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

25

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18,639

CITATIONS
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Top 3,789

in Total Papers Citations

140

Scholarly Papers (25)

1.
Downloads 4,350 ( 1,885)
Citation 46

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,824 (2,306)
Citation 3

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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), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 516 (52,067)
Citation 3

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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), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 10 (598,984)
Citation 71
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.
Downloads 2,938 ( 3,697)
Citation 97

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,921 (3,680)
Citation 1

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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), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 17 (552,523)
Citation 158
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carry trade, forward premium puzzle, liquidity, volatility

3.
Downloads 1,830 ( 8,263)
Citation 10

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,045 (19,583)
Citation 7

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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), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 785 (29,666)
Citation 3

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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
Imperial College Business School, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,319 (14,032)
Citation 5

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

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 876 (25,461)
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 207 (144,965)
Citation 28

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

6.

Short-Term Momentum

Number of pages: 71 Posted: 17 Apr 2018 Last Revised: 09 Nov 2018
Mamdouh Medhat and Maik Schmeling
City University London - Sir John Cass Business School and Goethe University Frankfurt - Department of Finance
Downloads 1,068 (19,340)
Citation 2

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Momentum, reversal, disagreement, informed trading, return predictability

7.
Downloads 989 ( 21,697)
Citation 10

Does Central Bank Tone Move Asset Prices?

Number of pages: 85 Posted: 14 Jul 2015 Last Revised: 05 Jul 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 988 (21,356)
Citation 14

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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 (676,043)
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central bank communication, credit spreads, monetary policy, risk premia, Stock returns, textual analysis, volatility risk

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 Goethe University Frankfurt - Department of Finance
Downloads 646 (38,631)
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
City University London - Sir John Cass Business School and Goethe University Frankfurt - Department of Finance
Downloads 8 (612,664)
Citation 10
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economic fundamentals, Exchange rates, forecasting, present value model

9.
Downloads 636 ( 40,075)
Citation 16

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 502 (53,786)
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 134 (212,275)
Citation 17

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

10.
Downloads 504 ( 54,118)
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 405 (70,235)
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
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 99 (265,574)

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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, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 414 (68,972)
Citation 1

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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 366 (79,738)
Citation 15

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

13.

The FOMC Risk Shift

Number of pages: 75 Posted: 20 Nov 2017 Last Revised: 04 Oct 2018
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 291 (102,938)
Citation 5

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

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 283 (106,108)

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

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 202 (148,448)
Citation 28

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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), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 57 (366,802)
Citation 2

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

16.

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 223 (135,339)
Citation 8

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Market microstructure, informed trading, trade size, foreign exchange

17.

Systematic Intervention and Currency Risk Premia

Number of pages: 61 Posted: 13 Feb 2018 Last Revised: 24 Mar 2019
DIW Berlin, German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Kiel Institute for the World Economy
Downloads 218 (138,318)
Citation 1

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

18.

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 216 (139,564)
Citation 5

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

19.

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 213 (141,418)
Citation 13

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

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 (248,260)

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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 96 (271,068)
Citation 4

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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
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 157 (185,972)
Citation 7

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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 155 (187,967)
Citation 6

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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 150 (193,228)
Citation 7

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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 116 (236,266)

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

25.

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, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2 (631,365)
Citation 5
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Currency value, macro fundamentals, predictability, real exchange rate