Snehal Banerjee

University of California, San Diego (UCSD) - Rady School of Management

Associate Professor

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

SCHOLARLY PAPERS

11

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CITATIONS
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61

Scholarly Papers (11)

1.

Factor-Loading Uncertainty and Expected Returns

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 12 Nov 2008 Last Revised: 13 Sep 2012
Chris Armstrong, Snehal Banerjee and Carlos Corona
University of Pennsylvania - Accounting Department, University of California, San Diego (UCSD) - Rady School of Management and Carnegie Mellon University
Downloads 1,246 (10,777)
Citation 2

Abstract:

Expected Return, Information Quality, Uncertainty, Stochastic volatility

2.

Learning from Prices and the Dispersion in Beliefs

Number of pages: 48 Posted: 15 Nov 2008 Last Revised: 06 May 2010
Snehal Banerjee
University of California, San Diego (UCSD) - Rady School of Management
Downloads 665 (26,745)
Citation 17

Abstract:

rational expectations, difference of opinions, overlapping generations, disagreement

3.

Signal or Noise? Uncertainty and Learning about Whether Other Traders are Informed

Journal of Financial Economics (JFE), 2015, 117(2): 398-423
Number of pages: 63 Posted: 02 Sep 2012 Last Revised: 29 Mar 2017
Snehal Banerjee and Brett S. Green
University of California, San Diego (UCSD) - Rady School of Management and University of California, Berkeley - Haas School of Business
Downloads 652 (20,879)
Citation 1

Abstract:

Learning, Asymmetric Information, Rational Expectations, Noise Trading, Sentiment, Difference of opinions, Volatility clustering, Leverage effect

4.

Disagreement and Learning: Dynamic Patterns of Trade

Journal of Finance forthcoming
Number of pages: 49 Posted: 23 Mar 2005 Last Revised: 06 Aug 2009
Snehal Banerjee and Ilan Kremer
University of California, San Diego (UCSD) - Rady School of Management and Independent
Downloads 647 (27,867)
Citation 16

Abstract:

Difference of opinions, autocorrelation in volume, correlation in price changes and volume

5.

The Cost of Short-Selling Liquid Securities

Journal of Finance, Forthcoming
Number of pages: 35 Posted: 13 Mar 2009 Last Revised: 10 Sep 2011
Snehal Banerjee and Jeremy J. Graveline
University of California, San Diego (UCSD) - Rady School of Management and University of Minnesota - Carlson School of Management
Downloads 466 (42,054)
Citation 4

Abstract:

On The Run Treasuries, Short Selling, Liquidity

6.

When Transparency Improves, Must Prices Reflect Fundamentals Better?

Number of pages: 59 Posted: 24 Mar 2014 Last Revised: 21 Apr 2016
Snehal Banerjee, Jesse Davis and Naveen Gondhi
University of California, San Diego (UCSD) - Rady School of Management, Kellogg School of Management - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 430 (29,409)

Abstract:

Transparency, Price efficiency, Regulation, Information Acquisition

Price Drift as an Outcome of Differences in Higher Order Beliefs

AFA 2007 Chicago Meetings Paper, Review of Financial Studies, Forthcoming
Number of pages: 25 Posted: 16 Mar 2006 Last Revised: 30 Nov 2009
Snehal Banerjee, Ron Kaniel and Ilan Kremer
University of California, San Diego (UCSD) - Rady School of Management, University of Rochester - Simon Business School and Independent
Downloads 425 (52,514)
Citation 20

Abstract:

price drift, momentum, rational, difference, opinion

Price Drift as an Outcome of Differences in Higher-Order Beliefs

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3707-3734, 2009
Posted: 08 Sep 2009
Snehal Banerjee, Ron Kaniel and Ilan Kremer
University of California, San Diego (UCSD) - Rady School of Management, University of Rochester - Simon Business School and Independent

Abstract:

G12

8.

Trading in Derivatives When the Underlying is Scarce

Number of pages: 50 Posted: 20 Nov 2011 Last Revised: 21 Aug 2013
Snehal Banerjee and Jeremy J. Graveline
University of California, San Diego (UCSD) - Rady School of Management and University of Minnesota - Carlson School of Management
Downloads 256 (83,083)
Citation 1

Abstract:

Scarcity, Short-selling, Price distortions, Derivatives, Regulation

9.

Transparency versus Tone: Public Communication with Limited Commitment

Number of pages: 27 Posted: 23 Jan 2014 Last Revised: 28 Jun 2014
Snehal Banerjee and Qingmin Liu
University of California, San Diego (UCSD) - Rady School of Management and Columbia University
Downloads 156 (119,309)

Abstract:

Central bank transparency, commitment, communication, disclosure policy, coordination, policy intervention

10.

Dynamic Information Acquisition and Strategic Trading

Number of pages: 38 Posted: 01 Oct 2016 Last Revised: 03 Mar 2017
Snehal Banerjee and Bradyn M. Breon-Drish
University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (181,034)

Abstract:

Dynamic Information Acquisition, Kyle Model, Strategic Trading

11.

Conceal to Coordinate

27th Annual Conference on Financial Economics and Accounting Paper
Number of pages: 30 Posted: 21 Oct 2015 Last Revised: 02 Oct 2016
Snehal Banerjee, Taejin Kim and Vishal Mangla
University of California, San Diego (UCSD) - Rady School of Management, The Chinese University of Hong Kong (CUHK) - Department of Finance and Moody's Analytics
Downloads 0 (220,438)

Abstract:

Cheap talk, Coordination, Global games