Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 2,934

SSRN RANKINGS

Top 2,934

in Total Papers Downloads

12,175

CITATIONS
Rank 9,020

SSRN RANKINGS

Top 9,020

in Total Papers Citations

61

Scholarly Papers (7)

1.
Downloads 7,627 ( 702)
Citation 48

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 7,549 (707)
Citation 40

Abstract:

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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 78 (308,834)
Citation 13

Abstract:

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2.
Downloads 1,932 ( 7,524)
Citation 25

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 1,883 (7,710)
Citation 13

Abstract:

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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 49 (393,328)
Citation 41

Abstract:

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3.

Hedging Risk Factors

Number of pages: 76 Posted: 24 Mar 2018 Last Revised: 03 Jun 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 892 (25,260)
Citation 1

Abstract:

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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 819 (28,451)
Citation 5

Abstract:

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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 420 (67,690)
Citation 43

Abstract:

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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 383 (75,552)
Citation 1

Abstract:

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liquidity, volatility, reversals, VIX, variance premium

7.

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 102 (258,361)

Abstract:

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financial intermediation, reaching for yield, slow-moving capital