Andreas Neuhierl

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

St. Louis, MO

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 2,921

SSRN RANKINGS

Top 2,921

in Total Papers Downloads

21,831

SSRN CITATIONS
Rank 924

SSRN RANKINGS

Top 924

in Total Papers Citations

1,572

CROSSREF CITATIONS

52

Scholarly Papers (18)

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 4,473 (4,125)
Citation 27

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Corporate News, Event Study, Market Efficiency

2.
Downloads 2,948 ( 8,144)
Citation 227

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 2,113 (13,617)
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 258 (216,623)

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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 185 (297,032)

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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 185 (297,032)
Citation 33

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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 131 (397,581)
Citation 4

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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: 19 Jun 2023
University of Wisconsin - MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 76 (580,481)
Citation 202

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3.

Timing the Factor Zoo

Number of pages: 60 Posted: 03 Apr 2023 Last Revised: 11 Dec 2023
Washington University in St. Louis - John M. Olin Business School, Vienna University of Economics and Business, Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 2,134 (13,659)
Citation 1

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Time-varying risk premia, factor investing, partial least squares

4.

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?

Number of pages: 54 Posted: 08 Mar 2021 Last Revised: 21 Feb 2024
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 1,858 (16,917)
Citation 1

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

5.

Structural Deep Learning in Conditional Asset Pricing

Number of pages: 90 Posted: 02 Jun 2022 Last Revised: 04 Jun 2023
Jianqing Fan, Zheng Tracy Ke, Yuan Liao and Andreas Neuhierl
Princeton University - Bendheim Center for Finance, Harvard University, Rutgers University, New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 1,850 (17,033)
Citation 3

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factor pricing model, neural network, double descent, alphas, characteristics, risk premium

6.

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 - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 1,286 (29,590)
Citation 7

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

7.
Downloads 1,201 (32,700)
Citation 4

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, LawFin Working Paper No. 37
Number of pages: 51 Posted: 05 Sep 2017 Last Revised: 30 Jan 2023
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 780 (58,903)
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 360 (152,467)

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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: 13 Feb 2023
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 61 (655,515)

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8.
Downloads 1,156 (34,519)
Citation 2

Missing Data in Asset Pricing Panels

Chicago Booth Research Paper No. 22-19, Fama-Miller Working Paper, Olin Business School Center for Finance & Accounting Research Paper No. Forthcoming
Number of pages: 94 Posted: 18 Nov 2021 Last Revised: 16 Feb 2024
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 1,067 (38,115)
Citation 3

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Missing Data in Asset Pricing Panels

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-168, Chicago Booth Research Paper No. 22-19
Number of pages: 85 Posted: 05 Jan 2023
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 72 (598,962)

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

Missing Data in Asset Pricing Panels

NBER Working Paper No. w30761
Number of pages: 85 Posted: 19 Dec 2022 Last Revised: 21 Jul 2023
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 17 (1,005,577)
Citation 2
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9.

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 1,120 (36,098)
Citation 5

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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
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 411 (131,168)
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 229 (243,634)
Citation 3

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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 180 (304,587)

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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 2023
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 72 (598,962)

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11.

Including Earnings of Delisting Firms in Studies Using CRSP/Compustat Merged Data

Number of pages: 25 Posted: 21 Sep 2017 Last Revised: 04 Apr 2023
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 585 (86,390)
Citation 2

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earnings, delistings

12.

Characteristic-Based Returns: Alpha or Smart Beta?

Journal of Investment Management, 20 (First Quarter 2022):70-89., KAIST College of Business Working Paper Series
Number of pages: 32 Posted: 24 Jul 2021 Last Revised: 20 Jan 2022
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University - Kellogg School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 567 (89,901)
Citation 1

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arbitrage, characteristic based model, smart beta, factor pricing

13.

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 512 (102,059)
Citation 3

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Equity risk premium prediction, data snooping bias

14.
Downloads 453 (118,194)
Citation 25

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 343 (160,729)
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 81 (558,584)
Citation 3

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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: 22 May 2023
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 29 (884,965)
Citation 4

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15.

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 389 (140,909)
Citation 1

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commodity markets, liquidity, momentum

16.

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 238 (235,751)
Citation 4

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

17.

Economic Forecasts Using Many Noise

Number of pages: 53 Posted: 20 Dec 2023 Last Revised: 14 Apr 2024
Yuan Liao, Xinjie Ma, Andreas Neuhierl and Zhentao Shi
Rutgers, The State University of New Jersey - Department of Economics, Business School, National University of Singapore, Washington University in St. Louis - John M. Olin Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 169 (322,245)

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machine learning, factor model, double descent, dense signals

18.

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