Andreas Neuhierl

University of Notre Dame - Department of Finance

P.O. Box 399

Notre Dame, IN 46556-0399

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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3,875

CITATIONS
Rank 33,198

SSRN RANKINGS

Top 33,198

in Total Papers Citations

6

Scholarly Papers (7)

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 (5,341)
Citation 2

Abstract:

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 (17,610)
Citation 4

Abstract:

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 177 (139,708)

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 (152,050)

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 (224,707)

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 (508,598)

Abstract:

Dissecting Characteristics Nonparametrically

Number of pages: 66 Posted: 11 Aug 2016 Last Revised: 07 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 119 (196,329)

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
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 95 (229,540)

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
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 10 (514,092)

Abstract:

5.

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, University of Hamburg and University of Notre Dame - Department of Finance
Downloads 0 (292,970)

Abstract:

Equity risk premium prediction, data snooping bias

6.

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 J Thompson
University of Notre Dame - Department of Finance and Northwestern University
Downloads 0 (169,114)

Abstract:

commodity markets, liquidity, momentum

7.

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:

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