Maik Schmeling

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

Centre for Economic Policy Research (CEPR)

Research Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 1,887

in Total Papers Downloads

13,500

CITATIONS
Rank 6,110

SSRN RANKINGS

Top 6,110

in Total Papers Citations

82

Scholarly Papers (21)

1.
Downloads 3,457 ( 1,989)
Citation 14

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,004 (2,496)
Citation 14

Abstract:

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
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 443 (49,361)
Citation 14

Abstract:

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
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 10 (497,460)
Citation 14

Abstract:

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

2.
Downloads 2,595 ( 3,334)
Citation 34

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
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,578 (3,283)
Citation 34

Abstract:

F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

CEPR Discussion Paper No. DP8291
Number of pages: 95 Posted: 28 Mar 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 17 (457,678)
Citation 34

Abstract:

carry trade, forward premium puzzle, liquidity, volatility

3.
Downloads 1,385 ( 9,731)

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 725 (25,650)

Abstract:

Currency value, macro fundamentals, real exchange rate, predictability

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 660 (29,279)

Abstract:

Currency value, macro fundamentals, real exchange rate, predictability

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Aarhus University - CREATES, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 855 (20,143)
Citation 1

Abstract:

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
Aarhus University - CREATES, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 197 (121,706)
Citation 1

Abstract:

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

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
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 586 (34,361)

Abstract:

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
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 8 (508,401)

Abstract:

economic fundamentals, Exchange rates, forecasting, present value model

6.
Downloads 586 ( 34,880)
Citation 5

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 459 (47,191)
Citation 5

Abstract:

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 127 (178,762)
Citation 5

Abstract:

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

7.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 537 (19,667)

Abstract:

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

8.
Downloads 401 ( 56,349)

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
University of Basel, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 315 (74,159)

Abstract:

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
University of Basel, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 86 (236,117)

Abstract:

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

9.

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
City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 321 (68,275)
Citation 5

Abstract:

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

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 180 (132,626)
Citation 2

Abstract:

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
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 32 (380,030)
Citation 2

Abstract:

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

11.

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 City University London - Sir John Cass Business School
Downloads 212 (113,657)
Citation 5

Abstract:

Market microstructure, informed trading, trade size, foreign exchange

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 City University London - Sir John Cass Business School
Downloads 106 (204,853)
Citation 1

Abstract:

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 City University London - Sir John Cass Business School
Downloads 90 (229,354)
Citation 3

Abstract:

exchange rates, intervention, microstructure

13.

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 188 (118,591)
Citation 2

Abstract:

Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

14.

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 City University London - Sir John Cass Business School
Downloads 167 (129,270)
Citation 7

Abstract:

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

15.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
Centre for European Economic Research (ZEW), City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 137 (158,443)
Citation 1

Abstract:

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

16.

Does Central Bank Tone Move Asset Prices?

Number of pages: 73 Posted: 14 Jul 2015 Last Revised: 08 Oct 2016
Maik Schmeling and Christian Wagner
City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 136 (46,477)

Abstract:

central bank communication, stock returns, return predictability, bond yields, textual analysis

17.

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 City University London - Sir John Cass Business School
Downloads 125 (170,711)
Citation 2

Abstract:

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

18.

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 100 (205,188)

Abstract:

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

19.

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 City University London - Sir John Cass Business School
Downloads 86 (173,755)

Abstract:

Market integration, Consumption risk sharing, International financial markets

20.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de France, BI Norwegian Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 35 (113,657)

Abstract:

Exchange rates, risk premium, order flow

21.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 0 (514,693)

Abstract:

Currency value, macro fundamentals, predictability, real exchange rate