Andreas Neuhierl

University of Notre Dame - Department of Finance

P.O. Box 399

Notre Dame, IN 46556-0399

United States

SCHOLARLY PAPERS

6

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CITATIONS
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Top 33,152

in Total Papers Citations

6

Scholarly Papers (6)

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 (5,413)
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 (17,319)
Citation 4

Abstract:

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

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 (148,180)

Abstract:

Return Predictability, Policy Speeches, Expected Returns, Macro News

Monetary Policy and the Stock Market: Time-Series Evidence

Number of pages: 88 Posted: 18 Mar 2016 Last Revised: 10 Nov 2016
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 158 (150,596)

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 93 (226,715)

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 (496,467)
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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 75 (261,691)

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 (502,084)
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Abstract:

5.

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 (176,659)

Abstract:

commodity markets, liquidity, momentum

6.

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