-awareness: Who Knows What They Don’t Know?," Finance Research Letters, Elsevier, vol. 38(C).
    39. Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2021. "Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples," ECONtribute Discussion Papers Series 119, University of Bonn and University of Cologne, Germany.
    40. Rüdiger Weber & Annika Weber & Christine Laudenbach & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," CEBI working paper series 21-17, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    41. Lindner, Axel & Heinisch, Katja, 2019. "Economic Sentiment in Europe: Disentangling Private Information from Public Knowledge," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203501, Verein für Socialpolitik / German Economic Association.
    42. Bui, Dzung & Dräger, Lena & Hayo, Bernd & Nghiem, Giang, 2021. "The Effects of Fiscal Policy on Households during the COVID-19 Pandemic," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242464, Verein für Socialpolitik / German Economic Association.
    43. Ambrocio, Gene & Hasan, Iftekhar, 2022. "Belief polarization and Covid-19," Bank of Finland Research Discussion Papers 10/2022, Bank of Finland.
    44. Armantier, Olivier & Filippin, Antonio & Neubauer, Michael & Nunziata, Luca, 2022. "The expected price of keeping up with the Joneses," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1203-1220.
    45. Zhang, Tianjiao & Shen, Zhe & Sun, Qian, 2022. "Product market advertising and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    46. Christos A. Makridis & Michael Ohlrogge, 2022. "Foreclosure spillovers and individual well‐being: Evidence from the Great Recession," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 122-146, March.
    47. Sarah Brown & Alexandros Kontonikas & Alberto Montagnoli & Mirko Moro & Luisanna Onnis, 2019. "Life satisfaction and austerity: Expectations and Macroeconomy," Working Papers 2019011, The University of Sheffield, Department of Economics.
    48. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.
    49. Tobin Hanspal & Annika Weber & Johannes Wohlfart, 2020. "Exposure to the COVID-19 Stock Market Crash and its Effect on Household Expectations," CEBI working paper series 20-13, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    50. Jonas Dovern & Lena Sophia Müller & Klaus Wohlrabe, 2020. "How Do Firms Form Expectations of Aggregate Growth? New Evidence from a Large-Scale Business Survey," CESifo Working Paper Series 8179, CESifo.
    51. Hanspal, Tobin & Weber, Annika & Wohlfart, Johannes, 2020. "Exposure to the COVID-19 stock market crash and its effect on household expectations," SAFE Working Paper Series 279, Leibniz Institute for Financial Research SAFE.
    52. Sias, Richard & Starks, Laura T. & Turtle, H.J., 2023. "The negativity bias and perceived return distributions: Evidence from a pandemic," Journal of Financial Economics, Elsevier, vol. 147(3), pages 627-657.
    53. Sarantis Tsiaplias, 2024. "Inflation as a 'bad', heuristics and aggregate shocks: New evidence on expectation formation," Melbourne Institute Working Paper Series wp2024n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    54. Taniya Ghosh & Abhishek Gorsi, 2024. "Inflation expectations and keeping up with the Joneses," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2024-018, Indira Gandhi Institute of Development Research, Mumbai, India.
    55. Bui, Dzung & Dräger, Lena & Hayo, Bernd & Nghiem, Giang, 2023. "Macroeconomic expectations and consumer sentiment during the COVID-19 pandemic: The role of others’ beliefs," European Journal of Political Economy, Elsevier, vol. 77(C).
    56. Shuaiyu Chen & T. Clifton Green & Huseyin Gulen & Dexin Zhou, 2024. "What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts," Papers 2409.11540, arXiv.org.
    57. Makridis, Christos A., 2022. "The social transmission of economic sentiment on consumption," European Economic Review, Elsevier, vol. 148(C).
    58. Corneo, Giacomo, 2020. "Progressive Sovereign Wealth Funds," CEPR Discussion Papers 14746, C.E.P.R. Discussion Papers.
    59. Christine Laudenbach & Annika Weber & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," ECONtribute Discussion Papers Series 128, University of Bonn and University of Cologne, Germany.
    60. Joanna Rutecka-Gora & Jaroslav Vostatek & John A. Turner, 2018. "Extending pension coverage: Tax versus non-tax incentives," ACTA VSFS, University of Finance and Administration, vol. 12(2), pages 107-124.

  13. Nagel, Stefan & Vissing-Jørgensen, Annette & Krishnamurthy, Arvind, 2017. "ECB Policies Involving Government Bond Purchases: Impacts and Channels," CEPR Discussion Papers 12399, C.E.P.R. Discussion Papers.

    Cited by:

    1. Eidam, Frederik, 2020. "Gap-filling government debt maturity choice," ESRB Working Paper Series 110, European Systemic Risk Board.
    2. Kathryn M. E. Dominguez & Andrea Foschi, 2023. "Whatever-It-Takes Policymaking during the Pandemic," NBER Chapters, in: NBER International Seminar on Macroeconomics 2023, National Bureau of Economic Research, Inc.
    3. Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022. "How QE changes the nature of sovereign risk," Working Papers 737, DNB.
    4. Zaghini, Andrea, 2023. "Unconventional green," CFS Working Paper Series 710, Center for Financial Studies (CFS).
    5. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    6. Zhengyang Jiang & Robert J. Richmond & Tony Zhang, 2024. "A Portfolio Approach to Global Imbalances," Journal of Finance, American Finance Association, vol. 79(3), pages 2025-2076, June.
    7. Tomás Williams & Lorenzo Pandolfi & Alberto Martin & Fernando Broner, 2020. "Winners and Losers from Sovereign Debt Inflows: Evidence from the Stock Market," Working Papers 1152, Barcelona School of Economics.
    8. Boneva, Lena & de Roure, Calebe & Morley, Ben, 2018. "The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads," Bank of England working papers 719, Bank of England.
    9. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    10. Odendahl, Florens & Pagliari, Maria Sole & Penalver, Adrian & Rossi, Barbara & Sestieri, Giulia, 2024. "Euro area monetary policy effects. Does the shape of the yield curve matter?," Journal of Monetary Economics, Elsevier, vol. 147(S).
    11. Mengus, Eric, 2017. "Asset Purchase Bailouts and Endogenous Implicit Guarantees," HEC Research Papers Series 1248, HEC Paris, revised 22 Jan 2018.
    12. Chiara Perillo & Stefano Battiston, 2020. "Financialization and unconventional monetary policy: a financial-network analysis," Journal of Evolutionary Economics, Springer, vol. 30(5), pages 1385-1428, November.
    13. Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20.
    14. André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
    15. Cherubini, Umberto, 2021. "Estimating redenomination risk under Gumbel–Hougaard survival copulas," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    16. Heinemann, Friedrich & Kemper, Jan, 2022. "Inflation of objectives instead of focus on inflation? Evidence on the ECB objective function from a textual analysis," ZEW Expert Briefs 22-07, ZEW - Leibniz Centre for European Economic Research.
    17. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    18. Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
    19. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    20. Hanming Fang & Yongqin Wang & Xian Wu, 2020. "The Collateral Channel of Monetary Policy: Evidence from China," NBER Working Papers 26792, National Bureau of Economic Research, Inc.
    21. Benetton, Matteo & Fantino, Davide, 2021. "Targeted monetary policy and bank lending behavior," Journal of Financial Economics, Elsevier, vol. 142(1), pages 404-429.
    22. Kirschenmann, Karolin & Korte, Josef & Steffen, Sascha, 2020. "A zero-risk weight channel of sovereign risk spillovers," Journal of Financial Stability, Elsevier, vol. 51(C).
    23. Ioannou, Demosthenes & Stracca, Livio & Pagliari, Maria Sole, 2020. "The international dimension of an incomplete EMU," Working Paper Series 2459, European Central Bank.
    24. Graziano Moramarco, 2022. "Funding liquidity, credit risk and unconventional monetary policy in the Euro area: A GVAR approach," Economics Bulletin, AccessEcon, vol. 42(2), pages 494-512.
    25. Robert S. Chirinko & Ryan Chiu & Shaina Henderson, 2019. "What went wrong?: The Puerto Rican debt crisis, the "Treasury Put," and the failure of market discipline," CESifo Working Paper Series 7558, CESifo.
    26. Marco Fruzzetti & Giulio Gariano & Gerardo Palazzo & Antonio Scalia, 2021. "From SMP to PEPP: a further look at the risk endogeneity of the Central Bank," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 11, Bank of Italy, Directorate General for Markets and Payment System.
    27. Ioannou Demosthenes & Pagliari Maria Sole & Stracca Livio, 2020. "The international dimension of a fragile EMU," Working papers 795, Banque de France.
    28. Dwyer, Gerald P. & Gilevska, Biljana & Nieto, Maria J. & Samartín, Margarita, 2023. "The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    29. Michael Stiefel & Rémi Vivès, 2019. "“Whatever it Takes” to Change Belief: Evidence from Twitter," AMSE Working Papers 1907, Aix-Marseille School of Economics, France, revised Mar 2019.
    30. Schuster, Florian, 2023. "Spreads auf Staatsanleihezinsen, der EZB-Sicherheitenrahmen und Peripherieprämien in der Eurozone," Papers 277910, Dezernat Zukunft - Institute for Macrofinance, Berlin.
    31. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
    32. Tiziano Arduini & Edoardo Rainone, 2024. "Partial identification of treatment response under complementarity and substitutability," Temi di discussione (Economic working papers) 1473, Bank of Italy, Economic Research and International Relations Area.
    33. Schrimpf, Paul & Kearns, Jonathan & XIA, Fan Dora, 2020. "Explaining Monetary Spillovers: The Matrix Reloaded," CEPR Discussion Papers 15006, C.E.P.R. Discussion Papers.
    34. Ritsu Yano & Yoshiyuki Nakazono & Kento Tango, 2024. "The Transmission of Monetary Policy Shocks: Evidence from Japan," TUPD Discussion Papers 57, Graduate School of Economics and Management, Tohoku University.
    35. Olivier Accominotti & Thilo N H Albers & Kim Oosterlinck, 2024. "Selective Default Expectations," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1979-2015.
    36. Hartwell Christopher A., 2019. "Complexity, Uncertainty, and Monetary Policy: Can the ECB Avoid the Unconventional Becoming the ‘New Normal’?," The Economists' Voice, De Gruyter, vol. 16(1), pages 1-13, December.
    37. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2022. "Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter," IDB Publications (Working Papers) 12236, Inter-American Development Bank.
    38. Ioannou, Demosthenes & Pagliari, Maria Sole & Stracca, Livio, 2024. "The international impact of a fragile EMU," European Economic Review, Elsevier, vol. 161(C).
    39. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," Working Papers 253, Princeton University, Department of Economics, Center for Economic Policy Studies..
    40. Longaric, Pablo Anaya & Cera, Katharina & Georgiadis, Georgios & Kaufmann, Christoph, 2025. "Investment funds and euro disaster risk," Working Paper Series 3029, European Central Bank.
    41. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," EconomiX Working Papers 2023-15, University of Paris Nanterre, EconomiX.
    42. Yusuke Tanahara & Kento Tango & Yoshiyuki Nakazono, 2023. "Information Effects of Monetary Policy," TUPD Discussion Papers 41, Graduate School of Economics and Management, Tohoku University.
    43. Bernardino Adão & Alberto López Martín, 2023. "Risk reallocation under Central Bank’s large-scale asset purchases," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    44. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    45. Goodhead, Robert, 2018. "The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?," Economic Letters 4/EL/18, Central Bank of Ireland.
    46. Paludkiewicz, Karol, 2018. "Unconventional Monetary Policy, Bank Lending, and Security Holdings: The Yield-Induced Portfolio Rebalancing Channel," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181669, Verein für Socialpolitik / German Economic Association.
    47. Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020. "Winners and Losers from Sovereign Debt Inflows," CSEF Working Papers 562, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    48. Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2021. "The assets’ pledgeability channel of unconventional monetary policy," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1547-1568, October.
    49. Dusan Stojanovic, 2023. "Quantitative Easing in the Euro Area: Implications for Income and Wealth Inequality," CERGE-EI Working Papers wp760, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    50. Diessner, Sebastian & Lisi, Giulio, 2019. "Masters of the ‘masters of the universe’? Monetary, fiscal and financial dominance in the Eurozone," LSE Research Online Documents on Economics 100754, London School of Economics and Political Science, LSE Library.
    51. Michael Stiefel & Rémi Vivès, 2022. "‘Whatever it takes’ to change belief: evidence from Twitter," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(3), pages 715-747, August.
    52. Fang, Fang & Si, Deng-Kui & Hu, Debao, 2023. "Green bond spread effect of unconventional monetary policy: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 398-413.
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    60. Rodriguez-Rodriguez, F.J. & Hierro, L.A. & Garzon, A.J., 2024. "Fed and ECB reaction functions during quantitative easing: Three phases of monetary policy, both conventional and unconventional," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 928-945.
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    67. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2024. "Asymmetric Sovereign Risk: Implications for Climate Change Preparation," IREA Working Papers 202401, University of Barcelona, Research Institute of Applied Economics, revised Jan 2024.
    68. Pablo D'Erasmo & Igor Livshits & Koen Schoors, 2019. "Banking Regulation With Risk Of Sovereign Default," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/964, Ghent University, Faculty of Economics and Business Administration.
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    1. Asger Lau Andersen & Niels Johannesen & Mia Jørgensen & José-Luis Peydró, 2022. "Monetary Policy and Inequality," CEBI working paper series 22-09, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    2. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
    3. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
    4. Vasudevan, Ellapulli V., 2023. "Some gains are riskier than others: Volatility changes and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 68-81.
    5. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
    6. Yin, Libo & Wei, Ya, 2020. "Aggregate profit instability and time variations in momentum returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    7. Xu, Rong & Liu, Yaodong & Hu, Nan & Guo, Jie (Michael), 2022. "What drives individual investors in the bear market?," The British Accounting Review, Elsevier, vol. 54(6).
    8. Buhlmann, Florian & Doerrenberg, Philipp & Voget, Johannes & Loos, Benjamin, 2020. "How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data," ZEW Discussion Papers 20-047, ZEW - Leibniz Centre for European Economic Research.

  15. Stefan Nagel, 2014. "The Liquidity Premium of Near-Money Assets," NBER Working Papers 20265, National Bureau of Economic Research, Inc.

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    1. Jarrow, Robert & Lamichhane, Sujan, 2022. "Risk premia, asset price bubbles, and monetary policy," Journal of Financial Stability, Elsevier, vol. 60(C).
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    3. Maxime Phillot & Samuel Reynard, 2021. "Monetary policy financial transmission and treasury liquidity premia," Working Papers 2021-14, Swiss National Bank.
    4. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
    5. Lee, Seungduck, 2016. "Money, Asset Prices and the Liquidity Premium," MPRA Paper 74010, University Library of Munich, Germany.
    6. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    7. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
    8. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
    9. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    10. Yue Cai, 2025. "Market Power and Money Market Funds Risk-Taking," Working Papers 2411, Waseda University, Faculty of Political Science and Economics.
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    12. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    13. Zhengyang Jiang, 2024. "Exorbitant Privilege: A Safe-Asset View," CESifo Working Paper Series 11279, CESifo.
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    15. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
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    41. Sergio Florez-Orrego, 2021. "Money Matters: Global banks, safe assets and monetary autonomy," Documentos CEDE 19153, Universidad de los Andes, Facultad de Economía, CEDE.
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    49. Alexandros Vardoulakis, 2020. "Designing a Main Street Lending Facility," Finance and Economics Discussion Series 2020-052, Board of Governors of the Federal Reserve System (U.S.).
    50. Patrick Bolton & Martin Oehmke, 2019. "Bank Resolution and the Structure of Global Banks," The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2384-2421.
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    113. Benigno, Pierpaolo & Robatto, Roberto, 2018. "Private Money Creation, Liquidity Crises, and Government Intervention," CEPR Discussion Papers 13091, C.E.P.R. Discussion Papers.
    114. Begenau, Juliane, 2020. "Capital requirements, risk choice, and liquidity provision in a business-cycle model," Journal of Financial Economics, Elsevier, vol. 136(2), pages 355-378.
    115. Bolton, Patrick & Oehmke, Martin, 2018. "Bank resolution and the structure of global banks," LSE Research Online Documents on Economics 118937, London School of Economics and Political Science, LSE Library.
    116. Lee, Seungduck, 2016. "Money, Asset Prices and the Liquidity Premium," MPRA Paper 75869, University Library of Munich, Germany.
    117. Benigno, Pierpaolo & Robatto, Roberto, 2016. "Private Money Creation and Equilibrium Liquidity," CEPR Discussion Papers 11242, C.E.P.R. Discussion Papers.
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    120. Madalen Castells Jauregui & Björn Richter & Dmitry Kuvshinov & Victoria Vanasco, 2024. "Sectoral Dynamics of Safe Assets in Advanced Economies," Working Papers 1438, Barcelona School of Economics.
    121. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
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    127. Patricia Gomez-Gonzalez & Gabriel Mathy, 2024. "The World's First Global Safe Asset: British Public Debt, 1718-1913," Fordham Economics Discussion Paper Series dp2024-01er:dp2024-01, Fordham University, Department of Economics.
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    131. Lucas Marc Fuhrer & Benjamin Müller & Luzian Steiner, 2016. "The Liquidity Coverage Ratio and Security Prices," Working Papers 2016-11, Swiss National Bank.
    132. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    133. Chernenko, Sergey & Sunderam, Adi, 2016. "Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds," ESRB Working Paper Series 23, European Systemic Risk Board.
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    138. Tetiana Davydiuk, 2017. "Dynamic Bank Capital Requirements," 2017 Meeting Papers 1328, Society for Economic Dynamics.
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    140. Kim, Hwagyun & Mathur, Vipul & Shin, Jong Kook & Subramanian, Chetan, 2023. "Misallocation of debt and aggregate productivity," Journal of Corporate Finance, Elsevier, vol. 83(C).
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  16. Arvind Krishnamurthy & Stefan Nagel, 2013. "Interpreting Repo Statistics in the Flow of Funds Accounts," NBER Working Papers 19389, National Bureau of Economic Research, Inc.

    Cited by:

    1. Roberto Robatto, 2015. "Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking," 2015 Meeting Papers 483, Society for Economic Dynamics.

  17. Nagel, Stefan & Korteweg, Arthur, 2013. "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers 9610, C.E.P.R. Discussion Papers.

    Cited by:

    1. Godwin, Alexander, 2022. "Estimating illiquid asset class alpha and beta using secondary transaction prices," MPRA Paper 112510, University Library of Munich, Germany.
    2. Barber, Brad M. & Yasuda, Ayako, 2017. "Interim fund performance and fundraising in private equity," Journal of Financial Economics, Elsevier, vol. 124(1), pages 172-194.
    3. Robert S. Harris & Tim Jenkinson & Steven N. Kaplan & Ruediger Stucke, 2020. "Has Persistence Persisted in Private Equity? Evidence from Buyout and Venture Capital Funds," NBER Working Papers 28109, National Bureau of Economic Research, Inc.
    4. Anita Mezzetti & Loic Mar'echal & Dimitri Percia David & William Lacube & S'ebastien Gillard & Michael Tsesmelis & Thomas Maillart & Alain Mermoud, 2022. "TechRank," Papers 2210.07824, arXiv.org.
    5. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    6. Tereza Tykvová, 2018. "Venture capital and private equity financing: an overview of recent literature and an agenda for future research," Journal of Business Economics, Springer, vol. 88(3), pages 325-362, May.
    7. Boyer, Brian & Nadauld, Taylor D. & Vorkink, Keith P. & Weisbach, Michael S., 2018. "Private Equity Indices Based on Secondary Market Transactions," Working Paper Series 2018-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    8. Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Shanker, Harshini & Yasuda, Ayako, 2023. "Do investors overvalue startups? Evidence from the junior stakes of mutual funds," CFR Working Papers 23-04, University of Cologne, Centre for Financial Research (CFR).
    9. Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Yasuda, Ayako, 2021. "Private company valuations by mutual funds," CFR Working Papers 21-09, University of Cologne, Centre for Financial Research (CFR).
    10. Shumiao Ouyang & Jiaheng Yu & Ravi Jagannathan, 2020. "Return to Venture Capital in the Aggregate," NBER Working Papers 27690, National Bureau of Economic Research, Inc.
    11. Nadauld, Taylor & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2016. "The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions," Working Paper Series 2016-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    12. Braun, Reiner & Jenkinson, Tim & Stoff, Ingo, 2017. "How persistent is private equity performance? Evidence from deal-level data," Journal of Financial Economics, Elsevier, vol. 123(2), pages 273-291.
    13. David T. Robinson & Berk A. Sensoy, 2011. "Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity," NBER Working Papers 17428, National Bureau of Economic Research, Inc.
    14. Max Berre & Benjamin Le Pendeven, 2023. "What do we know about startup-valuation drivers? A systematic literature review 1," Post-Print hal-04232855, HAL.
    15. Hellmann, Thomas & Montag, Alexander & Tåg, Joacim, 2024. "Tolerating Losses for Growth: J-Curves in Venture Capital Investing," Working Paper Series 1500, Research Institute of Industrial Economics.
    16. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
    17. Barber, Brad M. & Morse, Adair & Yasuda, Ayako, 2021. "Impact investing," Journal of Financial Economics, Elsevier, vol. 139(1), pages 162-185.
    18. Aleksandar Andonov, 2024. "Delegated Investment Management in Alternative Assets," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 13(1), pages 264-301.
    19. William Gornall & Ilya A. Strebulaev, 2017. "Squaring Venture Capital Valuations with Reality," NBER Working Papers 23895, National Bureau of Economic Research, Inc.
    20. Matthias Huss & Daniel Steger, 2020. "Diversification and Fund Performance—An Analysis of Buyout Funds," JRFM, MDPI, vol. 13(6), pages 1-17, June.
    21. Brown, Gregory W. & Gredil, Oleg R. & Kaplan, Steven N., 2019. "Do private equity funds manipulate reported returns?," Journal of Financial Economics, Elsevier, vol. 132(2), pages 267-297.
    22. Jason Roderick Donaldson & Giorgia Piacentino & Anjan Thakor, 2021. "Intermediation Variety," Journal of Finance, American Finance Association, vol. 76(6), pages 3103-3152, December.
    23. Lahr, Henry, 2023. "Fat tails in private equity fund returns: The smooth double Pareto distribution," International Review of Financial Analysis, Elsevier, vol. 86(C).
    24. Balázs FazekasBalázs Fazekas, 2016. "Value-Creating Uncertainty – A Real Options Approach in Venture Capital," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(4), pages 151-166.
    25. Boyan Jovanovic & Sai Ma & Peter L. Rousseau, 2020. "Private Equity and Growth," NBER Working Papers 28030, National Bureau of Economic Research, Inc.
    26. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    27. Ljungqvist, Alexander & Bircan, Cagatay & Biesinger, Markus, 2020. "Value Creation in Private Equity," CEPR Discussion Papers 14676, C.E.P.R. Discussion Papers.
    28. Martin Meier & Leopold Sögner, 2023. "Hunting for superstars," Mathematics and Financial Economics, Springer, volume 17, number 1, February.
    29. Gornall, Will & Strebulaev, Ilya A., 2020. "Squaring venture capital valuations with reality," Journal of Financial Economics, Elsevier, vol. 135(1), pages 120-143.
    30. Buchner, Axel, 2016. "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 60-78.
    31. Kallenos, Theodosis L. & Nishiotis, George P., 2023. "Market-based private equity returns," Journal of Banking & Finance, Elsevier, vol. 157(C).
    32. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    33. Imbierowicz, Björn & Rauch, Christian, 2024. "What drives startup valuations?," Journal of Banking & Finance, Elsevier, vol. 168(C).
    34. Serge Darolles & Sara Ain Tommar, 2017. "Permanent capital, permanent struggle? New evidence from listed private equity," Post-Print hal-04582271, HAL.
    35. Cavagnaro, Daniel R. & Sensoy, Berk A. & Wang, Yingdi & Weisbach, Michael S., 2016. "Measuring Institutional Investors' Skill from Their Investments in Private Equity," Working Paper Series 2016-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    36. Niklas Hüther & David T. Robinson & Sönke Sievers & Thomas Hartmann-Wendels, 2020. "Paying for Performance in Private Equity: Evidence from Venture Capital Partnerships," Management Science, INFORMS, vol. 66(4), pages 1756-1782, April.
    37. Kurtović, Hrvoje & Markarian, Garen, 2024. "Tail risks and private equity performance," Journal of Empirical Finance, Elsevier, vol. 75(C).
    38. Loic Mar'echal & Alain Mermoud & Dimitri Percia David & Mathias Humbert, 2024. "Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data," Papers 2402.04765, arXiv.org, revised Feb 2024.

  18. Nagel, Stefan, 2012. "Evaporating Liquidity," CEPR Discussion Papers 8775, C.E.P.R. Discussion Papers.

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    1. Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin, 2022. "Nonlinear limits to arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1084-1113, June.
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    3. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    4. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
    5. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    6. Chung, Kee H. & Chuwonganant, Chairat, 2023. "COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    7. Reza Bradrania & Andrew Grant & Peter Joakim Westerholm & Wei Wu, 2017. "Fool's mate: What does CHESS tell us about individual investor trading performance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 981-1017, December.
    8. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    9. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    10. Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2019. "Risk perceptions and international stock market liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 94-116.
    11. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    12. Kräussl, Roman & Kräussl, Zsofia & Pollet, Joshua & Rinne, Kalle, 2024. "The performance of marketplace lenders," Journal of Banking & Finance, Elsevier, vol. 162(C).
    13. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
    14. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
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    16. Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas, 2015. "Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry," Working Papers on Finance 1516, University of St. Gallen, School of Finance.
    17. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
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    22. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
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    33. Olena Onishchenko & Numan Ülkü, 2022. "Investor types' trading around the short‐term reversal pattern," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2627-2647, April.
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    36. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    37. Nicholas Apergis & Vasilios Plakandaras & Ioannis Pragidis, 2022. "Industry momentum and reversals in stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3093-3138, July.
    38. Samuel M. Hartzmark & Kelly Shue, 2017. "A Tough Act to Follow: Contrast Effects In Financial Markets," NBER Working Papers 23883, National Bureau of Economic Research, Inc.
    39. Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas, 2018. "The cross-section of expected stock returns in the property/liability insurance industry," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 292-321.
    40. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
    41. Nonejad, Nima, 2017. "Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 131-154.
    42. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
    43. Brad M. Barber & Xing Huang & Terrance Odean & Christopher Schwarz, 2022. "Attention‐Induced Trading and Returns: Evidence from Robinhood Users," Journal of Finance, American Finance Association, vol. 77(6), pages 3141-3190, December.
    44. Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
    45. Schmeling, Maik & Medhat, Mamdouh, 2021. "Short-term Momentum," CEPR Discussion Papers 15857, C.E.P.R. Discussion Papers.
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    207. Tuijp, Patrick, 2016. "The pricing of illiquidity and illiquid assets : Essays on empirical asset pricing," Other publications TiSEM cc548ebe-e34d-44c7-ac7c-a, Tilburg University, School of Economics and Management.
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  19. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hellwig, Christian & Albagli, Elias & Tsyvinski, Aleh, 2017. "Imperfect Financial Markets and Investment Inefficiencies," CEPR Discussion Papers 12045, C.E.P.R. Discussion Papers.
    2. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    3. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    4. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    5. Federico Esposito & Marcelo Bianconi & Marco Sammon, 2020. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0834, Department of Economics, Tufts University.
    6. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
    7. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
    8. Hanauer, Matthias X. & Lesnevski, Pavel & Smajlbegovic, Esad, 2023. "Surprise in short interest," Journal of Financial Markets, Elsevier, vol. 65(C).
    9. Chen, Zilin & Chu, Liya & Liang, Dawei & Tu, Jun, 2022. "Far away from home: Investors’ underreaction to geographically dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    10. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2017. "Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium," NBER Working Papers 23419, National Bureau of Economic Research, Inc.
    11. Maio, Paulo & Philip, Dennis, 2018. "Economic activity and momentum profits: Further evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 466-482.
    12. Matias Cattaneo & Richard K. Crump & Weining Wang, 2024. "Beta-sorted portfolios," CeMMAP working papers 20/24, Institute for Fiscal Studies.
    13. Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.
    14. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
    15. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
    16. Park, Dojoon & Kang, Yong Joo & Eom, Young Ho, 2024. "Asset pricing tests for pandemic risk," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1314-1334.

  20. Krishnamurthy, Arvind & Nagel, Stefan & Orlov, Dmitry, 2012. "Sizing Up Repo," CEPR Discussion Papers 8795, C.E.P.R. Discussion Papers.
    • Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.

    Cited by:

    1. Weerachart T. Kilenthong & Robert M. Townsend, 2014. "A Market Based Solution to Price Externalities: A Generalized Framework," NBER Working Papers 20275, National Bureau of Economic Research, Inc.
    2. Jo Michell, 2016. "Do shadow banks create money? 'Financialisation' and the monetary circuit," Working Papers PKWP1605, Post Keynesian Economics Society (PKES).
    3. Sebastian Infante, 2013. "Repo collateral fire sales: the effects of exemption from automatic stay," Finance and Economics Discussion Series 2013-83, Board of Governors of the Federal Reserve System (U.S.).
    4. Timmermann, Allan & Wermers, Russ, 2014. "Runs on Money Market Funds," CEPR Discussion Papers 9906, C.E.P.R. Discussion Papers.
    5. Wolski, Marcin & van de Leur, Michiel, 2016. "Interbank loans, collateral and modern monetary policy," Working Paper Series 1959, European Central Bank.
    6. Benito, Enrique & Banal-Estanol, Albert & Khametshin, Dmitry, 2017. "Asset encumbrance and bank risk: First evidence from public disclosures in Europe," CEPR Discussion Papers 12168, C.E.P.R. Discussion Papers.
    7. Ebner, André & Fecht, Falko & Schulz, Alexander, 2016. "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers 14/2016, Deutsche Bundesbank.
    8. Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012. "Repo and securities lending," Staff Reports 529, Federal Reserve Bank of New York.
    9. Kristian Blickle & Markus Brunnermeier & Stephan Luck, 2020. "Micro-evidence from a System-wide Financial Meltdown: The German Crisis of 1931," Working Papers 275, Princeton University, Department of Economics, Center for Economic Policy Studies..
    10. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    11. Simona Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2011. "Do Low Interest Rates Sow the Seeds of Financial Crises?," Staff Working Papers 11-31, Bank of Canada.
    12. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018. "Wholesale Funding Dry‐Ups," Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
    13. Gaetano Antinolfi & Francesca Carapella & Charles M. Kahn & Antoine Martin & David C. Mills & Ed Nosal, 2012. "Repos, fire sales, and bankruptcy policy," Working Paper Series WP-2012-15, Federal Reserve Bank of Chicago.
    14. Andrea Aguiar & Richard Bookstaber & Dror Y. Kenett & Thomas Wipf, 2016. "A Map of Collateral Uses and Flows," Working Papers 16-06, Office of Financial Research, US Department of the Treasury.
    15. Daniel Levy & Tamir Mayer & Alon Raviv, 2022. "Economists in the 2008 Financial Crisis: Slow to See, Fast to Act," Working Paper series 22-04, Rimini Centre for Economic Analysis.
    16. Kristian S. Blickle & Markus K. Brunnermeier & Stephan Luck, 2022. "Who Can Tell Which Banks Will Fail?," Staff Reports 1005, Federal Reserve Bank of New York.
    17. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    18. Hu, Grace Xing & Pan, Jun & Wang, Jiang, 2021. "Tri-Party Repo Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 337-371, February.
    19. Van Horen, Neeltje & Kotidis, Antonis, 2018. "Repo market functioning: the role of capital regulation," Bank of England working papers 746, Bank of England.
    20. Neuhann, Daniel, 2016. "Macroeconomic effects of secondary market trading," ESRB Working Paper Series 25, European Systemic Risk Board.
    21. Jin-Wook Chang & Grace Chuan, 2023. "Contagion in Debt and Collateral Markets," Finance and Economics Discussion Series 2023-016, Board of Governors of the Federal Reserve System (U.S.).
    22. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Staff Reports 601, Federal Reserve Bank of New York.
    23. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
    24. Song Han & Kleopatra Nikolaou, 2016. "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series 2016-064, Board of Governors of the Federal Reserve System (U.S.).
    25. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
    26. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
    27. Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
    28. Gorton, Gary & Metrick, Andrew & Xie, Lei, 2021. "The flight from maturity," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    29. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2013. "A Model of Shadow Banking," Journal of Finance, American Finance Association, vol. 68(4), pages 1331-1363, August.
    30. Frederic Boissay & Russell Cooper, 2016. "The Collateral Trap," BIS Working Papers 565, Bank for International Settlements.
    31. Viktoria Baklanova & Adam Copeland & Rebecca McCaughrin, 2015. "Reference guide to U.S. repo and securities lending markets," Staff Reports 740, Federal Reserve Bank of New York.
    32. Jan Wrampelmeyer, 2013. "Darrell Duffie: How big banks fail and what to do about it," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 253-256, June.
    33. Gary Gorton & Toomas Laarits & Andrew Metrick, 2018. "The Run on Repo and the Fed's Response," NBER Working Papers 24866, National Bureau of Economic Research, Inc.
    34. Istiak, Khandokar & Serletis, Apostolos, 2020. "Risk, uncertainty, and leverage," Economic Modelling, Elsevier, vol. 91(C), pages 257-273.
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    37. Zheng Song & Kinda Hachem, 2015. "The Rise of China's Shadow Banking System," 2015 Meeting Papers 931, Society for Economic Dynamics.
    38. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    39. Nyborg, Kjell, 2015. "Central Bank Collateral Frameworks," CEPR Discussion Papers 10663, C.E.P.R. Discussion Papers.
    40. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    41. Kairong Xiao & Francesca Cornelli, 2020. "Monetary Transmission through Shadow Banks," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2379-2420.
    42. Galo Nuño & Carlos Thomas, 2012. "Bank leverage cycles," Working Papers 1222, Banco de España.
    43. Shengxing Zhang, 2014. "Collateral Risk, Repo Rollover and Shadow Banking," 2014 Meeting Papers 562, Society for Economic Dynamics.
    44. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    45. A. Mantovi, 2019. "Information insensitivity, collateral flows and the logic of financial stability," Economics Department Working Papers 2019-EP01, Department of Economics, Parma University (Italy).
    46. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    47. Alyssa G. Anderson & John Kandrac, 2016. "Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility," Finance and Economics Discussion Series 2016-096, Board of Governors of the Federal Reserve System (U.S.).
    48. Mr. Manmohan Singh, 2011. "Velocity of Pledged Collateral: Analysis and Implications," IMF Working Papers 2011/256, International Monetary Fund.
    49. Miglietta, Arianna & Picillo, Cristina & Pietrunti, Mario, 2019. "The impact of margin policies on the Italian repo market," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    50. Ann E. Davis, 2018. "The New Triffin Dilemma," Review of Radical Political Economics, Union for Radical Political Economics, vol. 50(4), pages 691-698, December.
    51. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard, 2021. "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers 910, Bank of England, revised 18 Jun 2021.
    52. Gaetano Antinolfi & Francesca Carapella & Francesco Carli, 2019. "Transparency and Collateral: The Design of CCPs' Loss Allocation Rules," Finance and Economics Discussion Series 2019-058, Board of Governors of the Federal Reserve System (U.S.).
    53. Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
    54. Justus Inhoffen & Iman van Lelyveld, 2023. "Safe Asset Scarcity and Re-use in the European Repo Market," Working Papers 787, DNB.
    55. You Suk Kim & Steven M. Laufer & Karen Pence & Richard Stanton & Nancy Wallace, 2018. "Liquidity Crises in the Mortgage Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(1 (Spring), pages 347-428.
    56. Simon, Luis, 2021. "Capital requirements in a model of bank runs: The 2008 run on repo," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
    57. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
    58. Olivier Armantier & Eric Ghysels & Asani Sarkar & Jeffrey Shrader, 2011. "Discount window stigma during the 2007-2008 financial crisis," Staff Reports 483, Federal Reserve Bank of New York.
    59. Klingler, Sven & Syrstad, Olav, 2021. "Life after LIBOR," Journal of Financial Economics, Elsevier, vol. 141(2), pages 783-801.
    60. Robert L. McDonald & Anna Paulson, 2015. "AIG in Hindsight," NBER Working Papers 21108, National Bureau of Economic Research, Inc.
    61. Olav Syrstad, 2020. "Covered Interest Parity in long-dated securities," Working Paper 2020/11, Norges Bank.
    62. Mark Gertler & Simon Gilchrist, 2018. "What Happened: Financial Factors in the Great Recession," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 3-30, Summer.
    63. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.
    64. Dong Beom Choi & Hyun-Soo Choi, 2016. "The effect of monetary policy on bank wholesale funding," Staff Reports 759, Federal Reserve Bank of New York.
    65. Daniela Gabor & Cornel Ban, 2016. "Banking on Bonds: The New Links Between States and Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 617-635, May.
    66. Weerachart Kilenthong & Robert Townsend, 2016. "A Market Based Solution for Fire Sales and Other Pecuniary Externalities," PIER Discussion Papers 23, Puey Ungphakorn Institute for Economic Research.
    67. Simona E. Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2019. "Managing Risk Taking With Interest Rate Policy And Macroprudential Regulations," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1056-1081, April.
    68. Majid Haghani Rizi & N. Kundan Kishor & Hardik A. Marfatia, 2019. "The dynamic relationship among the money market mutual funds, the commercial paper market, and the repo market," The European Journal of Finance, Taylor & Francis Journals, vol. 25(5), pages 395-414, March.
    69. Lawrence Schmidt & Allan Timmermann & Russ Wermers, 2016. "Runs on Money Market Mutual Funds," American Economic Review, American Economic Association, vol. 106(9), pages 2625-2657, September.
    70. Asano, Koji, 2018. "Ignorant Experts and Financial Fragility," MPRA Paper 90830, University Library of Munich, Germany.
    71. Donaldson, Jason & Piacentino, Giorgia, 2019. "Money Runs," CEPR Discussion Papers 13955, C.E.P.R. Discussion Papers.
    72. Park, Hyun Woong, 2019. "Securitized banking, procyclical bank leverage, and financial instability," Structural Change and Economic Dynamics, Elsevier, vol. 49(C), pages 283-300.
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    74. Arun Gupta, 2021. "The Internal Capital Markets of Global Dealer Banks," Finance and Economics Discussion Series 2021-036, Board of Governors of the Federal Reserve System (U.S.).
    75. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," Working Paper Series 2805, European Central Bank.
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    77. Simona E. Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2012. "Collateralized Borrowing and Risk Taking at Low Interest Rates?," University of Western Ontario, Economic Policy Research Institute Working Papers 20121, University of Western Ontario, Economic Policy Research Institute.
    78. Corradin, Stefano & Eisenschmidt, Jens & Hoerova, Marie & Linzert, Tobias & Schepens, Glenn & Sigaux, Jean-David, 2020. "Money markets, central bank balance sheet and regulation," Working Paper Series 2483, European Central Bank.
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    88. Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
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    90. Ingo Fender & Ulf Lewrick, 2013. "Mind the gap? Sources and implications of supply-demand imbalances in collateral asset markets," BIS Quarterly Review, Bank for International Settlements, September.
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    92. Huizinga, Harry & Demirgüç-Kunt, Asli, 2011. "Do we need big banks? Evidence on performance, strategy and market discipline," CEPR Discussion Papers 8276, C.E.P.R. Discussion Papers.
    93. Sriya Anbil & Zeynep Senyuz, 2018. "The Regulatory and Monetary Policy Nexus in the Repo Market," Finance and Economics Discussion Series 2018-027, Board of Governors of the Federal Reserve System (U.S.).
    94. Sergey Chernenko & Adi Sunderam, 2016. "Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds," NBER Working Papers 22391, National Bureau of Economic Research, Inc.
    95. Roberto Robatto, 2015. "Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking," 2015 Meeting Papers 483, Society for Economic Dynamics.
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    99. Infante, Sebastian, 2019. "Liquidity windfalls: The consequences of repo rehypothecation," Journal of Financial Economics, Elsevier, vol. 133(1), pages 42-63.
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    120. Zhou, Zhongzheng, 2019. "Liquidity Backup from Commercial Banks to Shadow Banks," MPRA Paper 94713, University Library of Munich, Germany.
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    122. Fukai, Hiroki, 2021. "Optimal interventions on strategic fails in repo markets," MPRA Paper 106090, University Library of Munich, Germany.
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    1. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
    2. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    3. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    4. Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
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    6. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Gormsen, Niels Joachim & Jensen, Christian Skov, 2024. "Conditional risk," Journal of Financial Economics, Elsevier, vol. 162(C).
    8. Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
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    10. Kim, Soohun & Skoulakis, Georgios, 2018. "Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach," Journal of Econometrics, Elsevier, vol. 204(2), pages 159-188.
    11. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    12. Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2021. "The Cross Section of MBS Returns," Journal of Finance, American Finance Association, vol. 76(5), pages 2093-2151, October.
    13. Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
    14. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "‘Lucas’ In The Laboratory," EIEF Working Papers Series 1314, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
    15. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    16. Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby, 2022. "Conditional Dynamics and the Multihorizon Risk-Return Trade-Off," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1310-1347.
    17. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    18. van Dijk, M.A., 2014. "The Social Value of Finance," ERIM Inaugural Address Series Research in Management EIA-2014-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    19. Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.
    20. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
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    23. Pezzo, Luca & Zhu, Yinchu & Hassan, M. Kabir & Tian, Jiayuan, 2024. "Testing the boundaries of applicability of standard Stochastic Discount Factor models," Journal of Financial Stability, Elsevier, vol. 72(C).
    24. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
    25. Liyuan Cui & Guanhao Feng & Yongmiao Hong, 2024. "Regularized Gmm For Time‐Varying Models With Applications To Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 851-883, May.
    26. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    27. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    28. Li, Yan & Yang, Liyan, 2011. "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 972-992.
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    31. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    32. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    33. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
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    36. Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
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    38. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
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    42. Mathieu Fournier & Kris Jacobs & Piotr Orłowski, 2024. "Modeling Conditional Factor Risk Premia Implied by Index Option Returns," Journal of Finance, American Finance Association, vol. 79(3), pages 2289-2338, June.

  22. Ulrike Malmendier & Stefan Nagel, 2009. "Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?," NBER Working Papers 14813, National Bureau of Economic Research, Inc.

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    1. Simon Dubecq & Benoît Mojon & Xavier Ragot, 2015. "Risk Shifting with Fuzzy Capital Constraints," PSE-Ecole d'économie de Paris (Postprint) halshs-01157527, HAL.
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    4. Sarah Brown & Daniel Gray & Alberto Montagnoli, 2018. "Credit Supply Shocks and Household Leverage: Evidence from the US Banking Deregulation," Working Papers 2018009, The University of Sheffield, Department of Economics.
    5. John C. Williams, 2014. "Financial stability and monetary policy: happy marriage or untenable union?," Speech 131, Federal Reserve Bank of San Francisco.
    6. Matthew J. Hill, 2014. "Easterlin revisted: Relative income and the baby boom," Economics Working Papers 1453, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Heineck, Guido & Süssmuth, Bernd, 2013. "A different look at Lenin’s legacy: Social capital and risk taking in the Two Germanies," Journal of Comparative Economics, Elsevier, vol. 41(3), pages 789-803.
    8. Maqsood Aslam & Etienne Farvaque & Franck Malan, 2021. "A disaster always rings twice: Early life experiences and central bankers' reactions to natural disasters," Kyklos, Wiley Blackwell, vol. 74(3), pages 301-320, August.
    9. Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019. "Investor experiences and international capital flows," Economics Working Papers 1710, Department of Economics and Business, Universitat Pompeu Fabra.
    10. Ströbel, Johannes & Kuchler, Theresa & Dávila, Eduardo & Bailey, Michael, 2017. "House Price Beliefs And Mortgage Leverage Choice," CEPR Discussion Papers 12476, C.E.P.R. Discussion Papers.
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    12. Winkler, Julian, 2024. "Changing preferences as a source of stock return variation," MPRA Paper 122802, University Library of Munich, Germany.
    13. Jonathan Meer & David H. Miller & Elisa Wulfsberg, 2016. "The Great Recession and Charitable Giving," NBER Working Papers 22902, National Bureau of Economic Research, Inc.
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    18. Vesco, P. & Baliki, G. & Brück, T. & Döring, S. & Eriksson, A. & Fjelde, H. & Guha-Sapir, D. & Hall, J. & Knutsen, C. H. & Leis, M. R. & Mueller, H. & Rauh, C. & Rudolfsen, I. & Swain, A., 2024. "The Impacts of Armed Conflict on Human Development," Janeway Institute Working Papers 2426, Faculty of Economics, University of Cambridge.
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    49. Bicakova, Alena & Cortes, Matias & Mazza, Jacopo, 2020. "Caught in the Cycle: Economic Conditions at Enrollment and Labor Market Outcomes of College Graduates," IZA Discussion Papers 13561, Institute of Labor Economics (IZA).
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  23. Robin Greenwood & Stefan Nagel, 2008. "Inexperienced Investors and Bubbles," NBER Working Papers 14111, National Bureau of Economic Research, Inc.

    Cited by:

    1. Nyman, Rickard & Kapadia, Sujit & Tuckett, David & Gregory, David & Ormerod, Paul & Smith, Robert, 2018. "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers 704, Bank of England.
    2. Carol Thiago Costa & Wesley Vieirada Silva & Lauro Britode Almeida & Claudimar Pereirada Veiga, 2017. "Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1317-1334, Octubre-D.
    3. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    4. Julien Pénasse & Luc Renneboog, 2022. "Speculative Trading and Bubbles: Evidence from the Art Market," Management Science, INFORMS, vol. 68(7), pages 4939-4963, July.
    5. Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
    6. Giuliano, Paola & Spilimbergo, Antonio, 2009. "Growing Up in a Recession: Beliefs and the Macroeconomy," IZA Discussion Papers 4365, Institute of Labor Economics (IZA).
    7. Cici, Gjergji & Gehde-Trapp, Monika & Göricke, Marc-André & Kempf, Alexander, 2014. "What they did in their previous life: The investment value of mutual fund managers' experience outside the financial sector," CFR Working Papers 14-11, University of Cologne, Centre for Financial Research (CFR).
    8. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
    9. Mikael Bask & João Madeira, 2021. "Extrapolative expectations and macroeconomic dynamics: Evidence from an estimated DSGE model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1101-1111, January.
    10. Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," Working Papers halshs-00586045, HAL.
    11. Braggion, Fabio & Frehen, Rik & Jerphanion, Emiel, 2024. "Credit provision and stock trading: Evidence from the South Sea bubble," Other publications TiSEM 314d080e-d48e-40cf-9334-4, Tilburg University, School of Economics and Management.
    12. Cici, Gjergji & Schuster, Philipp & Weishaupt, Franziska, 2024. "Once a trader, always a trader: The role of traders in fund management," CFR Working Papers 24-01, University of Cologne, Centre for Financial Research (CFR).
    13. Voth, Hans-Joachim & Giusti, Giovanni & Noussair, Charles, 2013. "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," CEPR Discussion Papers 9652, C.E.P.R. Discussion Papers.
    14. Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    15. Zhang, Wei & Li, Yi, 2021. "Do visiting monks give better sermons? An analysis of the foreign experience of Chinese fund managers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    16. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    17. Maximilian Koestner & Benjamin Loos & Steffen Meyer & Andreas Hackethal, 2017. "Do individual investors learn from their mistakes?," Journal of Business Economics, Springer, vol. 87(5), pages 669-703, July.
    18. Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2015. "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers 10820, C.E.P.R. Discussion Papers.
    19. Hendriock, Mario, 2020. "Implied cost of capital and mutual fund performance," CFR Working Papers 20-11, University of Cologne, Centre for Financial Research (CFR).
    20. Liu, Jianxiang & Yi, WenYu, 2024. "Does the style drift caused by frequent cross-industry portfolio rebalancing harm fund performance? Evidence from China," Finance Research Letters, Elsevier, vol. 60(C).
    21. Ulrike Malmendier & Stefan Nagel & Zhen Yan, 2017. "The Making of Hawks and Doves: Inflation Experiences on the FOMC," NBER Working Papers 23228, National Bureau of Economic Research, Inc.
    22. Kuchler, Theresa & Zafar, Basit, 2015. "Personal Experiences and Expectations about Aggregate Outcomes," IZA Discussion Papers 9444, Institute of Labor Economics (IZA).
    23. Andrade, Sandro C. & Bian, Jiangze & Burch, Timothy R., 2013. "Analyst Coverage, Information, and Bubbles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1573-1605, October.
    24. Leonard Kostovetsky, 2017. "Brain Drain: Are Mutual Funds Losing Their Best Minds?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 1-38, September.
    25. John List, 2020. "Experimental tests of the endowment effect and the Coase theorem," Natural Field Experiments 00687, The Field Experiments Website.
    26. Chernenko, Sergey & Hanson, Samuel G. & Sunderam, Adi, 2016. "Who neglects risk? Investor experience and the credit boom," Journal of Financial Economics, Elsevier, vol. 122(2), pages 248-269.
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    Cited by:

    1. Frankel, Jeffrey & Poonawala, Jumana, 2009. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," Working Paper Series rwp09-023, Harvard University, John F. Kennedy School of Government.
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    3. Fredy Gamboa-Estrada, 2016. "Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia," Borradores de Economia 957, Banco de la Republica de Colombia.
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    6. Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
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    475. Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2016. "Modelling futures price volatility in energy markets: Is there a role for financial speculation?," Energy Economics, Elsevier, vol. 53(C), pages 220-229.
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    477. André Mollick & Tibebe Assefa, 2013. "Carry-trades on the yen and the Swiss franc: are they different?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(3), pages 402-423, July.
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    482. Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    483. Pu, Xiaoling & Zhang, Jianing, 2012. "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, vol. 9(3), pages 157-166.
    484. Cho-Hoi Hui & Chi-Fai Lo & Chi-Hei Liu, 2023. "Equity Price Dynamics under Shocks: In Distress or Short Squeeze," Risks, MDPI, vol. 12(1), pages 1-19, December.
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    486. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    487. Dirk G Baur & Isaac Miyakawa, 2013. "International Investors, Exchange Rates and Equity Prices," Working Paper Series 178, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    488. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
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    492. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
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  25. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006. "The Effect of Dividends on Consumption," NBER Working Papers 12288, National Bureau of Economic Research, Inc.

    Cited by:

    1. Malcolm Baker & Brock Mendel & Jeffrey Wurgler, 2016. "Dividends as Reference Points: A Behavioral Signaling Approach," The Review of Financial Studies, Society for Financial Studies, vol. 29(3), pages 697-738.
    2. Jan Behringer & Till van Treeck, 2019. "The corporate sector and the current account," IMK Working Paper 196-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    3. Atif Mian & Ludwig Straub & Amir Sufi, 2020. "Indebted Demand," CESifo Working Paper Series 8210, CESifo.
    4. Kent Daniel & Lorenzo Garlappi & Kairong Xiao, 2021. "Monetary Policy and Reaching for Income," Journal of Finance, American Finance Association, vol. 76(3), pages 1145-1193, June.
    5. Caliskan, Deren & Doukas, John A., 2015. "CEO risk preferences and dividend policy decisions," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 18-42.
    6. Moll, Benjamin & Fagereng, Andreas & Blomhoff Holm, Martin & Natvik, Gisle James, 2020. "Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains," CEPR Discussion Papers 14355, C.E.P.R. Discussion Papers.
    7. Ragnar E. Juelsrud & Plamen T. Nenov, 2022. "Dividend Signaling and Bank Payouts in the Great Financial Crisis," Working Paper 2022/9, Norges Bank.
    8. Lee, King Fuei, 2011. "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper 46350, University Library of Munich, Germany.
    9. Liscow, Zachary & Fox, Edward, 2022. "The psychology of taxing capital income: Evidence from a survey experiment on the realization rule," Journal of Public Economics, Elsevier, vol. 213(C).
    10. Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute of Labor Economics (IZA).
    11. Olivier Allain, 2011. "The impact of income distribution on consumption: a reassessment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00712657, HAL.
    12. Charles Boissel & Adrien Matray, 2021. "Dividend Taxes and the Allocation of Capital," Working Papers 2021-39, Princeton University. Economics Department..
    13. Cuong Nguyen, 2019. "The asymmetry in firms’ mechanisms of cash holdings adjustments: evidence from the G-5 economies," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 429-463, August.
    14. Whitaker, James B. & Effland, Anne, 2009. "Income Stabilization Through Government Payments: How Is Farm Household Consumption Affected?," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 38(01), pages 1-13, April.
    15. Korevaar, Matthijs, 2023. "Reaching for yield and the housing market: Evidence from 18th-century Amsterdam," Journal of Financial Economics, Elsevier, vol. 148(3), pages 273-296.
    16. Milkman, Katherine L. & Beshears, John, 2009. "Mental accounting and small windfalls: Evidence from an online grocer," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 384-394, August.
    17. Sheng Guo & William Hardin, 2015. "Financial and Housing Wealth, Expenditures and the Dividend to Ownership," Working Papers 1506, Florida International University, Department of Economics.
    18. Luis Bauluz & Filip Novokmet & Moritz Schularick, 2022. "The Anatomy of the Global Saving Glut," CESifo Working Paper Series 9732, CESifo.
    19. Jan Behringer & Christian A. Belabed & Thomas Theobald & Till van Treeck, 2013. "Einkommensverteilung, Finanzialisierung und makroökonomische Ungleichgewichte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 82(4), pages 203-221.
    20. Kaustia, Markku & Rantapuska, Elias, 2012. "Rational and behavioral motives to trade: Evidence from reinvestment of dividends and tender offer proceeds," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2366-2378.
    21. Schüßler, Katharina & Hewig, Johannes & Kiesewetter, Dirk & Fochmann, Martin, 2014. "Affective reactions influence investment decisions: Evidence from a laboratory experiment with taxation," arqus Discussion Papers in Quantitative Tax Research 160, arqus - Arbeitskreis Quantitative Steuerlehre.
    22. Samuel M. Hartzmark & David H. Solomon, 2019. "The Dividend Disconnect," Journal of Finance, American Finance Association, vol. 74(5), pages 2153-2199, October.
    23. Renzi, Antonio & Taragoni, Pietro & Vagnani, Gianluca, 2024. "Corporate net income smoothing: A variance decomposition approach," Finance Research Letters, Elsevier, vol. 69(PA).
    24. Balli, Faruk & De Bruin, Anne & Balli, Hatice Ozer & Karimov, Jamshid, 2020. "Corporate net income and payout smoothing under Shari'ah compliance," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    25. Jung Hoon Kim & Marc Lavoie, 2016. "A two-sector model with target-return pricing in a stock-flow consistent framework," Post-Print hal-01343733, HAL.
    26. Hackethal, Andreas & Hanspal, Tobin & Hartzmark, Samuel M. & Bräuer, Konstantin, 2024. "Educating investors about dividends," CFS Working Paper Series 725, Center for Financial Studies (CFS).
    27. Bräuer, Konstantin & Hackethal, Andreas & Hanspal, Tobin, 2020. "Consuming dividends," SAFE Working Paper Series 280, Leibniz Institute for Financial Research SAFE.
    28. Jiang, Hao & Sun, Zheng, 2020. "Reaching for dividends," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 321-338.
    29. Black, Sandra E. & Devereux, Paul J. & Landaud, Fanny & Salvanes, Kjell G., 2022. "The (Un)Importance of Inheritance," IZA Discussion Papers 15034, Institute of Labor Economics (IZA).
    30. Lee, King Fuei, 2013. "Demographics and the long-horizon returns of dividend-yield strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 202-218.
    31. Harris, Lawrence E. & Hartzmark, Samuel M. & Solomon, David H., 2015. "Juicing the dividend yield: Mutual funds and the demand for dividends," Journal of Financial Economics, Elsevier, vol. 116(3), pages 433-451.
    32. Xavier Gabaix, 2014. "A Sparsity-Based Model of Bounded Rationality," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1661-1710.
    33. Jeffrey Thompson & Timothy M. Smeeding, 2010. "Recent Trends in the Distribution of Income: Labor, Wealth and More Complete Measures of Well Being," Working Papers wp225, Political Economy Research Institute, University of Massachusetts at Amherst.
    34. Karpavičius, Sigitas & Yu, Fan, 2018. "The impact of dividend-protected CEO equity incentives on firm value and risk," Economic Modelling, Elsevier, vol. 71(C), pages 16-24.
    35. Breuer, Wolfgang & Rieger, M. Oliver & Soypak, K. Can, 2014. "The behavioral foundations of corporate dividend policy a cross-country analysis," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 247-265.
    36. Isakov, Dusan & Weisskopf, Jean-Philippe, 2013. "Do not wake sleeping dogs: Pay-out policies in founding family firms," FSES Working Papers 443, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    37. Cletus C. Coughlin & Thomas A. Garrett, 2009. "Income and Lottery Sales," Public Finance Review, , vol. 37(4), pages 447-469, July.
    38. Nuno Ferreira & Rui Menezes & Sónia Bentes, 2014. "Cointegration and Structural Breaks in the EU Sovereign Debt Crisis," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 4(1), pages 680-680.
    39. Kelly Shue & Richard R. Townsend, 2021. "Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets," Journal of Finance, American Finance Association, vol. 76(5), pages 2307-2357, October.
    40. Davaadorj, Zagdbazar, 2019. "Does social capital affect dividend policy?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 116-128.
    41. Chen Lian, 2021. "Mistakes in Future Consumption, High MPCs Now," NBER Working Papers 29517, National Bureau of Economic Research, Inc.
    42. Nuno Ferreira & Rui Menezes & Manuela M. Oliveira, 2013. "Structural Breaks and Cointegration Analysis in the EU Developed Markets," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(4), pages 652-652.
    43. Li, Youwei & Liao, Ming & Liu, Yangke, 2023. "How does green credit policy affect polluting firms' dividend policy? The China experience," International Review of Financial Analysis, Elsevier, vol. 88(C).
    44. Hackethal, Andreas & Hanspal, Tobin & Hartzmark, Samuel M. & Bräuer, Konstantin, 2024. "Educating investors about dividends," SAFE Working Paper Series 420, Leibniz Institute for Financial Research SAFE.
    45. Huang, Wei & Rhee, S. Ghon & Suzuki, Katsushi & Yasutake, Taeko, 2022. "Do investors value shareholder perks? Evidence from Japan," Journal of Banking & Finance, Elsevier, vol. 143(C).
    46. Kumar, Alok & Lei, Zicheng & Zhang, Chendi, 2022. "Dividend sentiment, catering incentives, and return predictability," Journal of Corporate Finance, Elsevier, vol. 72(C).
    47. Marco Rossi, 2014. "Market Participation and Dividend Clienteles," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-21.
    48. Golubov, Andrey & Lasfer, Meziane & Vitkova, Valeriya, 2020. "Active catering to dividend clienteles: Evidence from takeovers," Journal of Financial Economics, Elsevier, vol. 137(3), pages 815-836.

  26. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.

    Cited by:

    1. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    2. Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
    3. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    4. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
    5. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
    6. Blitz, David & Vidojevic, Milan, 2017. "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 33-42.
    7. Zhang, Xiang & Liu, Yangyi & Wu, Kun & Maillet, Bertrand, 2021. "Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
    8. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    9. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
    10. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    11. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
    12. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP) dp-613, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    14. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    15. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
    16. Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
    17. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    18. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
    19. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    20. Ardila-Alvarez, Diego & Forro, Zalan & Sornette, Didier, 2021. "The acceleration effect and Gamma factor in asset pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
    21. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    22. Du, Ding & Hu, Ou, 2012. "Foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1202-1216.
    23. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
    24. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2018. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
    25. Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
    26. De Moor, Lieven & Dhaene, Geert & Sercu, Piet, 2015. "On comparing zero-alpha tests across multifactor asset pricing models," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 235-240.
    27. Chen, Junping & Xiong, Xiong & Zhu, Jie & Zhu, Xiaoneng, 2017. "Asset prices and economic fluctuations: The implications of stochastic volatility," Economic Modelling, Elsevier, vol. 64(C), pages 128-140.
    28. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
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    1. Claudio Campanale & Carolina Fugazza & Francisco Gomes, 2012. "Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets," Carlo Alberto Notebooks 269, Collegio Carlo Alberto.
    2. Kanda Naknoi & YiLi Chien, 2013. "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers 55, Society for Economic Dynamics.
    3. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    4. Motohiro Yogo & Jessica Wachter, 2007. "Why do Household Portfolio Shares Rise in Wealth?," 2007 Meeting Papers 929, Society for Economic Dynamics.
    5. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
    6. Gust, Christopher & López-Salido, David, 2014. "Monetary policy and the cyclicality of risk," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 59-75.
    7. Jin, Fangyi, 2011. "Revisiting the composition puzzles of the household portfolio: New evidence," Review of Financial Economics, Elsevier, vol. 20(2), pages 63-73, May.
    8. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    9. Pierre‐André Chiappori & Monica Paiella, 2011. "Relative Risk Aversion Is Constant: Evidence From Panel Data," Journal of the European Economic Association, European Economic Association, vol. 9(6), pages 1021-1052, December.
    10. Fangyi Jin, 2011. "Revisiting the composition puzzles of the household portfolio: New evidence," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 63-73, May.
    11. Rong-Wei Chu & Jun Nie & Bei Zhang, 2014. "Wealth distribution with state-dependent risk aversion," Research Working Paper RWP 13-9, Federal Reserve Bank of Kansas City.
    12. Alessandro Bucciol & Raffaele Miniaci, 2011. "Household Portfolios and Risk Bearing over Age and Time," Working Papers 15/2011, University of Verona, Department of Economics.
    13. Christopher J. Gust & J. David López-Salido, 2009. "Portfolio inertia and the equity premium," International Finance Discussion Papers 984, Board of Governors of the Federal Reserve System (U.S.).
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    293. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
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    296. Cronqvist, Henrik & Siegel, Stephan & Yu, Frank, 2015. "Value versus growth investing: Why do different investors have different styles?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 333-349.
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Articles

  1. Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
    See citations under working paper version above.
  2. Jeffrey L Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan A Stuart, 2022. "Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock," The Economic Journal, Royal Economic Society, vol. 132(641), pages 299-325.

    Cited by:

    1. Mikhail Samonov & Nonna Sorokina, 2024. "A century of asset allocation crash risk," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 383-406, July.

  3. He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022. "Treasury inconvenience yields during the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
    See citations under working paper version above.
  4. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
    See citations under working paper version above.
  5. Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
    See citations under working paper version above.
  6. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
    See citations under working paper version above.
  7. Markus Brunnermeier & Emmanuel Farhi & Ralph S J Koijen & Arvind Krishnamurthy & Sydney C Ludvigson & Hanno Lustig & Stefan Nagel & Monika Piazzesi, 2021. "Review Article: Perspectives on the Future of Asset Pricing [Do survey expectations of stock returns reflect risk-adjustments?]," The Review of Financial Studies, Society for Financial Studies, vol. 34(4), pages 2126-2160.

    Cited by:

    1. Mohammad (Vahid) Irani & Hugh Hoikwang Kim, 2023. "The consequences of non‐trading institutional investors," Financial Management, Financial Management Association International, vol. 52(3), pages 433-481, September.
    2. Romain Baeriswyl & Alex Oktay & Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    3. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
    4. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
    5. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    6. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    7. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    8. Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
    9. Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022. "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, vol. 218(C).
    10. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    11. Mykola Pinchuk, 2023. "Bitcoin Does Not Hedge Inflation," Papers 2301.10117, arXiv.org.
    12. Matteo Benetton & Giovanni Compiani, 2024. "Investors’ Beliefs and Cryptocurrency Prices," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 197-236.
    13. Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.
    14. Li, Lin & Liu, Kunyu & Li, Guoping, 2024. "What can analyst forecasts tell us about imperfect information?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1059-1073.
    15. Ludwig, Alexander & Mankart, Jochen & Quintana, Jorge & Wiederholt, Mirko, 2024. "Heterogeneity in expectations and house price dynamics," SAFE Working Paper Series 432, Leibniz Institute for Financial Research SAFE.
    16. Hector O. Zapata & Supratik Mukhopadhyay, 2022. "A Bibliometric Analysis of Machine Learning Econometrics in Asset Pricing," JRFM, MDPI, vol. 15(11), pages 1-17, November.
    17. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
    18. Sias, Richard & Starks, Laura T. & Turtle, H.J., 2023. "The negativity bias and perceived return distributions: Evidence from a pandemic," Journal of Financial Economics, Elsevier, vol. 147(3), pages 627-657.
    19. Prat, Georges & Le Bris, David, 2024. "Term structure of equity risk premia in rough terrain: 150 years of the French stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    20. Luz, Valentin & Schauer, Victor & Viehweger, Martin, 2024. "Beyond preferences: Beliefs in sustainable investing," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 584-607.

  8. Malmendier, Ulrike & Nagel, Stefan & Yan, Zhen, 2021. "The making of hawks and doves," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 19-42.
    See citations under working paper version above.
  9. Stefan Nagel & Amiyatosh Purnanandam, 2020. "Banks’ Risk Dynamics and Distance to Default," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
    See citations under working paper version above.
  10. Sreyoshi Das & Camelia M Kuhnen & Stefan Nagel, 2020. "Socioeconomic Status and Macroeconomic Expectations," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 395-432.
    See citations under working paper version above.
  11. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
    See citations under working paper version above.
  12. Arvind Krishnamurthy & Stefan Nagel & Annette Vissing-Jorgensen, 2018. "ECB Policies Involving Government Bond Purchases: Impact and Channels [The “greatest” carry trade ever? Understanding eurozone bank risks]," Review of Finance, European Finance Association, vol. 22(1), pages 1-44.
    See citations under working paper version above.
  13. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2018. "Interpreting Factor Models," Journal of Finance, American Finance Association, vol. 73(3), pages 1183-1223, June.

    Cited by:

    1. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    2. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    3. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    4. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
    5. Maysam Khodayari Gharanchaei & Prabhu Prasad Panda & Xilin Chen, 2024. "Quantitative Investment Diversification Strategies via Various Risk Models," Papers 2407.01550, arXiv.org.
    6. Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    7. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    8. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
    9. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
    10. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
    11. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    12. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Belief Overreaction and Stock Market Puzzles," Journal of Political Economy, University of Chicago Press, vol. 132(5), pages 1450-1484.
    13. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    14. Robert F. Stambaugh & Yu Yuan, 2015. "Mispricing Factors," NBER Working Papers 21533, National Bureau of Economic Research, Inc.
    15. Pedro M. Mirete-Ferrer & Alberto Garcia-Garcia & Juan Samuel Baixauli-Soler & Maria A. Prats, 2022. "A Review on Machine Learning for Asset Management," Risks, MDPI, vol. 10(4), pages 1-46, April.
    16. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
    17. Jia, Yuecheng & Liu, Yuzheng & Wu, Yangru & Yan, Shu, 2024. "Information spillover and cross-predictability of currency returns: An analysis via Machine Learning," Journal of Banking & Finance, Elsevier, vol. 169(C).
    18. Zihang Peng, 2023. "Do risk exposures explain accounting anomalies? A new testing method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 2965-2983, September.
    19. Yu Wang & Haicheng Shu, 2019. "Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China," Working Papers 2019-10-10, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    20. José Luis Montiel Olea & Pietro Ortoleva & Mallesh Pai & Andrea Prat, 2021. "Competing Models," Working Papers 2021-89, Princeton University. Economics Department..
    21. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2024. "Consumption in asset returns," LSE Research Online Documents on Economics 126152, London School of Economics and Political Science, LSE Library.
    22. Antoine Falck & Adam Rej & David Thesmar, 2021. "Why and how systematic strategies decay," Papers 2105.01380, arXiv.org.
    23. Kang, Hankil & Ryu, Doojin, 2019. "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 657-668.
    24. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    25. Jules H van Binsbergen & Xiao Han & Alejandro Lopez-Lira, 2023. "Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2361-2396.
    26. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    27. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
    28. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    29. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    30. Nikan Firoozye & Vincent Tan & Stefan Zohren, 2022. "Canonical Portfolios: Optimal Asset and Signal Combination," Papers 2202.10817, arXiv.org, revised Jul 2023.
    31. Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.
    32. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
    33. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
    34. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    35. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
    36. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    37. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
    38. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    39. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    40. Ma, Tian & Leong, Wen Jun & Jiang, Fuwei, 2023. "A latent factor model for the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 87(C).
    41. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
    42. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    43. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
    44. Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020. "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers 27969, National Bureau of Economic Research, Inc.
    45. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
    46. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    47. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    48. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
    49. Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
    50. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
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    52. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
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    54. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
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    291. Agarwal, Sumit & Sing, Tien Foo & Zhang, Xiaoyu, 2024. "Intergenerational bankruptcy risks: Learning from parents’ mistakes," Journal of Financial Intermediation, Elsevier, vol. 59(C).
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    293. Carin van der Cruijsen & Anna Samarina, 2021. "Trust in the ECB in turbulent times," Working Papers 722, DNB.
    294. Bodea, Cristina & Kerner, Andrew, 2022. "Fear of inflation and gender representation in central banking," European Journal of Political Economy, Elsevier, vol. 74(C).
    295. Ben Moll, 2020. "The Research Agenda: Ben Moll on the Rich Interactions between Inequality and the Macroeconomy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 21(2), November.
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    297. David-Jan Jansen & Matthias Neuenkirch, 2017. "News Consumption, Political Preferences, and Accurate Views on Inflation," Research Papers in Economics 2017-03, University of Trier, Department of Economics.
    298. Farreras, Verónica & Riera, Pere & Salvador, Pablo F., 2017. "Environmental Valuation With Periodical Payments in High-inflation Economies. An Argentinean Case Study," Ecological Economics, Elsevier, vol. 138(C), pages 56-63.
    299. Stefanie Huber, 2022. "SHE canÕt afford it and HE doesnÕt want it: The gender gap in the COVID-19 consumption response," Tinbergen Institute Discussion Papers 22-029/II, Tinbergen Institute.
    300. Hong, Jieying & Moinas, Sophie & Pouget, Sébastien, 2018. "Learning in Speculative Bubbles: An Experiment," TSE Working Papers 18-882, Toulouse School of Economics (TSE).
    301. Sarantis Tsiaplias, 2024. "Inflation as a 'bad', heuristics and aggregate shocks: New evidence on expectation formation," Melbourne Institute Working Paper Series wp2024n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    302. Piazzesi, Monika & Leombroni, Matteo & Rogers, Ciaran & Schneider, Martin, 2020. "Inflation and the Price of Real Assets," CEPR Discussion Papers 14390, C.E.P.R. Discussion Papers.
    303. Bańnkowska, Katarzyna & Borlescu, Ana Maria & Charalambakis, Evangelos & Da Silva, António Dias & Di Laurea, Davide & Dossche, Maarten & Georgarakos, Dimitris & Honkkila, Juha & Kennedy, Neale & Kenny, 2021. "ECB Consumer Expectations Survey: an overview and first evaluation," Occasional Paper Series 287, European Central Bank.
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    Cited by:

    1. Nautz, Dieter & Netšunajev, Aleksei & Strohsal, Till, 2016. "The anchoring of inflation expectations in the short and in the long run," SFB 649 Discussion Papers 2016-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Sirio Aramonte, 2022. "Inflation risk and the labor market: beneath the surface of a flat Phillips curve," BIS Working Papers 1054, Bank for International Settlements.

  18. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.
    See citations under working paper version above.
  19. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
    See citations under working paper version above.
  20. Stefan Nagel, 2012. "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039.
    See citations under working paper version above.
  21. Stefan Nagel & Kenneth J. Singleton, 2011. "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, vol. 66(3), pages 873-909, June.
    See citations under working paper version above.
  22. Ulrike Malmendier & Stefan Nagel, 2011. "Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(1), pages 373-416.
    See citations under working paper version above.
  23. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    See citations under working paper version above.
  24. Greenwood, Robin & Nagel, Stefan, 2009. "Inexperienced investors and bubbles," Journal of Financial Economics, Elsevier, vol. 93(2), pages 239-258, August.
    See citations under working paper version above.
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    6. Zongxia Liang & Xiaodong Luo & Fengyi Yuan, 2022. "Consumption-investment decisions with endogenous reference point and drawdown constraint," Papers 2204.00530, arXiv.org, revised Nov 2022.
    7. Cardak, Buly A. & Martin, Vance L., 2023. "Household willingness to take financial risk: Stockmarket movements and life‐cycle effects," Journal of Banking & Finance, Elsevier, vol. 149(C).
    8. Cho, Insoo & Orazem, Peter F. & Rosenblat, Tanya, 2018. "Are Risk Attitudes Fixed Factors or Fleeting Feelings?," ISU General Staff Papers 201801010800001038, Iowa State University, Department of Economics.
    9. Rachel G. Childers, 2011. "Being One'S Own Boss: How Does Risk Fit In?," The American Economist, Sage Publications, vol. 56(1), pages 48-58, May.
    10. Hvide, Hans K. & Meling, Tom G. & Mogstad, Magne & Vestad, Ola, 2023. "Broadband Internet and the Stock Market Investments of Individual Investors," CEPR Discussion Papers 18067, C.E.P.R. Discussion Papers.
    11. Khorunzhina, Natalia, 2011. "Dynamic Stock Market Participation of Households," MPRA Paper 35310, University Library of Munich, Germany.
    12. Clemens Hetschko & Malte Preuss, 2015. "Income in Jeopardy: How Losing Employment Affects the Willingness to Take Risks," SOEPpapers on Multidisciplinary Panel Data Research 813, DIW Berlin, The German Socio-Economic Panel (SOEP).
    13. Philippe Bacchetta & Simon Tièche & Eric van Wincoop, 2020. "International Portfolio Choice with Frictions: Evidence from Mutual Funds," Swiss Finance Institute Research Paper Series 20-46, Swiss Finance Institute.
    14. Saleem Bahaj & Angus Foulis & Gabor Pinter, 2020. "Home Values and Firm Behavior," American Economic Review, American Economic Association, vol. 110(7), pages 2225-2270, July.
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    17. Goedde-Menke, Michael & Langer, Thomas & Pfingsten, Andreas, 2014. "Impact of the financial crisis on bank run risk – Danger of the days after," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 522-533.
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    19. Lukas Menkhoff & Sahra Sakha, 2016. "Determinants of Risk Aversion over Time: Experimental Evidence from Rural Thailand," Discussion Papers of DIW Berlin 1582, DIW Berlin, German Institute for Economic Research.
    20. Zanetti, Francesco, 2014. "Housing and relative risk aversion," Economics Letters, Elsevier, vol. 123(1), pages 23-25.
    21. Koenig, Philipp J. & Pothier, David, 2022. "Safe but fragile: Information acquisition, liquidity support and redemption runs," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    22. Caterina Cruciani & Gloria Gardenal & Giuseppe Amitrano, 2022. "Risk Tolerance Tools: From Academia to Regulation and Back," Springer Books, in: Understanding Financial Risk Tolerance, chapter 0, pages 39-78, Springer.
    23. Firth, Chris, 2020. "Protecting investors from themselves: Evidence from a regulatory intervention," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    24. Hui Guo & Zijun Wang & Jian Yang, 2013. "Time‐Varying Risk–Return Trade‐off in the Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 623-650, June.
    25. Colin Green & John Heywood & Ben Artz, 2018. "Does Performance Pay Increase Alcohol and Drug Use?," Working Paper Series 17618, Department of Economics, Norwegian University of Science and Technology.
    26. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
    27. Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
    28. Daniel Paravisini & Veronica Rappoport & Enrichetta Ravina, 2017. "Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios," Management Science, INFORMS, vol. 63(2), pages 279-297, February.
    29. Moll, Benjamin & Fagereng, Andreas & Blomhoff Holm, Martin & Natvik, Gisle James, 2020. "Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains," CEPR Discussion Papers 14355, C.E.P.R. Discussion Papers.
    30. Holden, Stein T. & Tilahun, Mesfin, 2021. "Shocks and Stability of Risk Preferences," CLTS Working Papers 5/21, Norwegian University of Life Sciences, Centre for Land Tenure Studies.
    31. Hellström, Jörgen & Stålnacke, Oscar & Olsson, Rickard, 2022. "Individuals’ financial risk-taking and peer influence," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 1-17.
    32. Leif Danziger & Eliakim Katz, 2019. "Compensation in Personal Injury Cases: Mean or Median Income?," CESifo Working Paper Series 7748, CESifo.
    33. Matteo Giuliani & Andrea Castelletti, 2016. "Is robustness really robust? How different definitions of robustness impact decision-making under climate change," Climatic Change, Springer, vol. 135(3), pages 409-424, April.
    34. Roland Olbrich & Martin F. Quaas & Andreas Haensler & Stefan Baumgaertner, 2011. "Risk preferences under heterogeneous environmental risk," Working Paper Series in Economics 208, University of Lüneburg, Institute of Economics.
    35. Campbell, John & Calvert, Lauren E. & Sodini, Paolo, 2009. "Fight or Flight? Portfolio Rebalancing by Individual Investors," Scholarly Articles 2617031, Harvard University Department of Economics.
    36. Hellström, Jörgen & Lapanan, Nicha & Olsson, Rickard, 2020. "Socially responsible investments among parents and adult children," European Economic Review, Elsevier, vol. 121(C).
    37. Guo, Naijia & Leung, Charles Ka Yui & Zhang, Shumeng, 2025. "From Pandemics to Portfolios: Long-Term Impacts of the 2009 H1N1 Outbreak on Household Investment Choices," MPRA Paper 123534, University Library of Munich, Germany.
    38. Gruber, Noam, 2020. "A Relative Answer to the Growth-Saving Puzzle," MPRA Paper 103349, University Library of Munich, Germany.
    39. Andrew Grant & Steve Satchell, 2019. "Endogenous divorce risk and investment," Journal of Population Economics, Springer;European Society for Population Economics, vol. 32(3), pages 845-876, July.
    40. Matthias Horn & Andreas Oehler, 2020. "Automated portfolio rebalancing: Automatic erosion of investment performance?," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 489-505, October.
    41. Zongxia Liang & Xiaodong Luo & Fengyi Yuan, 2023. "Consumption-investment decisions with endogenous reference point and drawdown constraint," Mathematics and Financial Economics, Springer, volume 17, number 6, February.
    42. Peter Koudijs & Hans-Joachim Voth, 2016. "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, vol. 106(11), pages 3367-3400, November.
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    44. Chatterjee, Oindrila & Gopalakrishnan, Balagopal & Mohapatra, Sanket, 2024. "Gold in household portfolios during a pandemic: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1288-1306.
    45. Bacchetta, Philippe & van Wincoop, Eric, 2021. "Puzzling exchange rate dynamics and delayed portfolio adjustment," Journal of International Economics, Elsevier, vol. 131(C).
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    47. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
    48. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    49. Miles S. Kimball & Matthew D. Shapiro & Tyler Shumway & Jing Zhang, 2018. "Portfolio Rebalancing in General Equilibrium," NBER Working Papers 24722, National Bureau of Economic Research, Inc.
    50. Campbell, John, 2006. "Household Finance," Scholarly Articles 3157877, Harvard University Department of Economics.
    51. Caterina Forti Grazzini & Chi Hyun Kim, 2020. "Is Monetary Policy Gender Neutral? Evidence from the Stock Market," Discussion Papers of DIW Berlin 1841, DIW Berlin, German Institute for Economic Research.
    52. Ulrike Malmendier & Stefan Nagel, 2011. "Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(1), pages 373-416.
    53. Nicolas Aubert & Niaz Kammoun & Yacine Bekrar, 2018. "Financial decisions of the financially literate," Post-Print halshs-01850997, HAL.
    54. Groero, Jaroslav, 2024. "The role of gene–environment interaction in the formation of risk attitudes," Economics & Human Biology, Elsevier, vol. 55(C).
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    Cited by:

    1. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).

Chapters

  1. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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