Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 2,795

SSRN RANKINGS

Top 2,795

in Total Papers Downloads

13,243

SSRN CITATIONS
Rank 4,065

SSRN RANKINGS

Top 4,065

in Total Papers Citations

185

CROSSREF CITATIONS

86

Scholarly Papers (8)

1.
Downloads 8,146 ( 680)
Citation 63

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 8,064 (680)
Citation 19

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 82 (315,050)
Citation 36

Abstract:

Loading...

2.
Downloads 1,973 ( 7,794)
Citation 50

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 1,919 (7,994)
Citation 2

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 54 (395,621)
Citation 23

Abstract:

Loading...

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 1,090 (19,891)
Citation 4

Abstract:

Loading...

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 864 (27,904)
Citation 7

Abstract:

Loading...

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 491 (59,203)
Citation 38

Abstract:

Loading...

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 428 (69,995)

Abstract:

Loading...

liquidity, volatility, reversals, VIX, variance premium

7.
Downloads 147 (206,634)
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 143 (211,840)
Citation 1

Abstract:

Loading...

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 (675,143)
  • Add to Cart

Abstract:

Loading...

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 104 (268,065)

Abstract:

Loading...

financial intermediation, reaching for yield, slow-moving capital