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

United States

Centre for Economic Policy Research

London

United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

  • University of Chicago - Booth School of Business

  • Centre for Economic Policy Research

  • CESifo (Center for Economic Studies and Ifo Institute)

SCHOLARLY PAPERS

40

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2,180

CROSSREF CITATIONS

2,194

Scholarly Papers (40)

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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 3,070 (5,689)
Citation 109

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Bubbles, Hedge Funds, Limits to Arbitrage

2.

Shrinking the Cross Section

Downloads 2,949 ( 6,085)
Citation 68

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 Colorado at Boulder - Department of Finance
Downloads 2,778 (6,575)
Citation 2

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

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 Colorado at Boulder - Department of Finance
Downloads 86 (402,331)
Citation 35

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

Shrinking the Cross Section

NBER Working Paper No. w24070
Number of pages: 58 Posted: 06 Dec 2017 Last Revised: 09 Apr 2022
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
Downloads 85 (405,168)
Citation 3

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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 Colorado at Boulder - Department of Finance
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Citation 10
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3.

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

Number of pages: 39 Posted: 11 Jul 2001
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 2,085 (10,571)
Citation 16

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

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 Colorado at Boulder - Department of Finance
Downloads 1,994 (11,410)
Citation 24

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Factor Models, Characteristics, Covariances, Rational, Behavioral

5.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,355 ( 20,646)
Citation 319

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 1,284 (22,026)
Citation 7

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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 Last Revised: 11 Apr 2021
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 71 (449,639)
Citation 67

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6.

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Downloads 1,324 ( 21,395)
Citation 126

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

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 1,006 (31,472)
Citation 135

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

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

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 318 (133,471)
Citation 5

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7.

Inexperienced Investors and Bubbles

Downloads 1,311 ( 21,697)
Citation 79

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 1,267 (22,480)
Citation 52

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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 Last Revised: 24 Jul 2022
Robin M. Greenwood and Stefan Nagel
Harvard Business School - Finance Unit and University of Chicago - Booth School of Business
Downloads 44 (563,941)
Citation 14

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8.

Risk-Adjusting the Returns to Venture Capital

Downloads 1,075 ( 29,038)
Citation 24

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 984 (32,472)

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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 Last Revised: 14 May 2022
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 90 (391,107)
Citation 5

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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 (932,336)
Citation 6
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Stochastic Discount Factor, Systematic Risk, Venture Capital

9.

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 993 (32,506)
Citation 10

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Value Premium, Book-to-Market, Trading Cost

10.

Evaporating Liquidity

Downloads 936 ( 35,356)
Citation 139

Evaporating Liquidity

NBER Working Paper No. w17653
Number of pages: 57 Posted: 12 Dec 2011 Last Revised: 28 Mar 2021
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 635 (58,684)
Citation 13

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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 296 (143,970)
Citation 3

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Liquidity, Immediacy, Reversal Strategies, VIX, Financial Crisis

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 (875,527)
Citation 31
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Financial Crisis, Liquidity, Return Reversals

11.

Carry Trades and Currency Crashes

NBER Working Paper No. w14473
Number of pages: 36 Posted: 19 Jul 2012 Last Revised: 20 Jul 2022
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 885 (38,266)
Citation 50

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12.

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 852 (40,306)
Citation 3

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

13.

Trading Styles and Trading Volume

Number of pages: 34 Posted: 25 Aug 2005
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 596 (64,443)
Citation 11

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Trading Volume, Style Investing, Mutual Funds

14.

Judging Banks' Risk by the Profits They Report

Number of pages: 54 Posted: 10 May 2018 Last Revised: 30 Mar 2020
Ben S. Meiselman, Stefan Nagel and Amiyatosh Purnanandam
Johns Hopkins University, University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 519 (76,667)
Citation 8

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Risk of Financial Institutions, Systemic Risk, Risk Measurement

15.

The Effect of Dividends on Consumption

Downloads 478 ( 84,697)
Citation 47

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 343 (123,132)
Citation 2

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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 91 (388,356)

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The Effect of Dividends on Consumption

NBER Working Paper No. w12288
Number of pages: 50 Posted: 16 Jun 2006 Last Revised: 31 Jul 2022
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 44 (563,941)
Citation 19

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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

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dividend, consumption, tax cut, CEX, mental accounting

16.

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 450 (90,998)
Citation 16

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

17.

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

Downloads 448 ( 91,453)
Citation 3

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 422 (97,217)

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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 Last Revised: 09 Mar 2022
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 26 (676,161)
Citation 1

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18.

Empirical Cross-Sectional Asset Pricing

Downloads 369 (114,306)
Citation 21

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 324 (130,924)

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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 Last Revised: 14 Mar 2021
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 42 (574,501)
Citation 1

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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 (900,972)
Citation 8
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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

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19.

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

Downloads 319 (133,773)
Citation 149

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

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 253 (169,009)
Citation 30

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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 Last Revised: 03 Jul 2022
Stefan Nagel and Markus K. Brunnermeier
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 66 (467,494)
Citation 39

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20.

Market Efficiency in the Age of Big Data

Downloads 274 (156,526)
Citation 4

Market Efficiency in the Age of Big Data

CESifo Working Paper No. 8015
Number of pages: 53 Posted: 14 Jan 2020
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 157 (261,153)

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Bayesian learning, high-dimensional prediction problems, return predictability, out-of-sample tests

Market Efficiency in the Age of Big Data

NBER Working Paper No. w26586
Number of pages: 52 Posted: 31 Dec 2019 Last Revised: 24 Jun 2022
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 117 (327,837)

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Market Efficiency in the Age of Big Data

CEPR Discussion Paper No. DP14235
Number of pages: 54 Posted: 14 Jan 2020
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 0
Citation 4
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Big Data, Machine Learning, Market Efficiency

21.

Treasury Inconvenience Yields During the Covid-19 Crisis

Downloads 271 (158,374)
Citation 9

Treasury Inconvenience Yields During the Covid-19 Crisis

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-79
Number of pages: 62 Posted: 23 Jun 2020
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 209 (203,170)

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D8, G2

Treasury Inconvenience Yields During the Covid-19 Crisis

NBER Working Paper No. w27416
Number of pages: 59 Posted: 22 Jun 2020 Last Revised: 30 May 2022
Zhiguo He, Stefan Nagel and Zhaogang Song
University of Chicago - Finance, University of Chicago - Booth School of Business and Johns Hopkins University - Carey Business School
Downloads 62 (482,865)
Citation 2

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22.

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 2022
Ulrike Malmendier and Stefan Nagel
University of California, Berkeley - Department of Economics and University of Chicago - Booth School of Business
Downloads 264 (162,575)
Citation 183

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23.

Estimation and Evaluation of Conditional Asset Pricing Models

Downloads 220 (193,868)
Citation 43

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 157 (261,153)
Citation 18

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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 Last Revised: 20 Jun 2022
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 63 (478,913)

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24.

Risk-Adjusted Returns of Private Equity Funds: A New Approach

Number of pages: 58 Posted: 20 Jul 2022
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 187 (226,763)

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private equity, venture capital, buyout, performance, return, risk-adjusted return, risk-adjustment, beta, predictability

25.

Socioeconomic Status and Macroeconomic Expectations

Downloads 158 (259,232)
Citation 14

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 158 (259,816)

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expectations, investments, socioeconomic status

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
Downloads 0
Citation 14
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26.

Bank Risk Dynamics and Distance to Default

Downloads 114 (332,136)
Citation 8

Bank Risk Dynamics and Distance to Default

CESifo Working Paper No. 7637
Number of pages: 59 Posted: 23 Jul 2019
Stefan Nagel and Amiyatosh Purnanandam
University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 57 (503,157)

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Bank Risk Dynamics and Distance to Default

NBER Working Paper No. w25807
Number of pages: 58 Posted: 07 May 2019 Last Revised: 08 Jul 2022
Stefan Nagel and Amiyatosh Purnanandam
University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 57 (503,157)

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Bank Risk Dynamics and Distance to Default

CEPR Discussion Paper No. DP13715
Number of pages: 60 Posted: 07 May 2019
Stefan Nagel and Amiyatosh Purnanandam
University of Chicago - Booth School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 0
Citation 7
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27.

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

Downloads 105 (351,353)
Citation 12

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 58 (499,052)

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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 35 (614,476)
Citation 2

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survey expectations, expected stock returns

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

NBER Working Paper No. w25122
Number of pages: 36 Posted: 08 Oct 2018 Last Revised: 21 Feb 2022
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 11 (810,298)
Citation 12

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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
Downloads 1 (932,336)
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28.

Sizing Up Repo

Downloads 98 (367,607)
Citation 144

Sizing Up Repo

NBER Working Paper No. w17768
Number of pages: 60 Posted: 19 Jan 2012 Last Revised: 21 Jul 2022
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 90 (391,107)

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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 (842,022)
Citation 35
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Dealer Banks, Financial Crisis, Repurchase Agreements, Shadow Banking

29.

Dynamics of Subjective Risk Premia

Downloads 94 (377,318)

Dynamics of Subjective Risk Premia

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-31
Number of pages: 70 Posted: 02 Mar 2022
Stefan Nagel and Zhengyang Xu
University of Chicago - Booth School of Business and City University of Hong Kong - Department of Economics & Finance
Downloads 49 (539,040)

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Dynamics of Subjective Risk Premia

CESifo Working Paper No. 9693
Number of pages: 70 Posted: 20 Apr 2022
Stefan Nagel and Zhengyang Xu
University of Chicago - Booth School of Business and City University of Hong Kong - Department of Economics & Finance
Downloads 38 (596,560)

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Dynamics of Subjective Risk Premia

NBER Working Paper No. w29803
Number of pages: 69 Posted: 28 Feb 2022 Last Revised: 14 Jul 2022
Stefan Nagel and Zhengyang Xu
University of Chicago - Booth School of Business and City University of Hong Kong - Department of Economics & Finance
Downloads 7 (853,089)
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Dynamics of Subjective Risk Premia

CEPR Discussion Paper No. DP17064
Number of pages: 71 Posted: 29 Mar 2022
Stefan Nagel and Zhengyang Xu
University of Chicago - Booth School of Business and City University of Hong Kong - Department of Economics & Finance
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30.

The Liquidity Premium of Near-Money Assets

Downloads 90 (387,640)
Citation 97

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 74 (439,504)

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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 Last Revised: 16 May 2022
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 16 (760,932)
Citation 59

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31.

Expectations Data in Asset Pricing

Downloads 53 (511,846)

Expectations Data in Asset Pricing

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-59
Number of pages: 45 Posted: 06 May 2022
Klaus Adam and Stefan Nagel
University of Mannheim and University of Chicago - Booth School of Business
Downloads 44 (563,941)

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Expectations Data in Asset Pricing

NBER Working Paper No. w29977
Number of pages: 44 Posted: 02 May 2022 Last Revised: 07 May 2022
Klaus Adam and Stefan Nagel
University of Mannheim and University of Chicago - Booth School of Business
Downloads 9 (831,135)
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32.

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 52 (516,108)

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33.

Asset Pricing with Fading Memory

Downloads 45 (548,032)
Citation 5

Asset Pricing with Fading Memory

NBER Working Paper No. w26255
Number of pages: 74 Posted: 18 Sep 2019 Last Revised: 29 Apr 2022
Stefan Nagel and Zhengyang Xu
University of Chicago - Booth School of Business and City University of Hong Kong - Department of Economics & Finance
Downloads 45 (558,778)

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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 City University of Hong Kong - Department of Economics & Finance
Downloads 0
Citation 2
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34.

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

Downloads 35 (600,244)
Citation 191

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

NBER Working Paper No. w23228
Number of pages: 62 Posted: 19 Mar 2017 Last Revised: 20 Jun 2022
Ulrike Malmendier, Stefan Nagel and Zhen (Zach) Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and Cornerstone Research
Downloads 35 (614,476)
Citation 84

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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 (Zach) Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and Cornerstone Research
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Citation 35
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35.

Interpreting Repo Statistics in the Flow of Funds Accounts

NBER Working Paper No. w19389
Number of pages: 13 Posted: 30 Aug 2013 Last Revised: 25 Jun 2022
Arvind Krishnamurthy and Stefan Nagel
Northwestern University - Kellogg School of Management and University of Chicago - Booth School of Business
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36.

ECB Policies Involving Government Bond Purchases: Impact and Channels

NBER Working Paper No. w23985
Number of pages: 63 Posted: 06 Nov 2017 Last Revised: 16 Jul 2022
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 39

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37.

Socioeconomic Status and Macroeconomic Expectations

NBER Working Paper No. w24045
Number of pages: 51 Posted: 28 Nov 2017 Last Revised: 14 Mar 2022
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
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38.

The Making of Hawks and Doves

CEPR Discussion Paper No. DP14938
Number of pages: 72 Posted: 29 Jun 2020
Ulrike Malmendier, Stefan Nagel and Zhen Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and Cornerstone Research
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Citation 5
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Availability bias, Experience effects, Federal Funds Rate, Inflation forecasts, monetary policy

39.

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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40.

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

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Portfolio Management, equity strategies