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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SSRN CITATIONS
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Top 7,774

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81

CROSSREF CITATIONS

54

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 2,663 (4,703)
Citation 8

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Corporate News, Event Study, Market Efficiency

2.
Downloads 1,203 ( 17,171)
Citation 18

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 742 (33,942)
Citation 1

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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 160 (192,449)
Citation 1

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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 144 (210,452)

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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 72 (339,962)
Citation 10

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 67 (353,974)
Citation 2

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 18 (573,505)

Abstract:

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3.

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 1,036 (21,376)
Citation 3

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

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 345 (89,255)

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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 211 (149,700)
Citation 1

Abstract:

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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 128 (231,294)

Abstract:

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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 17 (580,251)

Abstract:

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5.
Downloads 545 ( 51,715)
Citation 1

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 303 (103,147)

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 237 (133,638)
Citation 1

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 5 (666,719)

Abstract:

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6.

Arbitrage Portfolios

Georgia Tech Scheller College of Business Research Paper No. 18-43, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 91 Posted: 31 Oct 2018 Last Revised: 21 Nov 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 387 (78,675)
Citation 1

Abstract:

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

7.

Data Snooping in Equity Premium Prediction

Number of pages: 49 Posted: 22 May 2017 Last Revised: 11 Dec 2019
dichtl research & consulting GmbH, University of Hamburg, University of Notre Dame - Department of Finance and University of Hamburg
Downloads 351 (88,154)
Citation 2

Abstract:

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Equity risk premium prediction, data snooping bias

8.

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 267 (118,718)
Citation 1

Abstract:

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earnings, forecasts

9.

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 264 (120,115)
Citation 2

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commodity markets, liquidity, momentum

10.
Downloads 257 (123,601)
Citation 3

Estimating the Anomaly Base Rate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 20 Nov 2019
Alex 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 211 (149,700)
Citation 3

Abstract:

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-135
Number of pages: 62 Posted: 21 Nov 2019
Alex 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 40 (449,566)

Abstract:

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

NBER Working Paper No. w26493
Number of pages: 62 Posted: 27 Nov 2019
Alex 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 6 (659,129)
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11.

Frequency Dependent Risk

Number of pages: 58 Posted: 26 Oct 2018 Last Revised: 16 Oct 2019
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
University of Notre Dame - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 70 (341,553)

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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

Abstract:

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