Michael Halling

Stockholm School of Economics & Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

SCHOLARLY PAPERS

13

DOWNLOADS
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6,964

CITATIONS
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SSRN RANKINGS

Top 10,477

in Total Papers Citations

74

Scholarly Papers (13)

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, Stockholm School of Economics & Swedish House of Finance and Syracuse University
Downloads 1,602 (10,349)
Citation 7

Abstract:

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

2.

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
Stockholm School of Economics & Swedish House of Finance, Monash University -Department of Banking and Finance and Vienna University of Economics and Business
Downloads 1,023 (20,750)
Citation 10

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Empirical Corporate Finance, Capital Structure Dynamics, Business Cycle Variation

3.

The Persistence of Fee Dispersion among Mutual Funds

Swedish House of Finance Research Paper No. 14-11
Number of pages: 57 Posted: 18 Aug 2009 Last Revised: 25 Jan 2018
Michael J. Cooper, Michael Halling and Wenhao Yang
University of Utah - David Eccles School of Business, Stockholm School of Economics & Swedish House of Finance and University of South Carolina - Darla Moore School of Business
Downloads 1,000 (21,478)
Citation 1

Abstract:

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Mutual Funds, Fund Fees, Price Dispersion, Price Persistence

4.

Bank Failure Prediction: A Two-Step Survival Time Approach

Number of pages: 33 Posted: 24 May 2006
Michael Halling and Evelyn Hayden
Stockholm School of Economics & Swedish House of Finance and Raiffeisen Bank International
Downloads 699 (35,545)
Citation 8

Abstract:

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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
Hamburg University, Stockholm School of Economics & Swedish House of Finance and University of Hamburg
Downloads 607 (42,923)
Citation 3

Abstract:

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Corporate life-cycle, cash holdings, value of cash

6.
Downloads 558 ( 47,946)
Citation 18

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 Stockholm School of Economics & Swedish House of Finance
Downloads 230 (131,600)
Citation 3

Abstract:

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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 Stockholm School of Economics & Swedish House of Finance
Downloads 168 (176,775)
Citation 2

Abstract:

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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 Stockholm School of Economics & Swedish House of Finance
Downloads 160 (184,339)
Citation 9

Abstract:

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Empirical asset pricing, equity return prediction, Bayesian econometrics

7.

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, Stockholm School of Economics & Swedish House of Finance and WU Vienna University of Economics and Business
Downloads 426 (67,062)
Citation 5

Abstract:

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Empirical asset pricing, equity return prediction, Bayesian econometrics

8.

Valuation Ratios and Shape Predictability in the Distribution of Stock Returns

Swedish House of Finance Research Paper No. 17-5
Number of pages: 51 Posted: 19 Dec 2016 Last Revised: 24 May 2019
Paolo Giordani and Michael Halling
Norwegian Business School and Stockholm School of Economics & Swedish House of Finance
Downloads 367 (79,949)
Citation 1

Abstract:

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return predictability, valuation ratios, skewness

9.

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
Stockholm School of Economics & Swedish House of Finance, Cornell University - SC Johnson College of Business and University of Cyprus - Department of Accounting and Finance
Downloads 248 (122,432)
Citation 5

Abstract:

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Multimarket trading, Cross-listing, Trading volume, Integration

10.

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
Stockholm School of Economics & Swedish House of Finance, Board of Governors of the Federal Reserve System and Union Investment
Downloads 229 (132,609)
Citation 1

Abstract:

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

11.

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
Stockholm School of Economics & Swedish House of Finance, 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 205 (147,426)
Citation 8

Abstract:

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cross-listing, trading volume, trade creation

12.

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
Stockholm School of Economics & Swedish House of Finance, Northeastern University, D’Amore-McKim School of Business, Finance Area and Humboldt University of Berlin - School of Business and Economics

Abstract:

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politics and finance, bank regulation, related lending

13.

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
Stockholm School of Economics & Swedish House of Finance, University of Naples Federico II - Department of Economics and Statistics, WU Vienna University of Economics and Business and Vienna University of Economics and Business

Abstract:

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G15, G30