Maik Schmeling

Goethe University Frankfurt - Department of Finance

House of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, Hessen 60323

Germany

http://sites.google.com/site/maikschmeling/

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

  • Goethe University Frankfurt - Department of Finance

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

26

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Top 1,327

in Total Papers Citations

226

CROSSREF CITATIONS

570

Scholarly Papers (26)

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1.

Currency Momentum Strategies

Downloads 4,508 ( 1,936)
Citation 86

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,966 (2,389)
Citation 6

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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

BIS Working Paper No. 366
Number of pages: 89 Posted: 13 Dec 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 532 (53,438)
Citation 10

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Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

CEPR Discussion Paper No. DP8747
Number of pages: 90 Posted: 20 Jan 2012
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 10 (635,577)
Citation 20
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.

Carry Trades and Global Foreign Exchange Volatility

Downloads 3,014 ( 3,862)
Citation 160

Carry Trades and Global Foreign Exchange Volatility

Journal of Finance, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 93 Posted: 14 Feb 2009 Last Revised: 02 Mar 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,997 (3,824)
Citation 9

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F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

CEPR Discussion Paper No. DP8291
Number of pages: 95 Posted: 28 Mar 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 17 (585,425)
Citation 26
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carry trade, forward premium puzzle, liquidity, volatility

3.

Currency Value

Downloads 1,920 ( 8,272)
Citation 11

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,124 (18,854)
Citation 8

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Currency value, macro fundamentals, real exchange rate, predictability

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 796 (31,178)
Citation 6

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Currency value, macro fundamentals, real exchange rate, predictability

4.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,470 (12,719)
Citation 4

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Exchange rates, currency risk premium, currency options, sovereign risk, CDS spreads.

5.

Short-Term Momentum

Number of pages: 66 Posted: 17 Apr 2018 Last Revised: 08 Nov 2019
Mamdouh Medhat and Maik Schmeling
City University London - Sir John Cass Business School and Goethe University Frankfurt - Department of Finance
Downloads 1,304 (15,383)
Citation 2

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Momentum, Reversal, Cursed Expectations Equilibrium, Return Predictability

6.

Does Central Bank Tone Move Asset Prices?

Downloads 1,228 ( 16,818)
Citation 13

Does Central Bank Tone Move Asset Prices?

Number of pages: 87 Posted: 14 Jul 2015 Last Revised: 24 Oct 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,227 (16,533)
Citation 16

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monetary policy, central bank communication, textual analysis, risk premia, stock returns, volatility risk, credit spreads

Does Central Bank Tone Move Asset Prices?

CEPR Discussion Paper No. DP13490
Number of pages: 88 Posted: 28 Jan 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1 (714,272)
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central bank communication, credit spreads, monetary policy, risk premia, Stock returns, textual analysis, volatility risk

7.

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Downloads 1,099 ( 19,881)
Citation 5

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 887 (26,774)
Citation 2

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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

BIS Working Paper No. 374
Number of pages: 47 Posted: 07 Mar 2012
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 212 (150,517)
Citation 3

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Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

8.

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Downloads 666 ( 40,341)
Citation 12

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 48 Posted: 19 May 2011 Last Revised: 05 Apr 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 658 (40,391)
Citation 3

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Exchange rates, economic fundamentals, forecasting, present value model

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

CEPR Discussion Paper No. DP9472
Number of pages: 47 Posted: 17 May 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 8 (650,396)
Citation 1
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economic fundamentals, Exchange rates, forecasting, present value model

9.

Dividend Predictability Around the World

Downloads 645 ( 42,138)
Citation 24

Dividend Predictability Around the World

CREATES Research Paper No. 2010-03
Number of pages: 44 Posted: 26 Jan 2010 Last Revised: 02 Oct 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 506 (56,940)
Citation 10

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Dividend Yield, Predictability, International Stock Markets, Value, Growth, Idiosyncratic Volatility

Dividend Predictability around the World

Number of pages: 44 Posted: 05 Mar 2010 Last Revised: 02 Oct 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 139 (218,686)
Citation 18

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dividend yield, predictability, international stock markets, value, growth, idiosyncratic volatility

10.

Global Asset Allocation Shifts

Downloads 523 ( 55,270)
Citation 3

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 418 (72,067)
Citation 4

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

Global Asset Allocation Shifts

BIS Working Paper No. 497
Number of pages: 70 Posted: 01 Apr 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 105 (270,168)

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

11.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Valère Fourel, Dagfinn Rime, Lucio Sarno, Maik Schmeling and Adrien Verdelhan
Massachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 462 (64,461)
Citation 2

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Exchange rates, risk premium, order flow

12.

Expected Inflation, Expected Stock Returns, and Money Illusion: What Can We Learn from Survey Expectations?

SFB 649 Discussion Paper 2008-036
Number of pages: 42 Posted: 27 May 2008 Last Revised: 17 Jan 2010
Maik Schmeling and Andreas Schrimpf
Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 372 (83,316)
Citation 4

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Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability

13.

The FOMC Risk Shift

Downloads 368 ( 84,391)
Citation 3

The FOMC Risk Shift

Number of pages: 84 Posted: 20 Nov 2017 Last Revised: 25 Nov 2019
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 366 (84,268)
Citation 5

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Monetary policy shocks, Equity Premium, Fund Flows, Portfolio Rebalancing

The FOMC Risk Shift

CEPR Discussion Paper No. DP14037
Number of pages: 98 Posted: 07 Oct 2019
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2 (700,434)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

14.

Dissecting Announcement Returns

Number of pages: 87 Posted: 13 Nov 2017 Last Revised: 31 Oct 2018
Mamdouh Medhat and Maik Schmeling
City University London - Sir John Cass Business School and Goethe University Frankfurt - Department of Finance
Downloads 313 (101,295)
Citation 1

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Announcement premium, resolution of uncertainty, post-earnings announcement drift, PEAD, momentum, disagreement, underreaction, gradual information diffusion

15.

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Downloads 276 (115,911)
Citation 8

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 210 (151,877)
Citation 5

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 20 May 2012 Last Revised: 17 Mar 2016
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 66 (360,122)
Citation 4

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

16.

Systematic Intervention and Currency Risk Premia

Number of pages: 61 Posted: 13 Feb 2018 Last Revised: 24 Mar 2019
Marcel Fratzscher, Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Tobias Stoehr
DIW Berlin, German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Kiel Institute for the World Economy
Downloads 261 (122,851)
Citation 2

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Foreign exchange intervention, Currency risk, Carry, Momentum, Value

17.

Limit-Order Submission Strategies under Asymmetric Information

CESifo Working Paper Series No. 3054
Number of pages: 42 Posted: 19 May 2010
Lukas Menkhoff, Carol L. Osler and Maik Schmeling
German Institute for Economic Research (DIW Berlin), Brandeis University - International Business School and Goethe University Frankfurt - Department of Finance
Downloads 228 (140,703)
Citation 2

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limit-order market, order submission, informed traders, market conditions

18.

Whose Trades Convey Information? Evidence from a Cross-Section of Traders

Number of pages: 46 Posted: 01 Mar 2007
Lukas Menkhoff and Maik Schmeling
German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 226 (141,927)
Citation 3

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Market microstructure, informed trading, trade size, foreign exchange

19.

What do Professional Forecasters' Stock Market Expectations tell us about Herding, Information Extraction and Beauty Contests?

ZEW - Centre for European Economic Research Discussion Paper No. 09-042
Number of pages: 54 Posted: 20 Sep 2009 Last Revised: 22 Feb 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 218 (146,944)
Citation 3

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

20.

Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

Downloads 207 (154,246)
Citation 5

Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

CESifo Working Paper Series No. 2221
Number of pages: 48 Posted: 19 Feb 2008
Michael Melvin, Lukas Menkhoff and Maik Schmeling
University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 109 (262,977)

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foreign exchange, microstructure, intervention, exchange rate

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

CESifo Working Paper Series No. 2656
Number of pages: 52 Posted: 27 May 2009
Michael Melvin, Lukas Menkhoff and Maik Schmeling
University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 98 (283,380)
Citation 1

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exchange rates, intervention, microstructure

21.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
Christian David Dick, Maik Schmeling and Andreas Schrimpf
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 160 (194,211)
Citation 1

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Bond Yields, Expectations Hypothesis, Time-Varying Risk Premia, Term Premia, Aggregate Uncertainty

22.

Capital Market Integration and Consumption Risk Sharing Over the Long Run

Number of pages: 57 Posted: 16 Jan 2014 Last Revised: 20 Jan 2016
Jesper Rangvid, Pedro Santa-Clara and Maik Schmeling
Copenhagen Business School, New University of Lisbon - Nova School of Business and Economics and Goethe University Frankfurt - Department of Finance
Downloads 159 (195,261)
Citation 5

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Market integration, Consumption risk sharing, International financial markets

23.

Trader See, Trader Do: How Do (Small) FX Traders React to Large Counterparties’ Trades?

Number of pages: 52 Posted: 30 Mar 2009 Last Revised: 25 Mar 2010
Lukas Menkhoff and Maik Schmeling
German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 154 (200,602)
Citation 5

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Foreign exchange microstructure, order flow, informed traders, counterparty identity

24.

Long-run Consumption Risk and International Stock Returns: A Century of Evidence

Number of pages: 31 Posted: 29 Nov 2009 Last Revised: 30 Jan 2011
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 118 (247,393)

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International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data

25.

Monetary Policy Expectation Errors

Number of pages: 75
Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Aarhus University
Downloads 10

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Federal Funds Futures, Overnight Index Swaps, Expectation Errors, Monetary policy, Financial Crises

26.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2 (668,826)
Citation 3
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Currency value, macro fundamentals, predictability, real exchange rate