David Schreindorfer

Arizona State University

Assistant Professor of Finance

Farmer Building 440G PO Box 872011

Tempe, AZ 85287

United States

http://www.davidschreindorfer.com

  • Arizona State University

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 35,590

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8

CROSSREF CITATIONS

14

Scholarly Papers (6)

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1.

Dissecting the Equity Premium

Number of pages: 27 Posted: 13 Sep 2019 Last Revised: 02 Feb 2022
Tyler Beason and David Schreindorfer
Virginia Tech and Arizona State University
Downloads 570 (66,827)
Citation 5

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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: 31 Posted: 30 Nov 2021 Last Revised: 01 Feb 2022
David Schreindorfer, Tobias Sichert and Tobias Sichert
Arizona State University and Stockholm School of EconomicsSwedish House of Finance
Downloads 248 (168,341)

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Pricing kernel, volatility, risk-return trade-off, equity index options, habits, long-run risks, rare disasters, incomplete markets.

3.

Macroeconomic Tail Risks and Asset Prices

The Review of Financial Studies
Number of pages: 57 Posted: 27 Feb 2018 Last Revised: 02 Feb 2022
David Schreindorfer
Arizona State University
Downloads 248 (168,341)
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

Number of pages: 57 Posted: 09 Jan 2021 Last Revised: 13 May 2022
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 166 (242,315)
Citation 1

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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 163 (245,976)
Citation 9

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

6.

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 72 (430,153)

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Stochastic volatility, portfolio choice, life-cycle investing