Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

  • University of Rochester - Simon Business School

SCHOLARLY PAPERS

10

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14,011

SSRN CITATIONS
Rank 3,849

SSRN RANKINGS

Top 3,849

in Total Papers Citations

221

CROSSREF CITATIONS

88

Scholarly Papers (10)

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1.

Volatility-Managed Portfolios

Downloads 8,474 ( 681)
Citation 70

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 8,389 (678)
Citation 22

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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 85 (320,211)
Citation 40

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2.

The Macroeconomics of Shadow Banking

Downloads 1,992 ( 8,134)
Citation 54

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 1,937 (8,356)
Citation 2

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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 55 (407,196)
Citation 28

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3.

Hedging Risk Factors

Number of pages: 83 Posted: 24 Mar 2018 Last Revised: 28 Sep 2019
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 1,158 (19,106)
Citation 4

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

4.

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 961 (25,143)
Citation 10

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5.

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 519 (57,790)
Citation 42

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

6.

Liquidity Creation As Volatility Risk

Number of pages: 43 Posted: 08 Mar 2018
Itamar Drechsler, Alan Moreira and Alexi Savov
Wharton School, Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 446 (69,702)
Citation 4

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liquidity, volatility, reversals, VIX, variance premium

7.

Text Selection

Downloads 237 (140,622)
Citation 1

Text Selection

Number of pages: 57 Posted: 10 Dec 2019
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 233 (142,543)
Citation 1

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Text analysis, machine learning, selection model, high dimension forecast, multinomial regression, hurdle, zero inflation, partisanship, intermediary capital

Text Selection

NBER Working Paper No. w26517
Number of pages: 58 Posted: 03 Dec 2019
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 4 (700,291)
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8.

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 106 (277,008)

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financial intermediation, reaching for yield, slow-moving capital

9.

When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response

Number of pages: 46 Posted: 04 May 2020 Last Revised: 08 May 2020
Valentin Haddad, 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 82 (324,434)

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COVID-19, Bond Markets, Financial Crisis, Liquidity, CDS-Bond Basis, ETF Arbitrage, Federal Reserve

10.

When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed's Response

NBER Working Paper No. w27168
Number of pages: 53 Posted: 18 May 2020 Last Revised: 27 May 2020
Valentin Haddad, 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 36 (474,647)

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