Michael Weber

University of Chicago - Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 9,804

SSRN RANKINGS

Top 9,804

in Total Papers Downloads

3,851

CITATIONS
Rank 33,181

SSRN RANKINGS

Top 33,181

in Total Papers Citations

6

Scholarly Papers (11)

Cash Flow Duration and the Term Structure of Equity Returns

Becker Friedman Institute for Research in Economics Working Paper No. 2016-21
Number of pages: 58 Posted: 07 Aug 2016
Michael Weber
University of Chicago - Finance
Downloads 317 (76,439)

Abstract:

Cash Flow Duration and the Term Structure of Equity Returns

Number of pages: 79 Posted: 27 Oct 2015 Last Revised: 10 May 2017
Michael Weber
University of Chicago - Finance
Downloads 278 (88,637)

Abstract:

Dividend Strips, Short-sale constraints, Anomalies, Sentiment

Cash Flow Duration and the Term Structure of Equity Returns

CESifo Working Paper Series No. 6043
Number of pages: 58 Posted: 10 Oct 2016
Michael Weber
University of Chicago - Finance
Downloads 174 (141,797)

Abstract:

dividend strips, short-sale constraints, anomalies, sentiment

Cash Flow Duration and the Term Structure of Equity Returns

NBER Working Paper No. w22520
Number of pages: 58 Posted: 22 Aug 2016
Michael Weber
University of Chicago - Finance
Downloads 8 (524,544)

Abstract:

The Effect of Unconventional Fiscal Policy on Consumption Expenditure

Number of pages: 77 Posted: 02 Mar 2015 Last Revised: 24 Jun 2017
Francesco D'Acunto, Daniel Hoang and Michael Weber
University of Maryland - Robert H. Smith School of Business, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance
Downloads 408 (56,725)

Abstract:

Zero-Lower Bound, Fiscal and Monetary Policy, Durable Consumption, Survey Data, Natural Experiments in Macroeconomics

The Effect of Unconventional Fiscal Policy on Consumption Expenditure

Becker Friedman Institute for Research in Economics Working Paper No. 2016-22
Number of pages: 76 Posted: 19 Aug 2016 Last Revised: 08 Feb 2017
Francesco D'Acunto, Daniel Hoang and Michael Weber
University of Maryland - Robert H. Smith School of Business, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance
Downloads 111 (205,312)

Abstract:

Zero-Lower Bound, Fiscal and Monetary Policy, Durable Consumption, Survey Data

The Effect of Unconventional Fiscal Policy on Consumption Expenditure

CESifo Working Paper Series No. 6059
Number of pages: 76 Posted: 13 Oct 2016
Francesco D'Acunto, Daniel Hoang and Michael Weber
University of Maryland - Robert H. Smith School of Business, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance
Downloads 104 (215,264)

Abstract:

zero-lower bound, fiscal and monetary policy, durable consumption, survey data

Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure

CESifo Working Paper Series No. 5793
Number of pages: 70 Posted: 08 Apr 2016
Francesco D'Acunto, Daniel Hoang and Michael Weber
University of Maryland - Robert H. Smith School of Business, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance
Downloads 63 (294,003)

Abstract:

durable consumption, zero lower bound, fiscal and monetary policy, survey data

The Effect of Unconventional Fiscal Policy on Consumption Expenditure

NBER Working Paper No. w22563
Number of pages: 76 Posted: 31 Aug 2016
Francesco D'Acunto, Daniel Hoang and Michael Weber
University of Maryland - Robert H. Smith School of Business, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance
Downloads 5 (539,895)

Abstract:

Monetary Policy and the Stock Market: Time-Series Evidence

Chicago Booth Research Paper No. 17-16
Number of pages: 89 Posted: 18 Mar 2016 Last Revised: 31 May 2017
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 176 (140,333)

Abstract:

Return Predictability, Policy Speeches, Expected Returns, Macro News

Monetary Policy and the Stock Market: Time-Series Evidence

Number of pages: 89 Posted: 10 Nov 2016
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 161 (151,946)

Abstract:

Return Predictability, Policy Speeches, Expected Returns, Macro News

Monetary Policy and the Stock Market: Time-Series Evidence

CESifo Working Paper Series No. 6199
Number of pages: 89 Posted: 10 Jan 2017
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 98 (224,516)

Abstract:

return predictability, policy speeches, expected returns, macro news

Monetary Policy and the Stock Market: Time-Series Evidence

NBER Working Paper No. w22831
Number of pages: 89 Posted: 14 Nov 2016
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 11 (508,203)

Abstract:

Conditional Risk Premia in Currency Markets and Other Asset Classes

Journal of Financial Economics (JFE), Vol. 114, No. 2, 2014
Number of pages: 66 Posted: 06 Mar 2013 Last Revised: 10 May 2017
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, Harvard University and University of Chicago - Finance
Downloads 399 (58,323)
Citation 4

Abstract:

Carry Trade, Currency Returns, Downside Risk, Exchange Rates, UIP, Conditional risk premia, Cross Section of Equities and Commodities

Conditional Risk Premia in Currency Markets and Other Asset Classes

NBER Working Paper No. w18844
Number of pages: 58 Posted: 01 Mar 2013
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, Harvard University and University of Chicago - Finance
Downloads 8 (524,544)
Citation 4

Abstract:

Conditional Risk Premia in Currency Markets and Other Asset Classes

CEPR Discussion Paper No. DP9484
Number of pages: 58 Posted: 30 May 2013
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, New York University Stern School of Business and University of Chicago - Finance
Downloads 1 (568,162)
Citation 4

Abstract:

Carry Trade, Conditional risk premia, Cross Section of Equities and Commodities, Currency Returns, Downside Risk, Exchange Rates, UIP

5.

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of pages: 36 Posted: 09 Sep 2009 Last Revised: 10 May 2017
Michael Weber and Marcel Prokopczuk
University of Chicago - Finance and Leibniz Universit├Ąt Hannover - Faculty of Economics and Management
Downloads 314 (71,314)

Abstract:

American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

Monetary Policy Through Production Networks: Evidence from the Stock Market

Number of pages: 67 Posted: 23 Nov 2015 Last Revised: 11 May 2017
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Downloads 187 (132,648)

Abstract:

Input-output linkages, Spillover effects, Asset prices, High frequency identification

Monetary Policy through Production Networks: Evidence from the Stock Market

Becker Friedman Institute for Research in Economics Working Paper No. 2017-07
Number of pages: 68 Posted: 12 May 2017
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Downloads 33 (389,790)

Abstract:

Input-Output Linkages, Spillover Effects, Asset Prices, High Frequency Identification

Monetary Policy Through Production Networks: Evidence from the Stock Market

NBER Working Paper No. w23424
Number of pages: 63 Posted: 24 May 2017
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Downloads 7 (529,830)

Abstract:

Monetary Policy Through Production Networks: Evidence from the Stock Market

CESifo Working Paper Series No. 6486
Number of pages: 69 Posted: 19 Jun 2017
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Downloads 5 (539,895)

Abstract:

input-output linkages, spillover effects, asset prices, high frequency identification

Dissecting Characteristics Nonparametrically

Number of pages: 66 Posted: 11 Aug 2016 Last Revised: 07 Mar 2017
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 118 (196,151)

Abstract:

Cross Section of Returns, Anomalies, Expected Returns, Model Selection

Dissecting Characteristics Nonparametrically

CESifo Working Paper Series No. 6391
Number of pages: 68 Posted: 12 Apr 2017
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 94 (230,999)

Abstract:

cross section of returns, anomalies, expected returns, model selection

Dissecting Characteristics Nonparametrically

NBER Working Paper No. w23227
Number of pages: 68 Posted: 19 Mar 2017
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 10 (513,739)

Abstract:

8.
Downloads 202 (123,562)

Flexible Prices and Leverage

Robert H. Smith School Research Paper No. RHS 2692893
Number of pages: 53 Posted: 24 Nov 2015 Last Revised: 04 Feb 2017
University of Maryland - Robert H. Smith School of Business, BlackRock, University of British Columbia (UBC) - Division of Finance and University of Chicago - Finance
Downloads 136 (175,331)

Abstract:

Capital Structure, Nominal Rigidities, Bank Deregulation, Industrial Organization and Finance, Price Setting, Bankruptcy

Flexible Prices and Leverage

CESifo Working Paper Series No. 6317
Number of pages: 77 Posted: 28 Feb 2017
University of Maryland - Robert H. Smith School of Business, University of California, Berkeley, University of British Columbia (UBC) - Division of Finance and University of Chicago - Finance
Downloads 45 (345,670)

Abstract:

capital structure, nominal rigidities, bank deregulation, industrial organization and finance, price setting, bankruptcy

Flexible Prices and Leverage

Robert H. Smith School Research Paper No. RHS 2901025
Number of pages: 83 Posted: 19 Jan 2017 Last Revised: 03 Apr 2017
University of Maryland - Robert H. Smith School of Business, BlackRock, University of British Columbia (UBC) - Division of Finance and University of Chicago - Finance
Downloads 15 (485,073)

Abstract:

Capital Structure, Nominal Rigidities, Bank Deregulation, Industrial Organization and Finance, Price Setting, Bankruptcy

Flexible Prices and Leverage

NBER Working Paper No. w23066
Number of pages: 51 Posted: 23 Jan 2017
University of Maryland - Robert H. Smith School of Business, University of British Columbia (UBC) - Division of Finance, University of Chicago - Finance and University of California, Berkeley
Downloads 6 (534,866)

Abstract:

9.

The Long Shadow of Jewish Persecution on Financial Decisions

Number of pages: 61 Posted: 16 Dec 2013 Last Revised: 10 May 2017
University of Maryland - Robert H. Smith School of Business, Leibniz Universit├Ąt Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 181 (90,577)

Abstract:

Cultural Economics, Social Stereotypes, Household Finance, History & Finance

10.
Downloads 153 (158,667)
Citation 1

Nominal Rigidities and Asset Pricing

Number of pages: 95 Posted: 12 Aug 2014 Last Revised: 10 May 2017
Michael Weber
University of Chicago - Finance
Downloads 105 (213,815)
Citation 1

Abstract:

Sticky Prices, Stock Returns, Monetary Policy

Nominal Rigidities and Asset Pricing

Number of pages: 62 Posted: 28 Oct 2014
Michael Weber
University of Chicago - Finance
Downloads 48 (336,212)
Citation 1

Abstract:

Sticky Prices, Stock Returns, Monetary Policy

Are Sticky Prices Costly? Evidence from the Stock Market

American Economic Review, Vol. 106, No. 1, 2016
Number of pages: 42 Posted: 06 Mar 2013 Last Revised: 10 May 2017
Yuriy Gorodnichenko and Michael Weber
University of California, Berkeley - Department of Economics and University of Chicago - Finance
Downloads 102 (218,267)
Citation 1

Abstract:

menu costs, sticky prices, asset prices

Are Sticky Prices Costly? Evidence from the Stock Market

NBER Working Paper No. w18860
Number of pages: 52 Posted: 01 Mar 2013
Yuriy Gorodnichenko and Michael Weber
University of California, Berkeley - Department of Economics and University of Chicago - Finance
Downloads 5 (539,895)
Citation 1

Abstract: