SSRN logo
Advanced Search

Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

  • University of Rochester - Simon Business School

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 3,815

SSRN RANKINGS

Top 3,815

in Total Papers Downloads

9,093

CITATIONS

0

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

Volatility-Managed Portfolios

Downloads 6,060 ( 898)

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 6,012 (903)

Abstract:

Loading...

Volatility Managed Portfolios

NBER Working Paper No. w22208
Number of pages: 57 Posted: 02 May 2016
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 48 (362,277)

Abstract:

Loading...

2.

The Macroeconomics of Shadow Banking

Downloads 1,805 ( 7,353)

The Macroeconomics of Shadow Banking

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 16 Aug 2013 Last Revised: 05 Jan 2017
Alan Moreira and Alexi Savov
University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 1,759 (7,536)

Abstract:

Loading...

Financial intermediation, liquidity transformation, shadow banking, unconventional monetary policy

The Macroeconomics of Shadow Banking

NBER Working Paper No. w20335
Number of pages: 56 Posted: 28 Jul 2014
Alan Moreira and Alexi Savov
University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 46 (368,976)

Abstract:

Loading...

3.

News Implied Volatility and Disaster Concerns

Journal of Financial Economics (JFE), Vol. 123, No. 1, 2017
Number of pages: 63 Posted: 21 Jan 2014 Last Revised: 10 Jan 2017
Asaf Manela and Alan Moreira
Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 112 (83,586)

Abstract:

Loading...

Text-based analysis, implied volatility, rare disasters, equity premium, return predictability, machine learning

4.

Capital Immobility and the Reach for Yield

Number of pages: 50 Posted: 23 Oct 2014 Last Revised: 13 Nov 2015
Alan Moreira
University of Rochester - Simon Business School
Downloads 33 (257,005)

Abstract:

Loading...

financial intermediation, reaching for yield, slow-moving capital

5.

Hedging Risk Factors

Number of pages: 34 Posted: 24 Mar 2018 Last Revised: 17 Apr 2018
Bernard Herskovic, Alan Moreira and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 0 (194,080)

Abstract:

Loading...

Risk and Return, Equity Premium, Hedging, Asset Pricing Models, Factor Models

6.

Liquidity Creation As Volatility Risk

Number of pages: 43 Posted: 08 Mar 2018
Itamar Drechsler, Alan Moreira and Alexi Savov
New York University (NYU) - Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 0 (153,098)

Abstract:

Loading...

liquidity, volatility, reversals, VIX, variance premium

7.

Should Long-Term Investors Time Volatility?

Number of pages: 61 Posted: 03 Dec 2016 Last Revised: 16 Jan 2018
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 0 (48,204)

Abstract:

Loading...