Philipp K. Illeditsch

Texas A&M University - Mays Business School - Finance Department

PhD Student

Wehner Building 351Q

4113 TAMU | 210 Olsen Blvd

College Station, TX Brazos County 77843-4218

United States

http://https://sites.google.com/view/philippilleditsch

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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41

CROSSREF CITATIONS

41

Scholarly Papers (11)

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics (JFE), December 2016, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 139 Posted: 26 Mar 2012 Last Revised: 11 Aug 2020
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 1,130 (26,204)
Citation 20

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Inflation disagreement, real and nominal yields, yield volatilities, cross-sectional consumption growth volatility, speculative trade

Disagreement About Inflation and the Yield Curve

Banco de Espana Working Paper No. 1532
Posted: 22 Nov 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department

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inflation disagreement, relative entropy, real and nominal yields, yield volatilities, break-even inflation, inflation risk premium, cross-sectional consumption growth volatility, trading on inflation

2.

Residual Inflation Risk

Number of pages: 69 Posted: 25 Aug 2007 Last Revised: 23 Dec 2016
Philipp K. Illeditsch
Texas A&M University - Mays Business School - Finance Department
Downloads 915 (35,960)
Citation 3

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Inflation Risk, Nominal Bonds, Cash, Money Market Account, Inflation-Protected Bonds, Inflation-Indexed Bonds, TIPS, Dynamic Asset Al- location, Portfolio Choice

3.

Risk Premia and Volatilities in a Nonlinear Term Structure Model

Review of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 02 Sep 2020
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 754 (46,820)
Citation 7

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Nonlinear Term Structure Models, Expected Excess Returns, Stochastic Volatility, Unspanned Risk Premia (URP), Unspanned Stochastic Volatility (USV)

4.

Information Inertia

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 16 Jun 2012 Last Revised: 11 Aug 2020
Philipp K. Illeditsch, Jayant V. Ganguli and Scott Condie
Texas A&M University - Mays Business School - Finance Department, University of Essex - Department of Economics and Brigham Young University - Department of Economics
Downloads 721 (49,693)
Citation 5

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Ambiguity Aversion, Knightian Uncertainty, Inattention to News, Informational Efficiency, Information Inertia, News Momentum, Post-Earnings Announcement Drift (PEAD), Post-Forecast Revision Drift (PFRD)

5.

Ambiguous Information, Portfolio Inertia, and Excess Volatility

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 05 May 2010 Last Revised: 07 Dec 2011
Philipp K. Illeditsch
Texas A&M University - Mays Business School - Finance Department
Downloads 709 (50,804)
Citation 9

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Learning from Ambiguous Signals, Portfolio Inertia, Excess Volatility, Ambiguity Aversion, Knightian Uncertainty, Heterogenous Agents

6.

Ambiguous Information, Risk Aversion, and Asset Pricing

Number of pages: 69 Posted: 23 Jul 2009
Philipp K. Illeditsch
Texas A&M University - Mays Business School - Finance Department
Downloads 353 (118,377)
Citation 5

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Ambiguity Aversion, Knightian Uncertainty, Ambiguous Information, Information Processing, Multiplicity of Equilibria, Non-monotone signal-to-price mapping, Excess Variance

Distorted Risk Incentives from Size Threshold-Based Regulations

Number of pages: 82 Posted: 03 Feb 2019 Last Revised: 26 Apr 2022
Burton Hollifield, Philipp K. Illeditsch, Shane A. Johnson and Yan Liu
Carnegie Mellon University - David A. Tepper School of Business, Texas A&M University - Mays Business School - Finance Department, Texas A&M University - Department of Finance and Purdue University
Downloads 60 (484,999)

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Risk incentives, Regulation, Size thresholds, Size contingent regulation, Dodd-Frank, Regulatory distortion, risk taking

8.

Demand Disagreement

Number of pages: 63 Posted: 28 Dec 2017 Last Revised: 24 Nov 2020
Christian Heyerdahl-Larsen and Philipp K. Illeditsch
Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 195 (213,770)
Citation 3

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Disagreement correlation puzzle, correlation puzzle, demand shocks, demand disagreement, heterogeneous beliefs and time preferences, asset pricing puzzles, trading volume.

9.

The Market View

Number of pages: 30 Posted: 06 Mar 2021
Christian Heyerdahl-Larsen and Philipp K. Illeditsch
Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 147 (271,298)

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market view, consensus view, statistical view, stock market return surveys, heterogenous agents models, disagreement, survey puzzles

10.

Disagreement about Innovations and Endogenous Growth

Number of pages: 31 Posted: 05 Dec 2019
Christian Heyerdahl-Larsen, Philipp K. Illeditsch and Howard Kung
Indiana University - Kelley School of Business - Department of Finance, Texas A&M University - Mays Business School - Finance Department and London Business School
Downloads 102 (353,676)

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Disagreement, Optimism, Entrepreneurship, Externality, Endogenous Growth, Innovations, Laffer Curve

11.

Beliefs About Inflation and the Term Structure of Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 12 Jun 2012
Texas A&M University - Mays Business School - Finance Department, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and BI - Norwegian Business School
Downloads 18 (708,002)

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