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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

  • City University London - Sir John Cass Business School

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

21

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CITATIONS
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86

Scholarly Papers (21)

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1.

Currency Momentum Strategies

Downloads 3,695 ( 1,947)
Citation 14

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), 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 3,219 (2,445)
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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
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 466 (49,702)
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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
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 (525,874)
Citation 14
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Abstract:

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

2.

Carry Trades and Global Foreign Exchange Volatility

Downloads 2,688 ( 3,443)
Citation 35

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), 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 2,671 (3,407)
Citation 35

Abstract:

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), 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 (485,440)
Citation 35
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Abstract:

carry trade, forward premium puzzle, liquidity, volatility

3.

Currency Value

Downloads 1,520 ( 9,102)

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), 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 773 (25,339)

Abstract:

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), 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 747 (26,558)

Abstract:

Currency value, macro fundamentals, real exchange rate, predictability

4.

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Downloads 1,061 ( 16,133)
Citation 3

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
University of Aarhus - CREATES, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 860 (21,659)
Citation 3

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
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
University of Aarhus - CREATES, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 201 (127,653)
Citation 3

Abstract:

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

5.

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Downloads 611 ( 35,482)

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 603 (35,569)

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 (536,964)
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Abstract:

economic fundamentals, Exchange rates, forecasting, present value model

6.

Dividend Predictability Around the World

Downloads 598 ( 36,491)
Citation 6

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 471 (49,019)
Citation 6

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 (190,701)
Citation 6

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
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
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 (18,393)

Abstract:

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

8.

Global Asset Allocation Shifts

Downloads 433 ( 55,027)

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Basel, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 343 (72,089)

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
Tim Alexander Kroencke, Maik Schmeling and Andreas Schrimpf
University of Basel, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 90 (244,640)

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 (71,183)
Citation 5

Abstract:

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

10.

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Downloads 219 (117,731)
Citation 2

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), 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 184 (138,813)
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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
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 35 (392,149)
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 215 (119,940)
Citation 5

Abstract:

Market microstructure, informed trading, trade size, foreign exchange

12.

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

Downloads 199 (129,123)
Citation 3

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 107 (217,060)
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 92 (241,062)
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 (124,370)
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 (135,358)
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
Christian David Dick, Maik Schmeling and Andreas Schrimpf
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 (168,917)
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: 75 Posted: 14 Jul 2015 Last Revised: 09 Jun 2017
Maik Schmeling and Christian Wagner
City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 136 (35,932)

Abstract:

central bank communication, stock returns, return predictability, bond yields, monetary policy, 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 (178,800)
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 (215,873)

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 (177,785)

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
Valère Fourel, Dagfinn Rime, Lucio Sarno, Maik Schmeling and Adrien Verdelhan
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 (100,862)

Abstract:

Exchange rates, risk premium, order flow

21.

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), 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 (544,931)
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Abstract:

Currency value, macro fundamentals, predictability, real exchange rate

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