Andreas Neuhierl

University of Notre Dame - Department of Finance

P.O. Box 399

Notre Dame, IN 46556-0399

United States

SCHOLARLY PAPERS

9

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CITATIONS
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6

Scholarly Papers (9)

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, University of California, Davis - Graduate School of Management and Board of Governors of the Federal Reserve System
Downloads 1,618 (5,158)
Citation 2

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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 936 (19,098)
Citation 4

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

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 293 (92,390)

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Return Predictability, Policy Speeches, Expected Returns, Macro News

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 171 (158,018)

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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 116 (217,389)

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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 12 (540,044)
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Dissecting Characteristics Nonparametrically

Number of pages: 79 Posted: 11 Aug 2016 Last Revised: 20 Nov 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 291 (93,119)

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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 128 (201,611)

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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: 79 Posted: 20 Nov 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 126 (204,095)

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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 12 (540,044)
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5.
Downloads 369 ( 71,506)

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 245 (111,717)

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return drift, policy speeches, expected returns, macro news

Monetary Momentum

Number of pages: 55 Posted: 05 Sep 2017
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 124 (206,689)

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Return Drift, Policy Speeches, Expected Returns, Macro News

6.

Beating a Random Walk

Number of pages: 24 Posted: 21 Sep 2017
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 0 (160,339)

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earnings, forecasts

7.

Data Snooping in Equity Premium Prediction

Number of pages: 39 Posted: 22 May 2017 Last Revised: 13 Jun 2017
University of Hamburg, dichtl research & consulting GmbH, Hamburg University and University of Notre Dame - Department of Finance
Downloads 0 (104,694)

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Equity risk premium prediction, data snooping bias

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 0 (139,394)

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commodity markets, liquidity, momentum

9.

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