Andreas Neuhierl

University of Notre Dame - Department of Finance

P.O. Box 399

Notre Dame, IN 46556-0399

United States

SCHOLARLY PAPERS

12

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CITATIONS
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SSRN RANKINGS

Top 23,226

in Total Papers Citations

27

Scholarly Papers (12)

1.

Market Reaction to Corporate Press Releases

Number of pages: 58 Posted: 21 Feb 2010 Last Revised: 13 Nov 2011
Andreas Neuhierl, Anna Scherbina and Bernd Schlusche
University of Notre Dame - Department of Finance, Brandeis University and Board of Governors of the Federal Reserve System
Downloads 2,544 (4,757)
Citation 1

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Corporate News, Event Study, Market Efficiency

2.

Data Snooping and Market-Timing Rule Performance

Number of pages: 52 Posted: 18 Feb 2009 Last Revised: 19 Jul 2013
Andreas Neuhierl and Bernd Schlusche
University of Notre Dame - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 1,024 (20,728)
Citation 3

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Market Timing, Data Snooping, Multiple Testing, Reality Check, SPA Test, Stepwise Method

3.
Downloads 983 ( 22,013)
Citation 12

Dissecting Characteristics Nonparametrically

Number of pages: 105 Posted: 11 Aug 2016 Last Revised: 05 Aug 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 562 (46,915)
Citation 1

Abstract:

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

Dissecting Characteristics Nonparametrically

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105 Posted: 20 Nov 2017 Last Revised: 27 Jul 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 153 (191,668)
Citation 1

Abstract:

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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
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 137 (209,901)

Abstract:

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

Dissecting Characteristics Nonparametrically

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-50
Number of pages: 106 Posted: 01 Aug 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 61 (356,837)

Abstract:

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

Dissecting Characteristics Nonparametrically

CESifo Working Paper Series No. 7187
Number of pages: 107 Posted: 16 Oct 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 53 (382,648)
Citation 4

Abstract:

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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
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 17 (556,701)

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Monetary Policy Communication, Policy Slope, and the Stock Market

Chicago Booth Research Paper No. 17-16, Fama-Miller Working Paper
Number of pages: 89 Posted: 18 Mar 2016 Last Revised: 31 Jul 2019
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 331 (89,411)

Abstract:

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Policy Speeches, Macro News, Return Predictability, Expected Returns

Monetary Policy Slope and the Stock Market

Number of pages: 85 Posted: 10 Nov 2016 Last Revised: 20 Jan 2018
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 198 (152,209)

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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 126 (224,343)

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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 15 (569,652)

Abstract:

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5.
Downloads 509 ( 53,848)

Monetary Momentum

CESifo Working Paper Series No. 6648
Number of pages: 57 Posted: 27 Sep 2017
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 296 (101,175)

Abstract:

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return drift, policy speeches, expected returns, macro news

Monetary Momentum

Number of pages: 58 Posted: 05 Sep 2017 Last Revised: 21 Jun 2018
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 209 (144,634)

Abstract:

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Return Drift, Policy Speeches, Expected Returns, Macro News

Monetary Momentum

NBER Working Paper No. w24748
Number of pages: 59 Posted: 25 Jun 2018
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 4 (646,862)
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6.

Data Snooping in Equity Premium Prediction

Number of pages: 47 Posted: 22 May 2017 Last Revised: 20 Jan 2019
dichtl research & consulting GmbH, Hamburg University, University of Notre Dame - Department of Finance and University of Hamburg
Downloads 335 (88,806)
Citation 2

Abstract:

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Equity risk premium prediction, data snooping bias

7.

Arbitrage Portfolios

Georgia Tech Scheller College of Business Research Paper No. 18-43
Number of pages: 84 Posted: 31 Oct 2018 Last Revised: 17 Apr 2019
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
Georgia Institute of Technology - Scheller College of Business, Northwestern University and University of Notre Dame - Department of Finance
Downloads 268 (113,113)
Citation 3

Abstract:

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

8.

Liquidity Timing in Commodity Markets and the Impact of Financialization

Number of pages: 49 Posted: 29 Oct 2015 Last Revised: 06 Oct 2016
Andreas Neuhierl and Andrew Thompson
University of Notre Dame - Department of Finance and Northwestern University
Downloads 248 (122,532)
Citation 2

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commodity markets, liquidity, momentum

9.

Beating a Random Walk

Number of pages: 45 Posted: 21 Sep 2017 Last Revised: 08 Aug 2018
Peter D. Easton, Peter Kelly and Andreas Neuhierl
University of Notre Dame - Department of Accountancy, University of Notre Dame and University of Notre Dame - Department of Finance
Downloads 240 (126,727)
Citation 1

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earnings, forecasts

10.

Estimating the Anomaly Baserate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 46 Posted: 01 Mar 2019
Alexander Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 145 (199,936)

Abstract:

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Return Predictability, Data Mining, Penalized Regression

11.

Frequency Dependent Risk

Number of pages: 51 Posted: 26 Oct 2018
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
University of Notre Dame - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 39 (426,293)

Abstract:

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

12.

On the Non-Existence of Conditional Value-at-Risk under Heavy Tails and Short Sales

OR Spectrum, Forthcoming
Posted: 25 Feb 2009 Last Revised: 02 Mar 2009
Gunter Bamberg and Andreas Neuhierl
University of Augsburg - Department of Statistics and Mathematical Economic Theory and University of Notre Dame - Department of Finance

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Conditional value-at-risk, Value-at-risk, Heavy tails