Tim Alexander Kroencke

University of Neuchatel - Institute of Financial Analysis

Pierre-a-Mazel,7

Neuchatel, CH-2000

Switzerland

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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18

CROSSREF CITATIONS

16

Scholarly Papers (13)

1.

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 745 (36,282)
Citation 5

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

2.

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 686 (40,576)
Citation 15

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

3.
Downloads 531 ( 56,610)
Citation 3

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 423 (74,211)
Citation 5

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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 108 (275,155)

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

4.
Downloads 399 ( 80,230)
Citation 3

The FOMC Risk Shift

Number of pages: 85 Posted: 20 Nov 2017 Last Revised: 23 Jul 2020
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 397 (79,958)
Citation 4

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

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
Downloads 2 (726,716)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

5.

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 344 (95,125)

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

6.

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 252 (132,813)

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

7.

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 203 (164,252)

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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
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Royal Institute of Technology (KTH)
Downloads 194 (170,410)

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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

9.

Recessions and the Stock Market

Number of pages: 62 Posted: 30 Apr 2018 Last Revised: 01 Feb 2020
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 193 (171,345)
Citation 3

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Consumption-Based Asset Pricing, Equity Premium, Recessions, Long Run Risk, Habits

10.

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 126 (244,639)

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

11.

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 92 (304,332)

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

12.

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 69 (360,470)

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

13.

On Robust Inference for Consumption-based Asset Pricing

Number of pages: 69 Posted: 30 Apr 2020
Tim Alexander Kroencke
University of Neuchatel - Institute of Financial Analysis
Downloads 58 (393,797)

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