Andreas Neuhierl

Washington University in St. Louis - John M. Olin Business School

St. Louis, MO

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 4,677

SSRN RANKINGS

Top 4,677

in Total Papers Downloads

11,222

SSRN CITATIONS
Rank 2,541

SSRN RANKINGS

Top 2,541

in Total Papers Citations

463

CROSSREF CITATIONS

66

Scholarly Papers (15)

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
Washington University in St. Louis - John M. Olin Business School, Brandeis University and Board of Governors of the Federal Reserve System
Downloads 3,350 (4,186)
Citation 11

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Corporate News, Event Study, Market Efficiency

2.
Downloads 1,873 ( 10,914)
Citation 72

Dissecting Characteristics Nonparametrically

Number of pages: 105 Posted: 11 Aug 2016 Last Revised: 05 Aug 2018
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 1,286 (19,227)
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
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 187 (202,206)

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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
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 158 (234,241)

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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
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 122 (287,607)
Citation 51

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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
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 85 (367,134)
Citation 3

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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 Last Revised: 20 Jun 2021
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 35 (560,350)
Citation 24

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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
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 1,063 (25,995)
Citation 3

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

4.

Option Characteristics as Cross-Sectional Predictors

Number of pages: 49 Posted: 08 Mar 2021 Last Revised: 30 Jun 2021
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 880 (33,931)

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Asset Pricing, Factor Models, High-dimensional Methods, Option-implied Risk

5.

Arbitrage Portfolios

Review of Financial Studies, vol. 34 No 6, 2813-2856
Number of pages: 95 Posted: 31 Oct 2018 Last Revised: 24 May 2021
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University and Washington University in St. Louis - John M. Olin Business School
Downloads 841 (36,151)
Citation 7

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

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
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 367 (101,769)
Citation 5

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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
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 227 (168,709)
Citation 1

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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
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 141 (257,280)

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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 Last Revised: 21 May 2021
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 22 (646,502)

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7.
Downloads 739 ( 43,143)
Citation 2

Time Series Momentum around FOMC Meetings

Chicago Booth Research Paper No. 20-05, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-39
Number of pages: 50 Posted: 05 Sep 2017 Last Revised: 04 Feb 2021
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 406 (90,550)
Citation 2

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Return Drift, Monetary Policy, FOMC, Macro News

Monetary Momentum

CESifo Working Paper Series No. 6648
Number of pages: 57 Posted: 27 Sep 2017
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 317 (119,879)

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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 Last Revised: 14 Feb 2021
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 16 (693,399)

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8.

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, Washington University in St. Louis - John M. Olin Business School and BlackRock, Inc - London
Downloads 400 (92,898)
Citation 3

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Equity risk premium prediction, data snooping bias

9.

Attrition bias and inferences regarding earnings properties

Number of pages: 51 Posted: 21 Sep 2017 Last Revised: 08 Jul 2021
University of Notre Dame - Department of Accountancy, University of Amsterdam - Amsterdam Business School, University of Notre Dame and Washington University in St. Louis - John M. Olin Business School
Downloads 366 (102,832)
Citation 2

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earnings, forecasts

10.
Downloads 341 (111,330)
Citation 11

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
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 281 (136,223)
Citation 4

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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
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 52 (477,802)

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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 Last Revised: 23 May 2021
Alex Chinco, Andreas Neuhierl and Michael Weber
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 8 (761,310)
Citation 4

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11.

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
Washington University in St. Louis - John M. Olin Business School and Northwestern University
Downloads 305 (125,575)
Citation 2

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commodity markets, liquidity, momentum

12.

Frequency Dependent Risk

Number of pages: 67 Posted: 26 Oct 2018 Last Revised: 23 Apr 2020
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
Washington University in St. Louis - John M. Olin Business School and Copenhagen Business School - Department of Finance
Downloads 158 (233,812)
Citation 4

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

13.

Characteristic-Based Returns: Alpha or Smart Beta?

Journal of Investment Management, Forthcoming., KAIST College of Business Working Paper Series No.
Number of pages: 32 Posted: 24 Jul 2021
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University and Washington University in St. Louis - John M. Olin Business School
Downloads 130 (272,986)

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arbitrage, characteristic based model, smart beta, factor pricing

14.

Missing Data in Asset Pricing Panels

Number of pages: 64
University of Wisconsin - MadisonUniversity of Bonn, University of Bonn - Department of Economics, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 19

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Cross Section of Returns, Missing Data, Expected Returns, Generalized Method of Moments

15.

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 Washington University in St. Louis - John M. Olin Business School

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