Tim Alexander Kroencke

FHNW School of Business

Peter Merian-Strasse 86

Basel, 4002

Switzerland

SCHOLARLY PAPERS

17

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12,165

SSRN CITATIONS
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Top 9,543

in Total Papers Citations

148

CROSSREF CITATIONS

32

Scholarly Papers (17)

1.

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

Number of pages: 65 Posted: 26 Jul 2021 Last Revised: 20 May 2024
David Ardia, Emanuele Guidotti and Tim Alexander Kroencke
HEC Montreal - Department of Decision Sciences, University of Lugano - Institute of Finance and FHNW School of Business
Downloads 4,401 (4,392)
Citation 3

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

2.
Downloads 1,279 (30,876)
Citation 27

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
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,023 (41,859)
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
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 253 (227,572)
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
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3 (1,185,433)
Citation 24
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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
FHNW School of Business
Downloads 944 (47,520)
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
FHNW School of Business, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 823 (57,396)
Citation 19

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

5.

The UBS-Credit Suisse Merger: Helvetia’s Gift

Number of pages: 41 Posted: 26 Jun 2023 Last Revised: 27 Mar 2024
Pascal Böni, Tim Alexander Kroencke and Florin P. Vasvari
Tilburg University, FHNW School of Business and London Business School
Downloads 788 (60,910)
Citation 2

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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

6.
Downloads 728 (67,555)
Citation 8

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 546 (96,113)
Citation 11

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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
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 182 (310,617)
Citation 1

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

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
FHNW School of Business and Karlsruhe Institute of Technology
Downloads 514 (104,710)
Citation 2

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Asset pricing tests, factor models, small samples

8.

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
FHNW School of Business
Downloads 375 (151,336)
Citation 2

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

9.

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
FHNW School of Business and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 374 (151,781)
Citation 1

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

10.

Recessions and the Stock Market

Number of pages: 64 Posted: 30 Apr 2018 Last Revised: 03 May 2022
Tim Alexander Kroencke
FHNW School of Business
Downloads 355 (160,769)
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
FHNW School of Business, Steinbeis University Berlin - Center for Real Estate Studies, University of Regensburg - International Real Estate Business School (IREBS) and University of Mannheim - Finance Area
Downloads 320 (179,692)

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

12.

Delegated Risk-Taking

Number of pages: 59 Posted: 03 Feb 2022 Last Revised: 10 May 2023
Tim Alexander Kroencke and Carolina Salva
FHNW School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 273 (212,069)

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

13.

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
FHNW School of Business and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 248 (233,227)
Citation 1

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

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
FHNW School of Business, Steinbeis University Berlin - Center for Real Estate Studies and Royal Institute of Technology (KTH)
Downloads 246 (233,969)
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
FHNW School of Business, 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

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
FHNW School of Business, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 172 (327,068)

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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
FHNW School of Business
Downloads 164 (340,786)

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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
FHNW School of Business, ZEW – Leibniz Centre for European Economic Research and ZEW – Leibniz Centre for European Economic Research
Downloads 161 (346,247)
Citation 1

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