Philipp K. Illeditsch

University of Pennsylvania - Finance Department

Assistant Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

  • University of Pennsylvania - Finance Department

    • Email
    • Tel: 215-898-3477
SCHOLARLY PAPERS

8

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20

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39

Scholarly Papers (8)

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1.

Disagreement about Inflation and the Yield Curve

Downloads 1,042 ( 21,486)
Citation 12

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics (JFE), December 2016
Number of pages: 139 Posted: 26 Mar 2012 Last Revised: 04 Jan 2018
Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen and Philipp K. Illeditsch
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and University of Pennsylvania - Finance Department
Downloads 1,042 (21,110)
Citation 12

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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
Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen and Philipp K. Illeditsch
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and University of Pennsylvania - 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
University of Pennsylvania - Finance Department
Downloads 846 (29,076)
Citation 1

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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
Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 10 Sep 2016
Peter Feldhütter, Christian Heyerdahl-Larsen and Philipp K. Illeditsch
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and University of Pennsylvania - Finance Department
Downloads 712 (36,839)
Citation 4

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

4.

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
University of Pennsylvania - Finance Department
Downloads 680 (39,236)
Citation 6

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

5.

Information Inertia

Number of pages: 49 Posted: 16 Jun 2012 Last Revised: 09 Sep 2019
Philipp K. Illeditsch, Jayant V. Ganguli and Scott Condie
University of Pennsylvania - Finance Department, University of Essex - Department of Economics and Brigham Young University - Department of Economics
Downloads 484 (61,019)
Citation 1

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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)

6.

Ambiguous Information, Risk Aversion, and Asset Pricing

Number of pages: 69 Posted: 23 Jul 2009
Philipp K. Illeditsch
University of Pennsylvania - Finance Department
Downloads 341 (92,103)
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

7.

Demand Disagreement

Number of pages: 60 Posted: 28 Dec 2017 Last Revised: 11 Dec 2019
Christian Heyerdahl-Larsen and Philipp K. Illeditsch
Indiana University - Kelley School of Business - Department of Finance and University of Pennsylvania - Finance Department
Downloads 90 (297,289)
Citation 2

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Demand shocks, demand disagreement, heterogeneous beliefs and time preferences, asset pricing puzzles, trading volume

8.

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, University of Pennsylvania - Finance Department and London Business School
Downloads 33 (474,678)

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