Tim Alexander Kroencke

University of Neuchatel - Institute of Financial Analysis

Pierre-a-Mazel,7

Neuchatel, CH-2000

Switzerland

  • University of Neuchatel - Institute of Financial Analysis

SCHOLARLY PAPERS

17

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104

CROSSREF CITATIONS

29

Scholarly Papers (17)

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1.

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Number of pages: 60 Posted: 26 Jul 2021 Last Revised: 16 Dec 2022
David Ardia, Emanuele Guidotti and Tim Alexander Kroencke
HEC Montreal - Department of Decision Sciences, University of Lugano - Institute of Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 3,824 (4,776)
Citation 1

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bid-ask spread, transaction costs, asset pricing, trading frictions, market liquidity

2.

The FOMC Risk Shift

Downloads 1,196 (29,763)
Citation 17

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 967 (39,611)
Citation 6

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Monetary policy shocks, Equity Premium, Fund Flows, Portfolio Rebalancing

The FOMC Risk Shift

SAFE Working Paper No. 302
Number of pages: 89 Posted: 27 Jan 2021
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 226 (224,255)
Citation 2

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Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures

The FOMC Risk Shift

CEPR Discussion Paper No. DP14037
Number of pages: 98 Posted: 07 Oct 2019
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

3.

Asset Pricing without Garbage

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 17 Sep 2013 Last Revised: 19 Jul 2016
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 887 (45,421)
Citation 24

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consumption-based asset pricing, equity premium, relative risk aversion, cross-section of stock returns, consumption volatility, filtering

4.

International Diversification Benefits with Foreign Exchange Investment Styles

CREATES Research Paper No. 2011-10
Number of pages: 51 Posted: 21 Mar 2011 Last Revised: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 792 (52,939)
Citation 13

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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles

5.

Global Asset Allocation Shifts

Downloads 650 (68,686)
Citation 6

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 486 (97,603)
Citation 10

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

Global Asset Allocation Shifts

BIS Working Paper No. 497
Number of pages: 70 Posted: 01 Apr 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 164 (299,890)

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

6.

The UBS-Credit Suisse Merger: Helvetia’s Gift

Number of pages: 40 Posted: 26 Jun 2023 Last Revised: 13 Jul 2023
Pascal Böni, Tim Alexander Kroencke and Florin P. Vasvari
Tilburg University, University of Neuchatel - Institute of Financial Analysis and London Business School
Downloads 407 (122,112)

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Economic crises, bank bailouts, merger, fire-sale, additional tier 1 (AT1), contingent convertible bonds(CoCo), regulation, security design, systemically important banks (SIB), too-big-to-fail

7.

A Skeptical Appraisal of Robust Asset Pricing Tests

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 62 Posted: 08 Jul 2021 Last Revised: 16 May 2022
Tim Alexander Kroencke and Julian Thimme
University of Neuchatel - Institute of Financial Analysis and Karlsruhe Institute of Technology
Downloads 397 (124,975)
Citation 1

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Asset pricing tests, factor models, small samples

8.

International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk

ZEW - Centre for European Economic Research Discussion Paper No. 11-012
Number of pages: 38 Posted: 19 Feb 2011
Tim Alexander Kroencke and Felix Schindler
University of Neuchatel - Institute of Financial Analysis and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 358 (140,318)
Citation 1

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Diversification Benefits, International Mixed-Asset Portfolios, Currency Hedging, Spanning Tests, Short Selling Constraints

9.

Robust Inference for Consumption-based Asset Pricing with Power

Number of pages: 60 Posted: 30 Apr 2020 Last Revised: 21 Nov 2022
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 338 (149,304)
Citation 2

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Consumption-based asset pricing, useless factor problem, Fama-MacBeth regressions

10.

Recessions and the Stock Market

Number of pages: 64 Posted: 30 Apr 2018 Last Revised: 03 May 2022
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 326 (155,190)
Citation 2

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Business cycles and the stock market; predictability of the price-dividend ratio; empirical evaluation of macro-finance models.

11.

GDP Mimicking Portfolios and the Cross-Section of Stock Returns

Number of pages: 65 Posted: 01 May 2013
Tim Alexander Kroencke, Felix Schindler, Steffen P. Sebastian and Erik Theissen
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies, University of Regensburg - International Real Estate Business School (IREBS) and University of Mannheim - Finance Area
Downloads 310 (163,573)

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Business Cycle, Lead, Lag, Size, Value, Momentum

12.

Downside Risk Optimization in Securitized Real Estate Markets

ZEW - Centre for European Economic Research Discussion Paper No. 10-034
Number of pages: 33 Posted: 09 Jun 2010
Tim Alexander Kroencke and Felix Schindler
University of Neuchatel - Institute of Financial Analysis and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 237 (214,630)
Citation 1

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Downside Risk Analysis, International Real Estate Markets, Portfolio Management, Portfolio Optimization, Out-of-Sample Analysis

13.

The Anatomy of Public and Private Real Estate Return Premia

Downloads 235 (216,471)
Citation 1

The Anatomy of Public and Private Real Estate Return Premia

Number of pages: 40 Posted: 25 Jun 2014 Last Revised: 21 Dec 2017
Tim Alexander Kroencke, Felix Schindler and Bertram I. Steininger
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Royal Institute of Technology (KTH)
Downloads 235 (215,804)
Citation 1

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Asset Pricing, Direct Real Estate, Listed Real Estate, Real Estate Risk, Business Cycle Risk

The Anatomy of Public and Private Real Estate Return Premia

Journal of Real Estate Finance and Economics, Vol. 56, No. 3, 2018
Posted: 16 Mar 2018
Tim Alexander Kroencke, Felix Schindler and Bertram I. Steininger
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Royal Institute of Technology (KTH)

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Asset pricing; Direct real estate; Listed real estate; Real estate risk; Business cycle risk

14.

Delegated Risk-Taking

Number of pages: 59 Posted: 03 Feb 2022 Last Revised: 10 May 2023
Tim Alexander Kroencke and Carolina Salva
University of Neuchatel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 212 (238,667)

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Asset allocation, Risk-taking, Delegated Asset Management, Pension Funds, Interest rates, Switzerland

15.

Online Appendix: International Diversification Benefits with Foreign Exchange Investment Styles

Number of pages: 40 Posted: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 156 (312,437)

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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles

16.

Internet Appendix: Asset Pricing without Garbage

Number of pages: 37 Posted: 15 Nov 2015 Last Revised: 19 Jul 2016
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 143 (335,440)

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consumption-based asset pricing, equity premium, relative risk aversion, cross-section of stock returns, consumption volatility, filtering

17.

Return and Risk of Human Capital Contracts

ZEW - Centre for European Economic Research Discussion Paper No. 13-108
Number of pages: 34 Posted: 17 Dec 2013
Tim Alexander Kroencke, Grit Mühler and Maresa Sprietsma
University of Neuchatel - Institute of Financial Analysis, ZEW – Leibniz Centre for European Economic Research and ZEW – Leibniz Centre for European Economic Research
Downloads 133 (354,986)
Citation 1

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human capital returns, human capital contracts, risk and return of non-traded assets, mean-variance spanning tests