Author Page for Stefan Nagel

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 2,946 (3,830)

Citation 45

Abstract:

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 1,999 (7,372)

Citation 16

Abstract:

3.

Shrinking the Cross Section

Number of pages: 69 Posted: 05 Apr 2017 Last Revised: 01 Aug 2018

Serhiy Kozak, Stefan Nagel and Shrihari Santosh

University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business

Downloads 1,566 (10,878)

Citation 3

Abstract:

Shrinking the Cross Section

Number of pages: 69 Posted: 18 Aug 2018

Serhiy Kozak, Stefan Nagel and Shrihari Santosh

University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business

Downloads 41 (436,239)

Citation 15

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 Maryland - Robert H. Smith 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 Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business

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Citation 4

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4.

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 Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business

Downloads 1,314 (14,619)

Citation 7

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5.

A Skeptical Appraisal of Asset Pricing Tests

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Citation 265

2

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 1,237 (15,687)

Citation 6

Abstract:

A Skeptical Appraisal of Asset-Pricing Tests

NBER Working Paper No. w12360

Number of pages: 44 Posted: 20 Jul 2006 Last Revised: 03 Sep 2010

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 52 (394,287)

Citation 20

Abstract:

6.

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Downloads 1,256 ( 15,647)

Citation 97

2

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 966 (22,761)

Citation 104

Abstract:

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 290 (105,755)

Citation 4

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7.

Inexperienced Investors and Bubbles

Downloads 1,204 ( 16,706)

Citation 52

2

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 1,173 (17,018)

Citation 28

Abstract:

Inexperienced Investors and Bubbles

NBER Working Paper No. w14111

Number of pages: 45 Posted: 22 Jun 2008 Last Revised: 24 Jul 2010

Robin M. Greenwood and Stefan Nagel

Harvard Business School - Finance Unit and University of Chicago - Booth School of Business

Downloads 31 (482,401)

Citation 6

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

Downloads 903 (25,548)

Citation 8

Abstract:

9.

Risk-Adjusting the Returns to Venture Capital

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Citation 14

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

Downloads 782 (30,742)

Abstract:

Risk-Adjusting the Returns to Venture Capital

NBER Working Paper No. w19347

Number of pages: 46 Posted: 17 Aug 2013 Last Revised: 08 Oct 2014

Arthur G. Korteweg and Stefan Nagel

University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business

Downloads 33 (472,312)

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 3

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10.

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 755 (32,774)

Citation 3

Abstract:

11.

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 319 (95,225)

Citation 11

Abstract:

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 275 (111,919)

Citation 3

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 9

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12.

Trading Styles and Trading Volume

Number of pages: 34 Posted: 25 Aug 2005

Stefan Nagel

University of Chicago - Booth School of Business

Downloads 552 (49,688)

Citation 12

Abstract:

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 532 (52,088)

Citation 18

Abstract:

14.

The Effect of Dividends on Consumption

Downloads 446 ( 64,907)

Citation 33

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 325 (93,219)

Citation 2

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 85 (301,466)

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

Downloads 36 (458,195)

Citation 4

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 427 (68,382)

Citation 15

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16.

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

Downloads 379 ( 78,708)

Citation 2

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

Downloads 362 (82,384)

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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17.

Empirical Cross-Sectional Asset Pricing

Downloads 327 ( 93,161)

Citation 12

4

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012

Stefan Nagel

University of Chicago - Booth School of Business

Downloads 290 (105,755)

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

Downloads 34 (467,518)

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 (669,427)

Citation 2

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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.

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 296 (103,950)

Citation 3

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19.

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

Downloads 291 (105,913)

Citation 108

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 240 (128,955)

Citation 16

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

Downloads 51 (397,812)

Citation 5

Abstract:

20.

Estimation and Evaluation of Conditional Asset Pricing Models

Downloads 192 (160,255)

Citation 29

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 142 (208,189)

Citation 3

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

Downloads 50 (401,390)

Abstract:

21.

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 187 (164,077)

Citation 43

Abstract:

22.

Socioeconomic Status and Macroeconomic Expectations

Downloads 100 (269,344)

Citation 5

2

Socioeconomic Status and Macroeconomic Expectations

Review of Financial Studies, forthcoming

Number of pages: 62 Posted: 31 Jul 2017 Last Revised: 14 Feb 2019

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 & NBER and University of Chicago - Booth School of Business

Downloads 100 (271,101)

Citation 1

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 & NBER and University of Chicago - Booth School of Business

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Citation 4

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23.

Sizing Up Repo

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Citation 113

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 71 (335,764)

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 8

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24.

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

Downloads 75 (321,986)

Citation 1

4

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

CFS Working Paper, No. 600, 2018

Number of pages: 38 Posted: 19 Nov 2018

Klaus Adam, Dmitry Matveev and Stefan Nagel

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

Downloads 41 (436,239)

Abstract:

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

CESifo Working Paper No. 7285

Number of pages: 37 Posted: 21 Feb 2019

Klaus Adam, Dmitry Matveev and Stefan Nagel

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

Downloads 28 (498,853)

Abstract:

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

Downloads 5 (653,044)

Citation 1

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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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25.

The Liquidity Premium of Near-Money Assets

Downloads 68 (339,911)

Citation 62

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 59 (370,732)

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 9 (624,042)

Citation 21

Abstract:

26.

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 47 (405,003)

Abstract:

27.

Bank Risk Dynamics and Distance to Default

Downloads 29 (479,897)

3

Bank Risk Dynamics and Distance to Default

CESifo Working Paper No. 7637

Number of pages: 59 Posted: 23 Jul 2019

Stefan Nagel and Amiyatosh K. Purnanandam

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

Downloads 22 (535,885)

Abstract:

Bank Risk Dynamics and Distance to Default

NBER Working Paper No. w25807

Number of pages: 58 Posted: 07 May 2019

Stefan Nagel and Amiyatosh K. Purnanandam

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

Downloads 7 (638,404)

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Abstract:

Bank Risk Dynamics and Distance to Default

CEPR Discussion Paper No. DP13715

Number of pages: 60 Posted: 07 May 2019

Stefan Nagel and Amiyatosh K. Purnanandam

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

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28.

Interpreting Repo Statistics in the Flow of Funds Accounts

NBER Working Paper No. w19389

Number of pages: 13 Posted: 30 Aug 2013 Last Revised: 07 Sep 2013

Arvind Krishnamurthy and Stefan Nagel

Northwestern University - Kellogg School of Management and University of Chicago - Booth School of Business

Downloads 22 (518,679)

Abstract:

29.

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

Downloads 21 (524,604)

Citation 115

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 Zhen Yan

University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and University of Michigan at Ann Arbor - Finance

Downloads 21 (542,377)

Citation 17

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 Zhen 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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Citation 21

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30.

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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Citation 6

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31.

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 & NBER and University of Chicago - Booth School of Business

Downloads 10 (592,026)

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32.

Asset Pricing with Fading Memory

Downloads 7 (611,546)

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Asset Pricing with Fading Memory

NBER Working Paper No. w26255

Number of pages: 74 Posted: 18 Sep 2019

Stefan Nagel and Zhengyang Xu

University of Chicago - Booth School of Business and University of Michigan - Ross School of Business

Downloads 7 (638,404)

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Abstract:

Asset Pricing with Fading Memory

CEPR Discussion Paper No. DP13973

Number of pages: 76 Posted: 07 Oct 2019

Stefan Nagel and Zhengyang Xu

University of Chicago - Booth School of Business and University of Michigan - Ross School of Business

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33.

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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34.

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 (34)

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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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Socioeconomic Status and Macroeconomic Expectations

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Sizing Up Repo

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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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Bank Risk Dynamics and Distance to Default

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Bank Risk Dynamics and Distance to Default