Michael Halling

Stockholm School of Economics & Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 6,104

SSRN RANKINGS

Top 6,104

in Total Papers Downloads

6,685

CITATIONS
Rank 5,775

SSRN RANKINGS

Top 5,775

in Total Papers Citations

88

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 1,561 (10,086)
Citation 6

Abstract:

Loading...

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 1,004 (20,030)
Citation 3

Abstract:

Loading...

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 956 (21,552)

Abstract:

Loading...

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 683 (34,689)
Citation 4

Abstract:

Loading...

Default Prediction, Survival Time Analysis, Bank Regulation

5.
Downloads 541 ( 46,977)
Citation 21

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 225 (127,474)
Citation 21

Abstract:

Loading...

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 159 (175,886)
Citation 21

Abstract:

Loading...

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 157 (177,797)
Citation 21

Abstract:

Loading...

Empirical asset pricing, equity return prediction, Bayesian econometrics

6.

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 539 (47,293)

Abstract:

Loading...

Corporate life-cycle, cash holdings, value of cash

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 423 (63,832)
Citation 3

Abstract:

Loading...

Empirical asset pricing, equity return prediction, Bayesian econometrics

8.

Up the Stairs, Down the Elevator: Valuation Ratios and Shape Predictability in the Distribution of Stock Returns

Swedish House of Finance Research Paper No. 17-5
Number of pages: 45 Posted: 19 Dec 2016 Last Revised: 03 Jul 2018
Paolo Giordani and Michael Halling
Sveriges Riksbank - Research Division and Stockholm School of Economics & Swedish House of Finance
Downloads 328 (85,937)

Abstract:

Loading...

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 245 (117,496)
Citation 2

Abstract:

Loading...

Multimarket trading, Cross-listing, Trading volume, Integration

10.

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 203 (141,085)
Citation 49

Abstract:

Loading...

cross-listing, trading volume, trade creation

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
Stockholm School of Economics & Swedish House of Finance, Board of Governors of the Federal Reserve System and Union Investment
Downloads 202 (141,708)

Abstract:

Loading...

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

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:

Loading...

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:

Loading...

G15, G30