Stefan Nagel

University of Michigan, Stephen M. Ross School of Business

701 Tappan Street

Ann Arbor, MI MI 48109

United States

University of Michigan Department of Economics

Professor of Economics

Lorch Hall

Ann Arbor, MI 48109

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 1,880

SSRN RANKINGS

Top 1,880

in Total Papers Downloads

13,517

CITATIONS
Rank 445

SSRN RANKINGS

Top 445

in Total Papers Citations

1,053

Scholarly Papers (23)

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 Michigan, Stephen M. Ross School of Business and Princeton University - Department of Economics
Downloads 2,753 (2,846)
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 Michigan, Stephen M. Ross School of Business
Downloads 1,849 (5,668)
Citation 5

Abstract:

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

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 Michigan, Stephen M. Ross School of Business
Downloads 939 (17,484)
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 Michigan, Stephen M. Ross School of Business
Downloads 277 (85,638)
Citation 168

Abstract:

4.
Downloads 1,208 ( 12,127)
Citation 153

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 Michigan, Stephen M. Ross School of Business and Emory University - Goizueta Business School
Downloads 1,170 (12,489)
Citation 153

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 Michigan, Stephen M. Ross School of Business and Emory University - Goizueta Business School
Downloads 38 (356,458)
Citation 153

Abstract:

5.
Downloads 1,055 ( 14,983)
Citation 35

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 Michigan, Stephen M. Ross School of Business and Harvard Business School - Finance Unit
Downloads 1,037 (15,077)
Citation 35

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 Michigan, Stephen M. Ross School of Business
Downloads 18 (451,420)
Citation 35

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 Michigan, Stephen M. Ross School of Business and Dimensional Fund Advisors Ltd
Downloads 793 (20,907)
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 Michigan, Stephen M. Ross School of Business
Downloads 709 (25,730)
Citation 6

Abstract:

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

8.
Downloads 554 ( 37,545)
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 Michigan, Stephen M. Ross School of Business
Downloads 534 (38,868)
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 Michigan, Stephen M. Ross School of Business
Downloads 19 (445,841)
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 Michigan, Stephen M. Ross School of Business
Downloads 1 (549,659)
Citation 2

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 Michigan, Stephen M. Ross School of Business
Downloads 487 (41,628)
Citation 8

Abstract:

Trading Volume, Style Investing, Mutual Funds

10.
Downloads 420 ( 53,188)
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 Michigan, Stephen M. Ross School of Business and NYU Stern School of Business
Downloads 310 (75,378)
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 Michigan, Stephen M. Ross School of Business and NYU Stern School of Business
Downloads 79 (248,806)
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 Michigan, Stephen M. Ross School of Business and NYU Stern School of Business
Downloads 31 (383,768)
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 Michigan, Stephen M. Ross School of Business and NYU Stern School of Business

Abstract:

dividend, consumption, tax cut, CEX, mental accounting

11.

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

Number of pages: 36 Posted: 06 Oct 2001
Stefan Nagel
University of Michigan, Stephen M. Ross School of Business
Downloads 387 (56,112)
Citation 11

Abstract:

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

12.

Carry Trades and Currency Crashes

NBER Working Paper No. w14473
Number of pages: 36 Posted: 19 Jul 2012
Princeton University - Department of Economics, University of Michigan, Stephen M. Ross School of Business and AQR Capital Management, LLC
Downloads 283 (84,072)
Citation 93

Abstract:

13.
Downloads 280 ( 85,062)
Citation 21

Evaporating Liquidity

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 23 Jul 2011
Stefan Nagel
University of Michigan, Stephen M. Ross School of Business
Downloads 246 (97,250)
Citation 21

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 Michigan, Stephen M. Ross School of Business
Downloads 29 (392,673)
Citation 21

Abstract:

Evaporating Liquidity

CEPR Discussion Paper No. DP8775
Number of pages: 59 Posted: 20 Jan 2012
Stefan Nagel
University of Michigan, Stephen M. Ross School of Business
Downloads 5 (523,484)
Citation 21

Abstract:

Financial Crisis, Liquidity, Return Reversals

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 Michigan, Stephen M. Ross School of Business
Downloads 229 (104,720)
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 Michigan, Stephen M. Ross School of Business and Princeton University - Department of Economics
Downloads 46 (329,804)
Citation 58

Abstract:

15.
Downloads 266 ( 89,952)
Citation 2

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012
Stefan Nagel
University of Michigan, Stephen M. Ross School of Business
Downloads 247 (96,838)
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 Michigan, Stephen M. Ross School of Business
Downloads 16 (462,832)
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 Michigan, Stephen M. Ross School of Business
Downloads 3 (533,667)
Citation 2

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 Michigan, Stephen M. Ross School of Business

Abstract:

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
University of North Carolina (UNC) at Chapel Hill, Government of the United States of America - Internal Revenue Service (IRS), University of Michigan, Stephen M. Ross 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 227 (105,661)

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
University of North Carolina (UNC) at Chapel Hill, Government of the United States of America - Internal Revenue Service (IRS), University of Michigan, Stephen M. Ross 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 (491,330)

Abstract:

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 Michigan, Stephen M. Ross School of Business and Stanford University - Graduate School of Business
Downloads 136 (169,027)
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 Michigan, Stephen M. Ross School of Business and Stanford University - Graduate School of Business
Downloads 34 (371,585)
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 Michigan, Stephen M. Ross School of Business
Downloads 135 (161,037)
Citation 74

Abstract:

19.
Downloads 70 (264,345)
Citation 20

Sizing Up Repo

NBER Working Paper No. w17768
Number of pages: 60 Posted: 19 Jan 2012
Northwestern University - Kellogg School of Management, University of Michigan, Stephen M. Ross School of Business and affiliation not provided to SSRN
Downloads 62 (285,666)
Citation 20

Abstract:

Sizing Up Repo

CEPR Discussion Paper No. DP8795
Number of pages: 62 Posted: 01 Mar 2012
Northwestern University - Kellogg School of Management, University of Michigan, Stephen M. Ross School of Business and affiliation not provided to SSRN
Downloads 8 (507,919)
Citation 20

Abstract:

Dealer Banks, Financial Crisis, Repurchase Agreements, Shadow Banking

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 Michigan, Stephen M. Ross School of Business
Downloads 45 (332,979)

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 Michigan, Stephen M. Ross School of Business
Downloads 6 (518,406)

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 Michigan, Stephen M. Ross School of Business
Downloads 42 (324,109)
Citation 163

Abstract:

22.

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 Michigan, Stephen M. Ross School of Business
Downloads 11 (456,060)

Abstract:

23.

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 Michigan, Stephen M. Ross School of Business and Dimensional Fund Advisors Ltd

Abstract:

Portfolio Management, equity strategies