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Stefan Nagel

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

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Centre for Economic Policy Research

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United Kingdom

  • University of Chicago - Booth School of Business

  • Centre for Economic Policy Research

SCHOLARLY PAPERS

26

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CITATIONS
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1,059

Scholarly Papers (26)

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1.

Hedge Funds and the Technology Bubble

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 446
Number of pages: 37 Posted: 23 Jul 2003
Stefan Nagel and Markus K. Brunnermeier
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,753 (3,057)
Citation 175

Abstract:

Bubbles, Hedge Funds, Limits to Arbitrage

2.

Is It Overreaction? The Performance of Value and Momentum Strategies at Long Horizons

EFA 2001 Barcelona Meetings
Number of pages: 39 Posted: 11 Jul 2001
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 1,849 (5,982)
Citation 5

Abstract:

Momentum, book-to-market, overreaction, underreaction, behavioral finance, long horizon stock performance

3.

The Conditional CAPM Does Not Explain Asset-pricing Anomalies

Downloads 1,226 ( 12,697)
Citation 169

The Conditional CAPM Does Not Explain Asset-pricing Anomalies

MIT Sloan Working Paper No. 4427-03
Number of pages: 42 Posted: 15 Sep 2003
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 945 (18,564)
Citation 168

Abstract:

Time-varying betas, conditional CAPM, asset-pricing anomalies, book-to-market, momentum

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

EFA 2004 Maastricht Meetings Paper No. 1763
Number of pages: 42 Posted: 28 Jun 2004
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 281 (89,529)
Citation 169

Abstract:

4.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,221 ( 12,768)
Citation 152

A Skeptical Appraisal of Asset Pricing Tests

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 17 Mar 2006 Last Revised: 24 Feb 2009
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 1,183 (13,172)
Citation 152

Abstract:

asset pricing tests, stock returns, cross section

A Skeptical Appraisal of Asset-Pricing Tests

NBER Working Paper No. w12360
Number of pages: 44 Posted: 20 Jul 2006
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 38 (377,307)
Citation 152

Abstract:

5.

Inexperienced Investors and Bubbles

Downloads 1,084 ( 15,394)
Citation 36

Inexperienced Investors and Bubbles

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 15 Feb 2007 Last Revised: 22 Jan 2009
Stefan Nagel and Robin M. Greenwood
University of Chicago - Booth School of Business and Harvard Business School - Finance Unit
Downloads 1,065 (15,538)
Citation 36

Abstract:

Mutual Funds, Behavioral Finance, Experience, Learning, Asset Pricing, Stock Price Bubble

Inexperienced Investors and Bubbles

NBER Working Paper No. w14111
Number of pages: 45 Posted: 22 Jun 2008
Robin M. Greenwood and Stefan Nagel
Harvard Business School - Finance Unit and University of Chicago - Booth School of Business
Downloads 19 (470,451)
Citation 36

Abstract:

6.

Capturing the Value Premium in the U.K. 1955-2001

Number of pages: 27 Posted: 12 Mar 2003
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Dimensional Fund Advisors Ltd
Downloads 793 (21,854)
Citation 19

Abstract:

Value Premium, Book-to-Market, Trading Cost

7.

Short Sales, Institutional Investors, and the Book-to-market Effect

Number of pages: 51 Posted: 26 Feb 2003
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 709 (27,003)
Citation 6

Abstract:

Book-to-market, Institutional investors, Short-sale constraints

8.

Risk-Adjusting the Returns to Venture Capital

Downloads 607 ( 35,409)
Citation 2

Risk-Adjusting the Returns to Venture Capital

Journal of Finance, Forthcoming, Rock Center for Corporate Governance at Stanford University Working Paper No. 180, Stanford University Graduate School of Business Research Paper No. 14-10
Number of pages: 49 Posted: 14 Aug 2013 Last Revised: 17 Jun 2015
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 585 (36,629)
Citation 2

Abstract:

venture capital, private equity, risk-adjusted returns, performance measurement, stochastic discount factor, CAPM, PME, GMM

Risk-Adjusting the Returns to Venture Capital

NBER Working Paper No. w19347
Number of pages: 46 Posted: 17 Aug 2013
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 21 (458,682)
Citation 2

Abstract:

Risk-Adjusting the Returns to Venture Capital

CEPR Discussion Paper No. DP9610
Number of pages: 47 Posted: 03 Sep 2013
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1 (579,542)
Citation 2
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Abstract:

Stochastic Discount Factor, Systematic Risk, Venture Capital

9.

Trading Styles and Trading Volume

Number of pages: 34 Posted: 25 Aug 2005
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 487 (42,791)
Citation 8

Abstract:

Trading Volume, Style Investing, Mutual Funds

10.

The Effect of Dividends on Consumption

Downloads 427 ( 55,368)
Citation 18

The Effect of Dividends on Consumption

Number of pages: 54 Posted: 06 Mar 2006 Last Revised: 12 Aug 2008
Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler
Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business
Downloads 314 (78,945)
Citation 18

Abstract:

Dividend, consumption, household

The Effect of Dividends on Consumption

NYU Working Paper No. FIN-05-041
Number of pages: 49 Posted: 03 Nov 2008
Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler
Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business
Downloads 81 (259,408)
Citation 18

Abstract:

The Effect of Dividends on Consumption

NBER Working Paper No. w12288
Number of pages: 50 Posted: 16 Jun 2006
Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler
Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business
Downloads 32 (401,612)
Citation 18

Abstract:

The Effect of Dividends on Consumption

Brookings Papers on Economic Activity, pp. 277-291, 2007
Posted: 30 Apr 2007 Last Revised: 12 Jan 2009
Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler
Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business

Abstract:

dividend, consumption, tax cut, CEX, mental accounting

11.

Evaporating Liquidity

Downloads 389 ( 62,062)
Citation 22

Evaporating Liquidity

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 23 Jul 2011
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 254 (99,798)
Citation 22

Abstract:

Liquidity, Immediacy, Reversal Strategies, VIX, Financial Crisis

Evaporating Liquidity

NBER Working Paper No. w17653
Number of pages: 57 Posted: 12 Dec 2011
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 130 (185,514)
Citation 22

Abstract:

Evaporating Liquidity

CEPR Discussion Paper No. DP8775
Number of pages: 59 Posted: 20 Jan 2012
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 5 (549,020)
Citation 22
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Abstract:

Financial Crisis, Liquidity, Return Reversals

12.

Accounting Information Free of Selection Bias: A New UK Database 1953-1999

Number of pages: 36 Posted: 06 Oct 2001
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 387 (58,556)
Citation 11

Abstract:

Accounting data; Selection bias; Survivor bias; Book-to-market

13.

Carry Trades and Currency Crashes

NBER Working Paper No. w14473
Number of pages: 36 Posted: 19 Jul 2012 Last Revised: 01 Apr 2015
Markus K. Brunnermeier, Stefan Nagel and Lasse Heje Pedersen
Princeton University - Department of Economics, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 335 (73,925)
Citation 93

Abstract:

14.

Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock

Downloads 297 ( 84,928)

Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock

Ross School of Business Paper No. 1316
Number of pages: 87 Posted: 02 May 2016 Last Revised: 14 May 2016
Jeffrey L. Hoopes, Patrick Langetieg, Stefan Nagel, Daniel H. Reck, Joel B. Slemrod and Bryan Stuart
University of North Carolina (UNC) at Chapel Hill, Government of the United States of America - Internal Revenue Service (IRS), University of Chicago - Booth School of Business, University of California, Berkeley - Department of Economics, University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 286 (88,208)

Abstract:

Financial crisis, behavioral finance, administrative data

Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock

NBER Working Paper No. w22209
Number of pages: 87 Posted: 02 May 2016
Jeffrey L. Hoopes, Patrick Langetieg, Stefan Nagel, Daniel H. Reck, Joel B. Slemrod and Bryan Stuart
University of North Carolina (UNC) at Chapel Hill, Government of the United States of America - Internal Revenue Service (IRS), University of Chicago - Booth School of Business, University of California, Berkeley - Department of Economics, University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 11 (516,959)
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Abstract:

15.

Empirical Cross-Sectional Asset Pricing

Downloads 282 ( 89,690)
Citation 2

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 258 (98,178)
Citation 2

Abstract:

empirical asset pricing, cross-section of stock returns

Empirical Cross-Sectional Asset Pricing

NBER Working Paper No. w18554
Number of pages: 61 Posted: 22 Nov 2012
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 21 (458,682)
Citation 2

Abstract:

Empirical Cross-Sectional Asset Pricing

CEPR Discussion Paper No. DP9227
Number of pages: 62 Posted: 01 Feb 2013
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 3 (559,904)
Citation 2
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Abstract:

cross-section of stock returns, Empirical asset pricing

Empirical Cross-Sectional Asset Pricing

Annual Review of Financial Economics, Vol. 5, pp. 167-199, 2013
Posted: 08 Nov 2013
Stefan Nagel
University of Chicago - Booth School of Business

Abstract:

16.

Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

Downloads 278 ( 91,138)
Citation 58

Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

EFA 2005 Moscow Meetings Paper
Number of pages: 34 Posted: 28 Feb 2005
Markus K. Brunnermeier and Stefan Nagel
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 232 (109,721)
Citation 58

Abstract:

Household portfolio choice, risk aversion, panel data

Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

NBER Working Paper No. w12809
Number of pages: 46 Posted: 05 Jan 2007
Stefan Nagel and Markus K. Brunnermeier
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 46 (349,000)
Citation 58

Abstract:

17.

Estimation and Evaluation of Conditional Asset Pricing Models

Downloads 178 (141,814)
Citation 12

Estimation and Evaluation of Conditional Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 05 Oct 2010
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 139 (175,777)
Citation 12

Abstract:

Asset Pricing Tests, GMM, Optimal Instruments, Stochastic Discount Factor

Estimation and Evaluation of Conditional Asset Pricing Models

NBER Working Paper No. w16457
Number of pages: 79 Posted: 18 Oct 2010
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 39 (373,572)
Citation 12

Abstract:

18.

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

NBER Working Paper No. w14813
Number of pages: 49 Posted: 27 Mar 2009
Ulrike Malmendier and Stefan Nagel
University of California, Berkeley - Department of Economics and University of Chicago - Booth School of Business
Downloads 135 (163,741)
Citation 76

Abstract:

19.

Sizing Up Repo

Downloads 71 (277,623)
Citation 20

Sizing Up Repo

NBER Working Paper No. w17768
Number of pages: 60 Posted: 19 Jan 2012
Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov
Northwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and affiliation not provided to SSRN
Downloads 63 (299,673)
Citation 20

Abstract:

Sizing Up Repo

CEPR Discussion Paper No. DP8795
Number of pages: 62 Posted: 01 Mar 2012
Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov
Northwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and affiliation not provided to SSRN
Downloads 8 (533,481)
Citation 20
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Abstract:

Dealer Banks, Financial Crisis, Repurchase Agreements, Shadow Banking

20.

The Liquidity Premium of Near-Money Assets

Downloads 58 (308,590)

The Liquidity Premium of Near-Money Assets

Ross School of Business Paper No. 1242
Number of pages: 50 Posted: 24 Jun 2014
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 52 (330,213)

Abstract:

Liquidity premium, money demand, interest on reserves

The Liquidity Premium of Near-Money Assets

NBER Working Paper No. w20265
Number of pages: 50 Posted: 30 Jun 2014
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 6 (543,935)

Abstract:

21.

The Conditional CAPM Does Not Explain Asset-Pricing Anamolies

NBER Working Paper No. w9974
Number of pages: 41 Posted: 26 Sep 2003
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 42 (342,927)
Citation 163

Abstract:

22.

The Making of Hawks and Doves: Inflation Experiences on the FOMC

Downloads 12 (490,865)

The Making of Hawks and Doves: Inflation Experiences on the FOMC

NBER Working Paper No. w23228
Number of pages: 62 Posted: 19 Mar 2017
Ulrike Malmendier, Stefan Nagel and Zach Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and University of Michigan at Ann Arbor - Finance
Downloads 12 (511,219)
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Abstract:

The Making of Hawks and Doves: Inflation Experiences on the FOMC

CEPR Discussion Paper No. DP11902
Number of pages: 64 Posted: 16 Mar 2017
Ulrike Malmendier, Stefan Nagel and Zach Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and University of Michigan at Ann Arbor - Finance
Downloads 0
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Abstract:

23.

Interpreting Repo Statistics in the Flow of Funds Accounts

NBER Working Paper No. w19389
Number of pages: 13 Posted: 30 Aug 2013
Arvind Krishnamurthy and Stefan Nagel
Northwestern University - Kellogg School of Management and University of Chicago - Booth School of Business
Downloads 11 (469,990)

Abstract:

24.

Shrinking the Cross Section

Number of pages: 59 Posted: 05 Apr 2017 Last Revised: 03 Sep 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business
Downloads 0 (88,012)

Abstract:

Factor Models, SDF, Cross Section, Shrinkage, Machine Learning

25.

Interpreting Factor Models

Journal of Finance, Forthcoming
Number of pages: 69 Posted: 05 Apr 2017
Serhiy Kozak, Stefan Nagel and Shrihari Santosh
University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business
Downloads 0 (85,273)

Abstract:

Factor Models, Characteristics, Covariances, Rational, Behavioral

26.

Capturing the Value Premium in the United Kingdom

Financial Analysts Journal, Vol. 59, No. 6, pp. 35-45, November/December 2003
Posted: 25 Jan 2004 Last Revised: 07 Oct 2011
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Dimensional Fund Advisors Ltd

Abstract:

Portfolio Management, equity strategies

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