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

SCHOLARLY PAPERS

27

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21,516

SSRN CITATIONS
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Top 1,344

in Total Papers Citations

319

CROSSREF CITATIONS

569

Scholarly Papers (27)

1.
Downloads 4,729 ( 2,018)
Citation 93

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
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 4,165 (2,507)
Citation 4

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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
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 554 (56,254)
Citation 11

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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
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 (690,235)
Citation 27
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.
Downloads 3,116 ( 4,148)
Citation 177

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), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,099 (4,104)
Citation 11

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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
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 (635,643)
Citation 43
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carry trade, forward premium puzzle, liquidity, volatility

3.
Downloads 2,099 ( 8,041)
Citation 10

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
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 1,282 (17,291)
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
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 817 (33,463)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

4.

Short-term Momentum

Number of pages: 70 Posted: 17 Apr 2018 Last Revised: 06 Nov 2020
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 1,629 (12,165)
Citation 2

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Momentum, Reversal, Trading Volume, Bounded rationality

5.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
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 1,587 (12,660)
Citation 6

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

6.
Downloads 1,453 ( 14,549)
Citation 14

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 1,452 (14,272)
Citation 19

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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 (772,436)
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central bank communication, credit spreads, monetary policy, risk premia, Stock returns, textual analysis, volatility risk

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 902 (29,169)
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
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 223 (157,384)
Citation 5

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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
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 669 (43,931)
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 (706,047)
Citation 3
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economic fundamentals, Exchange rates, forecasting, present value model

9.
Downloads 655 ( 45,885)
Citation 25

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 514 (61,789)
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 141 (236,457)
Citation 19

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

10.
Downloads 544 ( 58,211)
Citation 4

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 430 (77,017)
Citation 5

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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
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 114 (278,378)

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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
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 498 (65,002)
Citation 1

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Exchange rates, risk premium, order flow

12.
Downloads 449 ( 73,889)
Citation 4

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 447 (73,574)
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
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 (758,411)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

13.

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 378 (90,379)
Citation 4

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

14.

Dissecting Announcement Returns

Number of pages: 87 Posted: 13 Nov 2017 Last Revised: 31 Oct 2018
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 329 (105,767)
Citation 2

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

15.

Systematic Intervention and Currency Risk Premia

Number of pages: 70 Posted: 13 Feb 2018 Last Revised: 08 Jan 2021
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 325 (107,214)
Citation 2

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

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), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 216 (162,227)
Citation 12

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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
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 74 (368,285)
Citation 3

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

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 241 (146,390)
Citation 3

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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 232 (151,855)
Citation 4

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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 223 (157,783)
Citation 4

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

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 110 (285,506)

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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 103 (299,188)
Citation 2

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exchange rates, intervention, microstructure

21.

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 165 (207,113)
Citation 4

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Market integration, Consumption risk sharing, International financial markets

22.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 162 (210,382)
Citation 5

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

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 159 (213,701)
Citation 4

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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 126 (257,437)

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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 Posted: 08 Apr 2020
Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Danmarks Nationalbank (central bank of Denmark)
Downloads 78 (356,217)

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

26.

Foreign Exchange Intervention: A New Database

DIW Berlin Discussion Paper No. 1915
Number of pages: 62 Posted: 23 Nov 2020
German Institute for Economic Research (DIW Berlin), affiliation not provided to SSRN, German Institute for Economic Research (DIW Berlin), affiliation not provided to SSRN and Goethe University Frankfurt - Department of Finance
Downloads 32 (521,681)

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Foreign exchange intervention, capital controls, macroprudential regulation, international capitalflows

27.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
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 (725,035)
Citation 6
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Currency value, macro fundamentals, predictability, real exchange rate