David Schreindorfer

Arizona State University

Assistant Professor of Finance

United States

http://www.davidschreindorfer.com

  • Arizona State University

SCHOLARLY PAPERS

7

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2,614

SSRN CITATIONS
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Top 24,770

in Total Papers Citations

33

CROSSREF CITATIONS

12

Scholarly Papers (7)

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1.

Dissecting the Equity Premium

Journal of Political Economy, Vol. 130, No. 8, 2022
Number of pages: 27 Posted: 13 Sep 2019 Last Revised: 29 Aug 2022
Tyler Beason and David Schreindorfer
Virginia Tech and Arizona State University
Downloads 899 (46,245)
Citation 17

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tail risk, equity premium puzzle, equity index options, Arrow-Debreu securities, rare disasters, long-run risks, external habits, incomplete markets, intermediary-based asset pricing

2.

Volatility and the Pricing Kernel

Swedish House of Finance Research Paper No. 21-22
Number of pages: 46 Posted: 30 Nov 2021 Last Revised: 25 Oct 2023
David Schreindorfer, Tobias Sichert and Tobias Sichert
Arizona State University and Stockholm School of EconomicsSwedish House of Finance
Downloads 642 (72,397)

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Pricing kernel, volatility, state prices, equity index options, tail risk, risk-return trade-off, conditional density estimation, habits, long-run risks, rare disasters, valuation risk

3.

Macroeconomic Tail Risks and Asset Prices

The Review of Financial Studies, Vol. 33, No. 8, 2020
Number of pages: 57 Posted: 27 Feb 2018 Last Revised: 25 Jul 2023
David Schreindorfer
Arizona State University
Downloads 366 (141,810)
Citation 12

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macroeconomic tail risk, equity index options, equity premium puzzle, generalized disappointment aversion, risk aversion

4.

Persistent Crises and Levered Asset Prices

The Review of Financial Studies, Vol. 36, No. 6, 2023
Number of pages: 57 Posted: 09 Jan 2021 Last Revised: 26 Jul 2023
Lars-Alexander Kuehn, David Schreindorfer and Florian Schulz
Carnegie Mellon University - David A. Tepper School of Business, Arizona State University and University of Washington
Downloads 305 (172,388)
Citation 2

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Disasters, Epstein-Zin preferences, SMM, credit risk, option pricing

5.

Tails, Fears, and Equilibrium Option Prices

Number of pages: 60 Posted: 22 Nov 2013 Last Revised: 24 Jul 2014
David Schreindorfer
Arizona State University
Downloads 180 (286,161)
Citation 9

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Generalized Disappointment Aversion, Equity Index Options, Varience Swaps, Return Predictability

6.

By Force of Habit and Cyclical Leverage

Number of pages: 27 Posted: 07 Aug 2023 Last Revised: 25 Oct 2023
David Schreindorfer
Arizona State University
Downloads 118 (401,841)

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External habits, countercyclical volatility, return predictability, leverage, numerical solution methods

7.

Optimal Volatility Timing: A Life-Cycle Perspective

Number of pages: 25 Posted: 22 Nov 2013 Last Revised: 01 Jul 2017
Jan Schneemeier and David Schreindorfer
Indiana University - Kelley School of Business and Arizona State University
Downloads 104 (440,365)

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Stochastic volatility, portfolio choice, life-cycle investing