Tim Alexander Kroencke

University of Neuchatel - Institute of Financial Analysis

Pierre-a-Mazel,7

Neuchatel, CH-2000

Switzerland

SCHOLARLY PAPERS

16

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8,250

SSRN CITATIONS
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SSRN RANKINGS

Top 15,657

in Total Papers Citations

41

CROSSREF CITATIONS

30

Scholarly Papers (16)

1.

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

Number of pages: 57 Posted: 26 Jul 2021 Last Revised: 15 Jun 2022
David Ardia, Emanuele Guidotti and Tim Alexander Kroencke
HEC Montreal - Department of Decision Sciences, University of Neuchâtel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 2,889 (6,191)

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

2.
Downloads 945 ( 34,462)
Citation 6

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 767 (45,225)
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, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 176 (234,503)
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, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 2 (899,404)
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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 787 (44,361)
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, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 768 (45,761)
Citation 10

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

5.
Downloads 605 ( 62,548)
Citation 6

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 461 (86,742)
Citation 7

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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, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 144 (277,480)

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

6.

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 347 (120,978)

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

7.

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 296 (143,724)
Citation 2

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

8.

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 277 (153,251)

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

9.

On Robust Inference for Consumption-based Asset Pricing

Number of pages: 74 Posted: 30 Apr 2020 Last Revised: 22 Oct 2021
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 252 (168,567)
Citation 2

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

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 214 (198,363)
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

11.

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 212 (198,593)
Citation 1

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

12.

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 207 (203,047)

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Asset pricing tests, factor models, small samples

13.

Online Appendix: International Diversification Benefits with Foreign Exchange Investment Styles

Number of pages: 40 Posted: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler, Andreas Schrimpf 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 DepartmentCREATES - Aarhus University
Downloads 134 (292,288)

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

14.

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 113 (330,861)

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

15.

Delegated Risk-Taking

Number of pages: 41 Posted: 03 Feb 2022 Last Revised: 06 Feb 2022
Tim Alexander Kroencke and Carolina Salva
University of Neuchatel - Institute of Financial Analysis and University of Neuchatel
Downloads 111 (335,058)

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Pension funds, asset allocation, risk-taking, reach for yield,

16.

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 93 (376,155)
Citation 1

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