David Schreindorfer

Arizona State University

Assistant Professor of Finance

Farmer Building 440G PO Box 872011

Tempe, AZ 85287

United States

http://www.davidschreindorfer.com

SCHOLARLY PAPERS

5

DOWNLOADS

765

SSRN CITATIONS
Rank 34,591

SSRN RANKINGS

Top 34,591

in Total Papers Citations

9

CROSSREF CITATIONS

14

Scholarly Papers (5)

1.

Dissecting the Equity Premium

Number of pages: 25 Posted: 13 Sep 2019 Last Revised: 02 May 2021
Tyler Beason and David Schreindorfer
Arizona State University (ASU) - Finance Department and Arizona State University
Downloads 242 (152,946)
Citation 6

Abstract:

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

2.

Macroeconomic Tail Risks and Asset Prices

The Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 27 Feb 2018 Last Revised: 25 Sep 2019
David Schreindorfer
Arizona State University
Downloads 211 (173,528)
Citation 12

Abstract:

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

3.

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 155 (227,710)
Citation 9

Abstract:

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

4.

Persistent Crises and Levered Asset Prices

Number of pages: 59 Posted: 09 Jan 2021
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 89 (339,849)
Citation 1

Abstract:

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Long-lasting consumption crises, Epstein-Zin preferences, SMM, credit risk, option pricing

5.

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 - Department of Finance and Arizona State University
Downloads 68 (399,855)

Abstract:

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Stochastic volatility, portfolio choice, life-cycle investing