Author Page for Stefan Nagel

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

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Abstract:

Shrinking the Cross Section

NBER Working Paper No. w24070

Number of pages: 58 Posted: 06 Dec 2017 Last Revised: 12 Dec 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

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Abstract:

Shrinking the Cross Section

CEPR Discussion Paper No. DP12463

Number of pages: 60 Posted: 01 Dec 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

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7.

Interpreting Factor Models

Journal of Finance, Forthcoming

Number of pages: 47 Posted: 05 Apr 2017 Last Revised: 29 Dec 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 1,049 (18,433)

Abstract:

8.

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 Global Systematic Investors LLP

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Citation 19

Abstract:

9.

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

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Citation 6

Abstract:

10.

Risk-Adjusting the Returns to Venture Capital

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Citation 2

3

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

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Citation 2

Abstract:

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

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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

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Citation 2

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11.

Trading Styles and Trading Volume

Number of pages: 34 Posted: 25 Aug 2005

Stefan Nagel

University of Chicago - Booth School of Business

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Citation 8

Abstract:

12.

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 265 (106,250)

Citation 22

Abstract:

Evaporating Liquidity

NBER Working Paper No. w17653

Number of pages: 57 Posted: 12 Dec 2011

Stefan Nagel

University of Chicago - Booth School of Business

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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

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Citation 22

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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

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Citation 92

Abstract:

14.

The Effect of Dividends on Consumption

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Citation 18

4

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 321 (86,176)

Citation 18

Abstract:

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 82 (283,111)

Citation 18

Abstract:

The Effect of Dividends on Consumption

NBER Working Paper No. w12288

Number of pages: 50 Posted: 16 Jun 2006 Last Revised: 31 Jul 2010

Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler

Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business

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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:

15.

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 418 (63,767)

Citation 10

Abstract:

16.

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

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2

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 Reck, Joel B. Slemrod and Bryan Stuart

University of North Carolina (UNC) at Chapel Hill - Accounting Area, Government of the United States of America - Internal Revenue Service (IRS), University of Chicago - Booth School of Business, London School of Economics & Political Science (LSE), University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Department of Economics

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Abstract:

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 Reck, Joel B. Slemrod and Bryan Stuart

University of North Carolina (UNC) at Chapel Hill - Accounting Area, Government of the United States of America - Internal Revenue Service (IRS), University of Chicago - Booth School of Business, London School of Economics & Political Science (LSE), University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Department of Economics

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Abstract:

17.

Empirical Cross-Sectional Asset Pricing

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Citation 1

4

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012

Stefan Nagel

University of Chicago - Booth School of Business

Downloads 270 (104,164)

Citation 1

Abstract:

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

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Citation 1

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

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Citation 1

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Abstract:

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:

18.

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

Downloads 282 (100,041)

Citation 59

2

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 235 (120,328)

Citation 59

Abstract:

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 Last Revised: 03 Jul 2010

Stefan Nagel and Markus K. Brunnermeier

University of Chicago - Booth School of Business and Princeton University - Department of Economics

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Citation 59

Abstract:

19.

Estimation and Evaluation of Conditional Asset Pricing Models

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Citation 12

2

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 140 (193,014)

Citation 12

Abstract:

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

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Citation 12

Abstract:

20.

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

NBER Working Paper No. w14813

Number of pages: 49 Posted: 27 Mar 2009 Last Revised: 24 Jun 2010

Ulrike Malmendier and Stefan Nagel

University of California, Berkeley - Department of Economics and University of Chicago - Booth School of Business

Downloads 167 (166,114)

Citation 75

Abstract:

21.

Judging Banks' Risk by the Profits They Report

Number of pages: 53 Posted: 10 May 2018 Last Revised: 08 Jun 2018

Ben S. Meiselman, Stefan Nagel and Amiyatosh K. Purnanandam

Johns Hopkins University, University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business

Downloads 148 (184,034)

Abstract:

22.

Sizing Up Repo

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Citation 20

2

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 67 (318,526)

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

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Citation 20

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23.

Socioeconomic Status and Macroeconomic Expectations

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2

Socioeconomic Status and Macroeconomic Expectations

8th Miami Behavioral Finance Conference 2017

Number of pages: 50 Posted: 31 Jul 2017 Last Revised: 18 Apr 2018

Sreyoshi Das, Camelia M. Kuhnen and Stefan Nagel

University of Michigan at Ann Arbor - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Chicago - Booth School of Business

Downloads 67 (318,526)

Abstract:

Socioeconomic Status and Macroeconomic Expectations

CEPR Discussion Paper No. DP12464

Number of pages: 53 Posted: 01 Dec 2017

Sreyoshi Das, Camelia M. Kuhnen and Stefan Nagel

University of Michigan at Ann Arbor - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Chicago - Booth School of Business

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24.

The Liquidity Premium of Near-Money Assets

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2

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 57 (346,462)

Abstract:

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 7 (584,467)

Abstract:

25.

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 46 (375,719)

Citation 162

Abstract:

26.

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

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Abstract:

27.

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

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2

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

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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

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Abstract:

28.

ECB Policies Involving Government Bond Purchases: Impact and Channels

NBER Working Paper No. w23985

Number of pages: 63 Posted: 06 Nov 2017

Arvind Krishnamurthy, Stefan Nagel and Annette Vissing-Jorgensen

Stanford Graduate School of Business, University of Chicago - Booth School of Business and National Bureau of Economic Research (NBER)

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Abstract:

29.

Socioeconomic Status and Macroeconomic Expectations

NBER Working Paper No. w24045

Number of pages: 51 Posted: 28 Nov 2017

Sreyoshi Das, Camelia M. Kuhnen and Stefan Nagel

Cornell SC Johnson College of Business, University of North Carolina Kenan-Flagler Business School and University of Chicago - Booth School of Business

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Abstract:

30.

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

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2

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

NBER Working Paper No. w25122

Number of pages: 36 Posted: 08 Oct 2018

Klaus Adam, Dmitry Matveev and Stefan Nagel

University of Mannheim, delete and University of Chicago - Booth School of Business

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Abstract:

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

CEPR Discussion Paper No. DP13213

Number of pages: 38 Posted: 08 Oct 2018

Klaus Adam, Stefan Nagel and Dmitry Maatvev

University of Mannheim, University of Chicago - Booth School of Business and Government of Canada - Bank of Canada

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31.

ECB Policies Involving Government Bond Purchases: Impacts and Channels

CEPR Discussion Paper No. DP12399

Number of pages: 65 Posted: 30 Oct 2017

Arvind Krishnamurthy, Stefan Nagel and Annette Vissing-Jorgensen

Stanford Graduate School of Business, University of Chicago - Booth School of Business and National Bureau of Economic Research (NBER)

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32.

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 Global Systematic Investors LLP

Stefan Nagel

University of Chicago - Booth School of Business

National Bureau of Economic Research (NBER)

Centre for Economic Policy Research

CESifo (Center for Economic Studies and Ifo Institute)

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Scholarly Papers (32)

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Shrinking the Cross Section

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Shrinking the Cross Section

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Risk-Adjusting the Returns to Venture Capital

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Evaporating Liquidity

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Empirical Cross-Sectional Asset Pricing

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Sizing Up Repo

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Socioeconomic Status and Macroeconomic Expectations

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

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

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ECB Policies Involving Government Bond Purchases: Impact and Channels

Abstract:

Socioeconomic Status and Macroeconomic Expectations

Abstract:

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

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Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

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