Thomas Andreas Maurer

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

Assistant Professor

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

14

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3,258

SSRN CITATIONS
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Top 24,810

in Total Papers Citations

2

CROSSREF CITATIONS

26

Scholarly Papers (14)

1.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 1,023 (21,129)
Citation 2

Abstract:

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Foreign Exchange, Currency, Carry Trade, Mean-Variance, Estimation Error, Market Timing, Principal Component

2.

Cointegration in Finance: An Application to Index Tracking

Number of pages: 53 Posted: 11 Apr 2010
Thomas Andreas Maurer
Washington University in St. Louis - John M. Olin Business School
Downloads 411 (71,129)
Citation 3

Abstract:

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index tracking, enhanced indexation, cointegration, portfolio optimization, tracking error minimization

3.

Pricing Risks across Currency Denominations

UNSW Business School Research Paper No. 2015 BFIN 06, FIRN Research Paper No. 2589545
Number of pages: 74 Posted: 05 Apr 2015 Last Revised: 06 Sep 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 356 (84,038)

Abstract:

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Currency risks, carry trades, stochastic discount factor, principal components

4.

Asset Pricing Implications of Demographic Change

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 94 Posted: 11 May 2011 Last Revised: 12 Oct 2018
Thomas Andreas Maurer
Washington University in St. Louis - John M. Olin Business School
Downloads 287 (106,688)
Citation 4

Abstract:

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baby boom, demographic, transition, uncertainty, overlapping generations, intertemporal consumption choice, long run risk, general equilibrium

5.

Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns

Number of pages: 44 Posted: 26 Jan 2010 Last Revised: 30 Dec 2015
Thomas Andreas Maurer
Washington University in St. Louis - John M. Olin Business School
Downloads 159 (187,741)
Citation 2

Abstract:

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uncertain life expectancy, uncertain lifetime, portfolio optimization under uncertainty, time variation in life expectancy, stochastically changing mortality rates, demographic change, intertemporal consumption choice, annuity, life cycle consumption, capital asset pricing, cross-section of returns

6.

The Hirshleifer Effect in a Dynamic Setting

Number of pages: 59 Posted: 20 Apr 2015 Last Revised: 02 Aug 2018
Thomas Andreas Maurer and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 154 (192,911)

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Hirshleifer Effect, Disagreement, Welfare Value of Information, Incomplete Markets

7.

Pricing Shocks to Conditional Market Beta

Number of pages: 37 Posted: 09 Dec 2016 Last Revised: 16 Dec 2016
Thomas Andreas Maurer and Bo Tang
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 145 (202,679)

Abstract:

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Conditional CAPM, Intertemporal CAPM, Intertemporal Hedging Demand, Conditional Market Beta, Multivariate GARCH, Principal Component, Investment Opportunity Set, State Variable

8.

Entangled Risks in Incomplete FX Markets

Number of pages: 51 Posted: 02 Dec 2015 Last Revised: 13 Dec 2016
Thomas Andreas Maurer and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 142 (206,113)
Citation 5

Abstract:

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Incomplete Markets, Exchange Rate, Entangled Risks, Jump Risks, International Correlation Puzzle

9.

Importance of Transaction Costs for Asset Allocations in FX Markets

Number of pages: 91 Posted: 24 Mar 2018 Last Revised: 16 Mar 2019
Thomas Andreas Maurer, Luca Pezzo and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 125 (227,974)
Citation 2

Abstract:

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Transaction Costs, Mean-Variance, Optimization, Asset Allocation, Foreign Exchange, Carry Trade

10.

Is Consumption Growth merely a Sideshow in Asset Pricing?

Number of pages: 47 Posted: 25 Apr 2012 Last Revised: 12 Feb 2013
Thomas Andreas Maurer
Washington University in St. Louis - John M. Olin Business School
Downloads 125 (227,974)
Citation 6

Abstract:

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time preference shocks, taste shocks, demand shocks, equity premium, risk-free rate puzzle, correlation puzzle, consumption based asset pricing, general equilibrium, recursive preferences, return predictability, auto-correlation in stock return

11.

Pricing Implications of Covariances and Spreads in Currency Markets

Number of pages: 73 Posted: 26 Apr 2018 Last Revised: 25 Oct 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 112 (247,053)
Citation 2

Abstract:

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Foreign Exchange, Carry, Forward Discount, Spread Adjustment, Covariance Adjustment, Mean-Variance, Factor Pricing Model, Predictability

12.

Incomplete Asset Market View of the Exchange Rate Determination

Number of pages: 60 Posted: 12 Dec 2016 Last Revised: 04 Mar 2018
Thomas Andreas Maurer and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 97 (272,695)
Citation 5

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Exchange Rates, Incomplete Markets, Risk Entanglement, International Correlations, Asset Market View

13.

The Collateral Value of Housing: Evidence from Servicemember Pension Choice

Number of pages: 52 Posted: 17 Dec 2015 Last Revised: 16 Nov 2017
Benjamin Bennett, Radhakrishnan Gopalan and Thomas Andreas Maurer
Tulane University - A.B. Freeman School of Business, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 66 (342,642)

Abstract:

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personal discount rate, time variation, macroeconomic variables, borrowing constraint, house price, collateral, housing, military pension

14.

Public Information and Risk-Sharing in a Pure-Exchange Economy

Number of pages: 68 Posted: 07 Feb 2014 Last Revised: 02 Jun 2016
Thomas Andreas Maurer and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 56 (372,081)

Abstract:

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information, welfare, risk sharing, timing of uncertainty resolution, asset pricing, general equilibrium