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

32

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CITATIONS
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Scholarly Papers (32)

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1.

Hedge Funds and the Technology Bubble

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 446
Number of pages: 37 Posted: 23 Jul 2003
Stefan Nagel and Markus K. Brunnermeier
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,925 (3,578)
Citation 175

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Bubbles, Hedge Funds, Limits to Arbitrage

2.

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

EFA 2001 Barcelona Meetings
Number of pages: 39 Posted: 11 Jul 2001
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 1,973 (6,966)
Citation 5

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

3.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,265 ( 14,370)
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 Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 1,224 (14,839)
Citation 153

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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: 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 41 (411,982)
Citation 153

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4.

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Downloads 1,245 ( 14,740)
Citation 168

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 959 (21,485)
Citation 167

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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

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 286 (101,076)
Citation 168

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5.

Shrinking the Cross Section

Downloads 1,237 ( 14,896)

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 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 1,203 (15,241)

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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 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 22 (505,679)

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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: 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
Downloads 12 (567,985)
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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 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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6.

Inexperienced Investors and Bubbles

Downloads 1,166 ( 16,346)
Citation 36

Inexperienced Investors and Bubbles

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 15 Feb 2007 Last Revised: 22 Jan 2009
Stefan Nagel and Robin M. Greenwood
University of Chicago - Booth School of Business and Harvard Business School - Finance Unit
Downloads 1,139 (16,556)
Citation 36

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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 2010
Robin M. Greenwood and Stefan Nagel
Harvard Business School - Finance Unit and University of Chicago - Booth School of Business
Downloads 27 (476,171)
Citation 36

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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 1,157 (16,530)

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Factor Models, Characteristics, Covariances, Rational, Behavioral

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 891 (24,338)
Citation 19

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Value Premium, Book-to-Market, Trading Cost

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
Downloads 752 (30,896)
Citation 6

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

10.

Risk-Adjusting the Returns to Venture Capital

Downloads 751 ( 30,960)
Citation 2

Risk-Adjusting the Returns to Venture Capital

Journal of Finance, Forthcoming, Rock Center for Corporate Governance at Stanford University Working Paper No. 180, Stanford University Graduate School of Business Research Paper No. 14-10
Number of pages: 49 Posted: 14 Aug 2013 Last Revised: 17 Jun 2015
Arthur G. Korteweg and Stefan Nagel
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 727 (31,867)
Citation 2

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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: 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 23 (499,456)
Citation 2

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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 (651,142)
Citation 2
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Stochastic Discount Factor, Systematic Risk, Venture Capital

11.

Trading Styles and Trading Volume

Number of pages: 34 Posted: 25 Aug 2005
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 540 (47,873)
Citation 8

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Trading Volume, Style Investing, Mutual Funds

12.

Evaporating Liquidity

Downloads 526 ( 49,558)
Citation 22

Evaporating Liquidity

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 23 Jul 2011
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 268 (108,309)
Citation 22

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Liquidity, Immediacy, Reversal Strategies, VIX, Financial Crisis

Evaporating Liquidity

NBER Working Paper No. w17653
Number of pages: 57 Posted: 12 Dec 2011
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 253 (115,130)
Citation 22

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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 (612,539)
Citation 22
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Financial Crisis, Liquidity, Return Reversals

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 471 (56,983)
Citation 92

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14.

The Effect of Dividends on Consumption

Downloads 438 ( 62,309)
Citation 18

The Effect of Dividends on Consumption

Number of pages: 54 Posted: 06 Mar 2006 Last Revised: 12 Aug 2008
Malcolm P. Baker, Stefan Nagel and Jeffrey Wurgler
Harvard Business School, University of Chicago - Booth School of Business and NYU Stern School of Business
Downloads 322 (88,705)
Citation 18

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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 82 (291,336)
Citation 18

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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 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 34 (441,475)
Citation 18

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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

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 423 (64,978)
Citation 11

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

16.

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

Downloads 359 ( 78,818)

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 345 (81,898)

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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
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 14 (555,389)

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17.

Empirical Cross-Sectional Asset Pricing

Downloads 314 ( 91,802)
Citation 1

Empirical Cross-Sectional Asset Pricing

Number of pages: 60 Posted: 13 Nov 2012
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 280 (103,375)
Citation 1

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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
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 31 (455,314)
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 (627,245)
Citation 1
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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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18.

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

Downloads 283 (102,745)
Citation 60

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 236 (123,573)
Citation 60

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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 2010
Stefan Nagel and Markus K. Brunnermeier
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 47 (389,749)
Citation 60

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19.

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 225 (130,032)

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Risk of Financial Institutions, Systemic Risk, Risk Measurement

20.

Estimation and Evaluation of Conditional Asset Pricing Models

Downloads 186 (155,505)
Citation 12

Estimation and Evaluation of Conditional Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 05 Oct 2010
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 141 (197,712)
Citation 12

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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
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 45 (396,880)
Citation 12

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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 175 (164,233)
Citation 75

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22.

Socioeconomic Status and Macroeconomic Expectations

Downloads 79 (295,176)

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 79 (298,005)

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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
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23.

Sizing Up Repo

Downloads 76 (301,953)
Citation 20

Sizing Up Repo

NBER Working Paper No. w17768
Number of pages: 60 Posted: 19 Jan 2012
Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov
Northwestern University - Kellogg School of Management, University of Chicago - Booth School of Business and affiliation not provided to SSRN
Downloads 68 (324,953)
Citation 20

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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 (593,295)
Citation 20
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Dealer Banks, Financial Crisis, Repurchase Agreements, Shadow Banking

24.

The Liquidity Premium of Near-Money Assets

Downloads 64 (331,668)

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 (356,294)

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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
Stefan Nagel
University of Chicago - Booth School of Business
Downloads 7 (599,524)

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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 (386,208)
Citation 162

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26.

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

Downloads 36 (423,319)

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 31 (455,314)

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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 4 (619,374)
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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 (651,142)
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27.

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 21 (495,295)

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28.

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

Downloads 13 (540,039)

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

NBER Working Paper No. w23228
Number of pages: 62 Posted: 19 Mar 2017
Ulrike Malmendier, Stefan Nagel and Zach Yan
University of California, Berkeley - Department of Economics, University of Chicago - Booth School of Business and University of Michigan at Ann Arbor - Finance
Downloads 13 (561,729)

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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 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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29.

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)
Downloads 12 (545,696)
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30.

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 (557,074)
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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)
Downloads 0 (636,413)
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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

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Portfolio Management, equity strategies