Michael F. Gallmeyer
Personal Details
First Name: | Michael |
Middle Name: | F. |
Last Name: | Gallmeyer |
Suffix: | |
RePEc Short-ID: | pga446 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/michaelgallmeyer/ | |
Terminal Degree: | 1998 Finance Department; Wharton School of Business; University of Pennsylvania (from RePEc Genealogy) |
Affiliation
(90%) McIntire School of Commerce
University of Virginia
Charlottesville, Virginia (United States)http://www.comm.virginia.edu/
RePEc:edi:scuvaus (more details at EDIRC)
(10%) Department of Finance
Faculty of Business and Economics
University of Melbourne
Melbourne, Australiahttps://fbe.unimelb.edu.au/finance
RePEc:edi:dfmelau (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015.
"Disagreement about inflation and the yield curve,"
Working Papers
1532, Banco de España.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009. "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers 1223, Society for Economic Dynamics.
- Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008. "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers 769, Society for Economic Dynamics.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007.
"Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models,"
NBER Working Papers
13245, National Bureau of Economic Research, Inc.
- Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
- Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
- A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006. "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers 263, Society for Economic Dynamics.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005.
"Taylor Rules, McCallum Rules and the Term Structure of Interest Rates,"
NBER Working Papers
11276, National Bureau of Economic Research, Inc.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
- Stephan Dieckmann & Michael Gallmeyer, "undated".
"The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents,"
GSIA Working Papers
2003-E36, Carnegie Mellon University, Tepper School of Business.
- Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
- Michael Gallmeyer & Duane Seppi, "undated". "Derivative Security Induced Price Manipulation," GSIA Working Papers 2000-E41, Carnegie Mellon University, Tepper School of Business.
- Suleyman Basak & Michael Gallmeyer, "undated".
"Capital Market Equilibrium with Differential Taxation,"
GSIA Working Papers
1999-E1, Carnegie Mellon University, Tepper School of Business.
- Suleyman Basak & Michael Gallmeyer, 2003. "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, vol. 7(2), pages 121-159.
- Süleyman Basak & Mike Gallmeyer, "undated". "Capital Market Equilibrium with Differential Taxation," Rodney L. White Center for Financial Research Working Papers 12-98, Wharton School Rodney L. White Center for Financial Research.
- Michael Gallmeyer, "undated". "Beliefs and Volatility," GSIA Working Papers 2000-E42, Carnegie Mellon University, Tepper School of Business.
- Michael Gallmeyer & Ron Kaniel & Stathis Tompaidis, "undated". "Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales," GSIA Working Papers 2001-E21, Carnegie Mellon University, Tepper School of Business.
- Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated".
"Liquidity Discovery and Asset Pricing,"
GSIA Working Papers
2004-10, Carnegie Mellon University, Tepper School of Business.
- Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004. "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers 136a, Society for Economic Dynamics.
- Duane Seppi & Michael Gallmeyer & Burton Hollifield, 2004. "Liquidity Discovery and Asset Pricing," Econometric Society 2004 North American Summer Meetings 525, Econometric Society.
- A Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, "undated". "Financial leverage and the leverage effect: A market and firm analysis," GSIA Working Papers 2007-E31, Carnegie Mellon University, Tepper School of Business.
- Michael Gallmeyer & Burton Hollifield, "undated". "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.
- Süleyman Basak & Mike Gallmeyer, "undated".
"Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium,"
Rodney L. White Center for Financial Research Working Papers
09-98, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.
- Basak, S. & Gallmeyer, M., 1998. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium," Weiss Center Working Papers 98-04, Wharton School - Weiss Center for International Financial Research.
- Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.
Articles
- Campbell, T. Colin & Gallmeyer, Michael & Petkevich, Alex, 2023. "The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(5), pages 2190-2227, August.
- Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- David A Chapman & Michael F Gallmeyer & J Spencer Martin, 2018. "Aggregate Tail Risk and Expected Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 36-76.
- Marcel Fischer & Michael Gallmeyer, 2017. "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, European Finance Association, vol. 21(5), pages 1847-1873.
- Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
- Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.
- Campbell, T. Colin & Gallmeyer, Michael & Johnson, Shane A. & Rutherford, Jessica & Stanley, Brooke W., 2011. "CEO optimism and forced turnover," Journal of Financial Economics, Elsevier, vol. 101(3), pages 695-712, September.
- Michael Gallmeyer & Burton Hollifield, 2008. "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, vol. 12(2), pages 323-364.
- Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007.
"Arbitrage-free bond pricing with dynamic macroeconomic models,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
- Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
- Dieckmann, Stephan & Gallmeyer, Michael, 2005.
"The equilibrium allocation of diffusive and jump risks with heterogeneous agents,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
- Stephan Dieckmann & Michael Gallmeyer, "undated". "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
- Suleyman Basak & Michael Gallmeyer, 2003.
"Capital Market Equilibrium with Differential Taxation,"
Review of Finance, European Finance Association, vol. 7(2), pages 121-159.
- Suleyman Basak & Michael Gallmeyer, "undated". "Capital Market Equilibrium with Differential Taxation," GSIA Working Papers 1999-E1, Carnegie Mellon University, Tepper School of Business.
- Süleyman Basak & Mike Gallmeyer, "undated". "Capital Market Equilibrium with Differential Taxation," Rodney L. White Center for Financial Research Working Papers 12-98, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Michael Gallmeyer, 1999.
"Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium,"
Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.
- Basak, S. & Gallmeyer, M., 1998. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium," Weiss Center Working Papers 98-04, Wharton School - Weiss Center for International Financial Research.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FIN: Finance (7) 2000-09-05 2004-07-11 2004-08-02 2004-12-02 2004-12-12 2005-05-07 2005-12-01. Author is listed
- NEP-FMK: Financial Markets (5) 2000-09-05 2000-09-05 2004-08-02 2004-12-12 2004-12-12. Author is listed
- NEP-MAC: Macroeconomics (4) 2005-05-07 2005-12-01 2007-07-13 2015-12-01
- NEP-MON: Monetary Economics (3) 2005-05-07 2005-12-01 2007-07-13
- NEP-CBA: Central Banking (2) 2005-12-01 2007-07-13
- NEP-DGE: Dynamic General Equilibrium (1) 2007-07-13
- NEP-RMG: Risk Management (1) 2004-12-12
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