Michael Halling

University of Luxembourg

L-1511 Luxembourg

Luxembourg

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 4,836

in Total Papers Citations

219

CROSSREF CITATIONS

64

Scholarly Papers (17)

1.

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

Journal of Finance, Forthcoming
Number of pages: 62 Posted: 06 Mar 2010 Last Revised: 17 Apr 2014
Martijn Cremers, Michael Halling and David Weinbaum
University of Notre Dame, University of Luxembourg and Syracuse University
Downloads 1,754 (11,791)
Citation 46

Abstract:

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cross-sectional asset pricing, aggregate jump risk, aggregate volatility risk, option returns

2.

The Persistence of Fee Dispersion among Mutual Funds

Swedish House of Finance Research Paper No. 14-11
Number of pages: 54 Posted: 18 Aug 2009 Last Revised: 26 May 2020
Michael J. Cooper, Michael Halling and Wenhao Yang
University of Utah - David Eccles School of Business, University of Luxembourg and Chinese University of Hong Kong, Shenzhen
Downloads 1,148 (22,663)
Citation 3

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Mutual Funds, Fund Fees, Price Dispersion, Price Persistence

3.

Leverage Dynamics over the Business Cycle

AFA 2012 Chicago Meetings Paper
Number of pages: 61 Posted: 15 Feb 2011 Last Revised: 24 Nov 2015
Michael Halling, Jin Yu and Josef Zechner
University of Luxembourg, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
Downloads 1,069 (25,150)
Citation 34

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Empirical Corporate Finance, Capital Structure Dynamics, Business Cycle Variation

4.

Bank Failure Prediction: A Two-Step Survival Time Approach

Number of pages: 33 Posted: 24 May 2006
Michael Halling and Evelyn Hayden
University of Luxembourg and Raiffeisen Bank International
Downloads 799 (37,909)
Citation 13

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Default Prediction, Survival Time Analysis, Bank Regulation

5.

Corporate Life-Cycle Dynamics of Cash Holdings

Swedish House of Finance Research Paper No. 15-07, 28th Australasian Finance and Banking Conference
Number of pages: 39 Posted: 15 Mar 2015 Last Revised: 28 Jul 2016
Wolfgang Drobetz, Michael Halling and Henning Schröder
University of Hamburg, University of Luxembourg and University of Hamburg - Hamburg Business School
Downloads 741 (42,015)
Citation 12

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Corporate life-cycle, cash holdings, value of cash

6.
Downloads 614 ( 53,941)
Citation 53

Predictive Regressions with Time-Varying Coefficients

Number of pages: 49 Posted: 21 Mar 2007 Last Revised: 16 Feb 2009
Thomas Dangl and Michael Halling
Vienna University of Technology and University of Luxembourg
Downloads 259 (145,259)
Citation 4

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Empirical asset pricing, equity return prediction, Bayesian econometrics

Predictive Regressions with Time-Varying Coefficients

Number of pages: 77 Posted: 17 Mar 2010 Last Revised: 29 Sep 2011
Thomas Dangl and Michael Halling
Vienna University of Technology and University of Luxembourg
Downloads 185 (200,165)
Citation 2

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Empirical asset pricing, equity return prediction, Bayesian econometrics

Predictive Regressions with Time-Varying Coefficients

Number of pages: 49 Posted: 15 Mar 2009
Thomas Dangl and Michael Halling
Vienna University of Technology and University of Luxembourg
Downloads 170 (215,588)
Citation 51

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Empirical asset pricing, equity return prediction, Bayesian econometrics

7.

How Did COVID-19 Affect Firms' Access to Public Capital Markets?

Swedish House of Finance Research Paper No. 20-15
Number of pages: 35 Posted: 11 May 2020 Last Revised: 16 Sep 2020
Michael Halling, Jin Yu and Josef Zechner
University of Luxembourg, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
Downloads 470 (75,217)
Citation 6

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Corporate bond market, pandemic, COVID-19

8.

Valuation Ratios and Shape Predictability in the Distribution of Stock Returns

Swedish House of Finance Research Paper No. 17-5
Number of pages: 60 Posted: 19 Dec 2016 Last Revised: 22 Dec 2019
Paolo Giordani and Michael Halling
Norwegian Business School and University of Luxembourg
Downloads 463 (76,603)
Citation 3

Abstract:

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return predictability, valuation ratios, skewness

9.

Equity Return Prediction: Are Coefficients Time-Varying?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 06 Mar 2006
Thomas Dangl, Michael Halling and Otto Randl
Vienna University of Technology, University of Luxembourg and WU Vienna University of Economics and Business
Downloads 452 (78,828)
Citation 6

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Empirical asset pricing, equity return prediction, Bayesian econometrics

10.

Primary Corporate Bond Markets and Social Responsibility

Swedish House of Finance Research Paper No. 20-13
Number of pages: 36 Posted: 10 Sep 2020 Last Revised: 07 Jan 2021
Michael Halling, Jin Yu and Josef Zechner
University of Luxembourg, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
Downloads 368 (100,068)
Citation 1

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corporate bond market, credit risk, corporate social responsibility, ESG

11.

Firm Fundamentals and Realized Factor Betas

Swedish House of Finance Research Paper No. 17-14
Number of pages: 40 Posted: 02 Aug 2017 Last Revised: 15 Aug 2017
Michael Halling, Markus Ibert and Martin Lenz
University of Luxembourg, Board of Governors of the Federal Reserve System and Union Investment
Downloads 273 (138,201)
Citation 1

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Asset Pricing, Time-Varying Betas, Factor Models, Firm Fundamentals

12.
Downloads 271 (139,219)
Citation 4

The Dynamics of Corporate Debt Structure

Swedish House of Finance Research Paper No. 20-3
Number of pages: 61 Posted: 02 Dec 2019 Last Revised: 29 Jul 2021
Michael Halling, Jin Yu and Josef Zechner
University of Luxembourg, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
Downloads 271 (138,537)
Citation 4

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corporate debt structure dynamics, debt concentration, business cycle variation, cluster analysis

The Dynamics of Corporate Debt Structure

CEPR Discussion Paper No. DP14572
Number of pages: 53 Posted: 08 May 2020
Michael Halling, Jin Yu and Josef Zechner
University of Luxembourg, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
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business cycle variation, clus- ter analysis, corporate debt structure dynamics, debt concentration

13.

Volume Dynamics and Multimarket Trading

AFA 2011 Denver Meetings Paper
Number of pages: 44 Posted: 23 Sep 2009 Last Revised: 20 May 2011
Michael Halling, Pamela C. Moulton and Marios A. Panayides
University of Luxembourg, Cornell University - SC Johnson College of Business and University of Cyprus - Department of Accounting and Finance
Downloads 257 (146,935)
Citation 8

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Multimarket trading, Cross-listing, Trading volume, Integration

14.

Where is the Market? Evidence from Cross-Listings in the U.S.

Number of pages: 39 Posted: 14 Mar 2006
Michael Halling, Marco Pagano, Otto Randl and Josef Zechner
University of Luxembourg, University of Naples Federico II - Department of Economics and Statistics, WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 210 (178,391)
Citation 8

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cross-listing, trading volume, trade creation

15.

The Unbundling of Mutual Funds’ Trading and Research Commissions: Have Investors Benefited?

Number of pages: 42 Posted: 26 Jul 2021
Emelie Fröberg and Michael Halling
Stockholm School of Economics and University of Luxembourg
Downloads 3 (756,988)

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Mutual Fund Fees and Commissions, MiFID II, Fund Regulation

16.

The Politics of Related Lending

ECGI - Finance Working Paper No. 296/2010
Posted: 16 Feb 2009 Last Revised: 21 May 2014
Michael Halling, Pegaret Pichler and Alex Stomper
University of Luxembourg, Northeastern University, D’Amore-McKim School of Business, Finance Area and Humboldt University of Berlin - School of Business and Economics

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politics and finance, bank regulation, related lending

17.

Where is the Market? Evidence from Cross-Listings in the United States

Review of Financial Studies, Vol. 21, Issue 2, pp. 725-761, 2008
Posted: 26 Jun 2008
Michael Halling, Marco Pagano, Otto Randl and Josef Zechner
University of Luxembourg, University of Naples Federico II - Department of Economics and Statistics, WU Vienna University of Economics and Business and Vienna University of Economics and Business

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G15, G30