Paul Söderlind

University of St. Gallen

Professor

Rosenbergstrasse 52

St. Gallen, 9000

Switzerland

http://https://sites.google.com/site/paulsoderlindecon/home

SCHOLARLY PAPERS

45

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Top 1,879

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31,869

TOTAL CITATIONS
Rank 1,725

SSRN RANKINGS

Top 1,725

in Total Papers Citations

258

Scholarly Papers (45)

1.
Downloads 16,403 ( 456)
Citation 9

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,403 (481)
Citation 9

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nonstandard errors, multi-analyst study, liquidity

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 1,489 (25,600)
Citation 3

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 437 (133,074)
Citation 3

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 6 (1,239,551)
Citation 26
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carry trade, factor model, smooth transition regression, time-varying betas

3.
Downloads 1,517 (25,333)
Citation 15

Individual Investor Activity and Performance

Swedish House of Finance Research Paper No. 14-08 (revised version)
Number of pages: 44 Posted: 01 Nov 2011 Last Revised: 01 Jun 2016
Stockholm School of Economics, University of Connecticut - Department of Finance and University of St. Gallen
Downloads 632 (84,310)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

University of St. Gallen, School of Finance Research Paper No. 2014/8, Forthcoming in Review of Financial Studies
Number of pages: 52 Posted: 07 May 2014 Last Revised: 16 Sep 2016
Stockholm School of Economics, University of Connecticut - Department of Finance and University of St. Gallen
Downloads 435 (133,852)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 03 Jun 2016
Stockholm School of Economics, University of Connecticut - Department of Finance and University of St. Gallen
Downloads 243 (251,156)
Citation 2

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Netspar Discussion Paper No. 10/2011-091 - revised version
Number of pages: 46 Posted: 25 Nov 2011 Last Revised: 05 Jan 2016
Stockholm School of Economics, University of Connecticut - Department of Finance and University of St. Gallen
Downloads 198 (305,540)
Citation 2

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Coordinated fund changes, defined contribution, 401(k)

Individual Investor Activity and Performance

CEPR Discussion Paper No. DP8744
Number of pages: 43 Posted: 20 Jan 2012
Stockholm School of Economics, University of Connecticut - Department of Finance and University of St. Gallen
Downloads 9 (1,201,611)
Citation 11
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401(k), Coordinated fund changes, Financial advisors, Fire sales

4.
Downloads 1,382 (29,066)
Citation 46

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 1,372 (28,877)
Citation 20

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exchange rates, high-frequency data, crisis episodes, non-linear effects

Safe Haven Currencies

CEPR Discussion Paper No. DP7249
Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 10 (1,188,477)
Citation 26
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crisis episodes, high-frequency data, non-linear effects

5.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 1,269 (32,954)
Citation 23

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exchange rates, liquidity, transaction costs, commonality, low-frequency

6.

Performance and Characteristics of Swedish Mutual Funds

Journal of Financial and Quantitative Analysis, Vol. 35, pp. 409-423, 2000
Number of pages: 21 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Magnus Dahlquist, Stefan Engstrom and Paul Söderlind
Stockholm School of Economics, Stockholm School of Economics, Department of Finance and University of St. Gallen
Downloads 669 (79,503)
Citation 12

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flows, persistence, portfolio evaluation, survivorship bias, style analysis

7.

New Techniques to Extract Market Expectations from Financial Instrument

Stockholm School of Economics, Working Paper No. 142
Number of pages: 47 Posted: 24 Mar 1997
Lars E. O. Svensson and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 648 (82,793)

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8.

Solution and Estimation of RE Macromodels with Optimal Policy

European Economic Review, Vol. 43, pp. 813-823, 1999
Number of pages: 14 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 617 (88,097)
Citation 8

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unstable roots, Schur decomposition, Kalman filter estimation

9.

Liquidity Risk and Currency Premia

Management Science, April 2024
Number of pages: 92 Posted: 29 Mar 2022 Last Revised: 23 Nov 2024
Paul Söderlind and Fabricius Somogyi
University of St. Gallen and D’Amore-McKim School of Business
Downloads 614 (88,639)

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Currency portfolios, Carry trade returns, FX liquidity risk, Liquidity risk premium

10.

Predicting Stock Price Movements: Regressions Versus Economists

Applied Economics Letters, Vol. 17, pp. 869-874, 2010, U. of St. Gallen Law & Economics Working Paper No. 2007-23
Number of pages: 11 Posted: 10 Jul 2007 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 574 (96,618)

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Livingston survey, out-of-sample forecasts, overfitting, recency bias

11.

Save Haven Currencies

Review of Finance, Forthcoming
Number of pages: 28 Posted: 28 Feb 2008 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 509 (112,150)

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foreign exchange rates, high-frequency data, crisis episodes, non-linear effects

12.
Downloads 454 (128,525)
Citation 1

Individual Forecasts of Exchange Rates

Swedish House of Finance Research Paper No. 22-06
Number of pages: 37 Posted: 09 Feb 2022 Last Revised: 23 Jan 2023
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 376 (158,279)

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Beliefs, currencies, expectations, foreign exchange rates, predictability

Individual Forecasts of Exchange Rates

Number of pages: 48 Posted: 28 Jan 2023 Last Revised: 19 Jan 2024
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 78 (628,675)
Citation 1

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Beliefs, currencies, expectations, foreign exchange rates, predictability

13.

Inflation Forecast Uncertainty

Stockholm School of Economics EFI Working Paper No. 384, European Economic Review, Vol. 47, pp.1037-1059, 2003
Number of pages: 37 Posted: 24 Nov 2001 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 415 (142,941)
Citation 62

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survey data, Survey of Professional Forecasters, GDP growth, VAR, T-GARCH

14.

Prediction of Stock Returns

Quantile Journal, Vol. 1, pp. 27-38, 2006
Number of pages: 12 Posted: 25 Oct 2006
Paul Söderlind
University of St. Gallen
Downloads 395 (151,243)

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15.

An Extended Stein's Lemma for Asset Pricing

Applied Economics Letters, 16, 1005-1008, 2009
Number of pages: 6 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 332 (183,005)

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Risk premium, stochastic discount factor, change of measure

Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

University of St.Gallen, Department of Economics Discussion Paper No. 2008-11 , International Journal of Central Banking, forthcoming
Number of pages: 26 Posted: 18 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 302 (200,956)

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break-even inflation, liquidity premium, Survey of Professional Forecasters

Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

CEPR Discussion Paper No. DP7250
Number of pages: 23 Posted: 15 Apr 2009
Paul Söderlind
University of St. Gallen
Downloads 5 (1,251,917)
Citation 4
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break-even inflation, liquidity premium, Survey of Professional Forecasters

17.

Testing Competing Factor Pricing Models

University of St.Gallen, School of Finance Research Paper No. 2015/24
Number of pages: 14 Posted: 01 Dec 2015 Last Revised: 31 May 2016
Paul Söderlind
University of St. Gallen
Downloads 305 (200,337)
Citation 1

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GMM, pricing errors, Bonferroni test, bootstrap

18.

Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004, Stockholm School of Economics Working Paper No. 499
Number of pages: 38 Posted: 22 Jul 2002 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 305 (200,337)
Citation 25

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robustness, model uncertainty, Schur decomposition, discretion, simple rules

19.

Dynamic Taylor Rules and the Predictability of Interest Rates

Macroeconomic Dynamics, Vol. 9, pp. 412-428, 2005
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Ulf Söderström, Anders Vredin and Paul Söderlind
Central Bank of Sweden - Research Department, Sveriges Riksbank and University of St. Gallen
Downloads 287 (213,604)

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interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

20.

Investment Choice in the Swedish Premium Pension Plan

Journal of the European Economic Association Papers and Proceedings, Vol. 5, pp. 636-646, 2007
Number of pages: 23 Posted: 22 Jun 2008 Last Revised: 11 Jun 2013
IZA Institute of Labor EconomicsStockholm University - Department of Economics, Stockholm University - Swedish Institute for Social Research (SOFI) and University of St. Gallen
Downloads 234 (261,944)

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21.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of Basel - Faculty of Business and Economics and University of St. Gallen
Downloads 225 (271,869)

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22.

Monetary Policy Effects on Financial Risk Premia

The Manchester School, Vol. 76, pp. 690-707, 2008, U. of St. Gallen Law & Economics Working Paper No. 2006-26
Number of pages: 22 Posted: 09 Nov 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 220 (277,717)

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inflation risk premium, equity risk premium, term premium, announcement effects

23.

Verbal Interventions and Exchange Rate Policies: The Case of Swiss Franc Cap

University of St. Gallen, School of Finance Research Paper No. 2016/14
Number of pages: 33 Posted: 05 Jul 2016 Last Revised: 23 Mar 2019
Nikola Mirkov, Igor Pozdeev and Paul Söderlind
ITAM, affiliation not provided to SSRN and University of St. Gallen
Downloads 208 (292,885)
Citation 11

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Swiss franc, options, FX liquidity, verbal interventions

24.

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Journal of Applied Econometrics, Vol. 11, pp. 363-382, 1996
Number of pages: 30 Posted: 03 Jun 2009
Anders Vredin and Paul Söderlind
Sveriges Riksbank and University of St. Gallen
Downloads 194 (312,356)

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cointegration, money demand, common trends, equilibrium business cycle model

25.

Evaluating Portfolio Performance with Stochastic Discount Factors

Journal of Business, Vol. 72, No. 3, pp. 347-384, 1999
Number of pages: 46 Posted: 20 Aug 1999 Last Revised: 15 Jun 2013
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 170 (351,559)

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26.
Downloads 168 (355,175)

C-CAPM Without Ex Post Data

Journal of Macroeconomics, Vol. 31,pp. 721-729, 2009, U. of St. Gallen Law & Economics Working Paper No. 2006-22
Number of pages: 20 Posted: 03 Oct 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 151 (388,865)

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equity premium puzzle, Livingston survey, S&P 500 options, Survey of Professional

C-Capm Without Ex Post Data

CEPR Discussion Paper No. 5407
Number of pages: 18 Posted: 22 Mar 2006
Paul Söderlind
University of St. Gallen
Downloads 17 (1,099,434)
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Equity premium puzzle, Livingston survey, CBOE VIX, Survey of Professional Forecasters

27.

Monetary Policy and the Fisher Effect

Journal of Policy Modeling, Vol. 23, pp. 491-495, 2001
Number of pages: 6 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 156 (378,200)
Citation 1

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optimal monetary policy, inflation expectations, forward interest rates, Kalman filter estimation

28.

New Techniques to Extract Market Expectations from Financial Instruments

NBER Working Paper No. w5877
Number of pages: 49 Posted: 15 Jul 2000 Last Revised: 23 Jan 2022
Paul Soderlind, Paul Söderlind and Lars E. O. Svensson
affiliation not provided to SSRN, University of St. Gallen and Stockholm School of Economics
Downloads 146 (399,422)
Citation 2

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29.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle

Journal of Economic Dynamics and Control, Vol. 30, pp. 1027-1043, 2006
Number of pages: 27 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 145 (401,673)
Citation 2

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equity premium, riskfree rate, aggregation of beliefs, Survey of Professional Forecasters, Livingston Survey

30.

The Implementation of SNB Monetary Policy

Financial Markets and Portfolio Management, Vol. 23, pp. 349-359, 2009
Number of pages: 16 Posted: 02 Nov 2009 Last Revised: 11 Jun 2013
Angelo Ranaldo, Thomas Jordan and Paul Söderlind
University of Basel - Faculty of Business and Economics, Swiss National Bank and University of St. Gallen
Downloads 141 (410,701)

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implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

31.

Why Disagreement May Not Matter (much) for Asset Prices

Finance Research Letters, Vol. 6, pp. 73-82, 2009, U. of St. Gallen Law & Economics Working Paper No. 2008-11
Number of pages: 16 Posted: 05 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 133 (429,988)

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riskfree rate, implied volatility, Survey of Professional Forecasters

32.

Market Expectations in the UK Before and After the Erm Crisis

Economica, Vol. 67, pp. 1-18, 2000
Number of pages: 30 Posted: 08 Dec 2000 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 103 (521,156)

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33.

Reaction of Swiss Term Premia to Monetary Policy Surprises

Swiss Journal of Economics and Statistics, Vol. 146, pp. 385-404, 2010
Number of pages: 22 Posted: 20 Dec 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 100 (531,970)
Citation 2

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affine price of risk, interest rate caps, survey data

34.

An Interpretation of SDF Based Performance Measures

European Finance Review, Vol. 3,pp. 233-237, 1999
Number of pages: 7 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 90 (569,057)

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mean-variance intersection, managed portfolios, conditional alphas and betas

35.

Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Journal of Economics and Business, Vol. 55, pp. 321-330, 2003
Number of pages: 13 Posted: 02 Jun 2009
Paul Söderlind
University of St. Gallen
Downloads 86 (589,381)

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inflation targeting, output targeting, interest rates

36.

C-CAPM Refinements and the Cross-Section of Returns

Financial Markets and Portfolio Management, Vol. 20, No. 1, pp. 49-73, 2006
Number of pages: 25 Posted: 04 Apr 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 83 (597,849)

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Consumption-based asset pricing, habit persistence, idiosyncratic risk, conditional asset pricing

37.

Cyclical Properties of a Real Business Cycle Model

Journal of Applied Econometrics, Vol. 9, pp. S113-S122, 1994
Number of pages: 12 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 68 (666,471)

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spectra, coherency, small-sample distribution

38.

What if the Fed Had Been an Inflation Nutter?

Applied Economics, Vol. 36, pp. 1471-1473, 2004
Number of pages: 7 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 57 (725,513)

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optimal monetary policy, rational expectations, Kalman filter

39.

Devaluation Expectations: The Swedish Krona 1982-1991

NBER Working Paper No. w3918
Number of pages: 62 Posted: 09 May 2000 Last Revised: 17 Sep 2022
Sveriges Riksbank, Stockholm School of Economics, University of St. Gallen and affiliation not provided to SSRN
Downloads 50 (769,145)

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40.

Testing the Basic Target Zone Model on Swedish Data

European Economic Review, Vol. 38, pp. 1441-1469, 1994
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Hans Lindberg and Paul Söderlind
affiliation not provided to SSRN and University of St. Gallen
Downloads 44 (810,733)
Citation 1

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exchange rates, interest rates, distribution, conditional variance

41.

International Spillovers in an Endogenous Growth Model

Empirical Economics, Vol. 19, pp. 501-515, 1994
Number of pages: 19 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 43 (818,086)

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cointegration, international technological links

42.

Taylor Rules and the Predictability of Interest Rates

Number of pages: 23 Posted: 08 Aug 2003
Paul Söderlind, Ulf Söderström and Anders Vredin
University of St. Gallen, Central Bank of Sweden - Research Department and Sveriges Riksbank
Downloads 25 (975,756)
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Interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

43.

C-Capm and the Cross-Section of Sharpe Ratios

Number of pages: 19 Posted: 14 Nov 2003
Paul Söderlind
University of St. Gallen
Downloads 24 (986,029)
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Consumption-based asset pricing, habit persistence, recursive utility, idiosyncratic risk, multivariate GARCH

44.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

Number of pages: 22 Posted: 19 Nov 2003
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 22 (1,007,512)
Citation 1
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Equity premium, risk-free rate, aggregation of beliefs, survey of professional forecasters, Livingston survey

45.

Extracting Expectations About 1992 UK Monetary Policy from Option Prices

CEPR Discussion Paper Series Number 1823
Posted: 15 Jul 1998
Paul Söderlind
University of St. Gallen

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