Stig Vinther Møller

Aarhus University - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

16

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4,577

SSRN CITATIONS
Rank 12,505

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Top 12,505

in Total Papers Citations

113

CROSSREF CITATIONS

15

Scholarly Papers (16)

1.

Housing Price Forecastability: A Factor Analysis

EFA 2012 Copenhagen Meetings Paper
Number of pages: 33 Posted: 24 May 2012 Last Revised: 20 Mar 2016
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 510 (105,698)
Citation 5

Abstract:

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House prices, Forecasting, Partial least squares, Principal components, Macroeconomic factors

2.

Cross-Sectional Consumption-Based Asset Pricing: A Reappraisal

Number of pages: 10 Posted: 03 Feb 2011 Last Revised: 09 Apr 2015
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 484 (112,588)
Citation 1

Abstract:

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Consumption-based model, beginning-of-period timing convention, size and value premiums

3.

Consumption Fluctuations and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 11 Jan 2018 Last Revised: 08 Aug 2019
Victoria Atanasov, Stig Vinther Møller and Richard Priestley
University of Mannheim, Aarhus University - CREATES and Norwegian Business School
Downloads 458 (120,232)
Citation 36

Abstract:

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consumption fluctuations, marginal utility, stock returns, predictability.

4.

Forecasting US Recessions: The Role of Sentiment

Number of pages: 46 Posted: 22 Feb 2013 Last Revised: 15 Sep 2014
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - Department of Economics and Business Economics and Aarhus University - CREATES
Downloads 423 (131,968)
Citation 21

Abstract:

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business cycles, forecasting, factor analysis, probit model, sentiment variables

5.

Search and Predictability of Prices in the Housing Market

Management Science, Forthcoming
Number of pages: 84 Posted: 22 Mar 2021 Last Revised: 19 May 2022
Aarhus University - CREATES, Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and UCSD
Downloads 408 (137,539)

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Internet search, housing markets, housing demand, forecasting, frictions, inelastic housing supply.

6.

Stock Return and Dividend Growth Predictability Across the Business Cycle

Number of pages: 57 Posted: 04 Oct 2013 Last Revised: 26 Jan 2015
Stig Vinther Møller and Magnus Sander
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 396 (142,357)

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asset pricing, dividend yield, stock return predictability, dividend growth predictability, present-value relation, bootstrap, business cycles

7.

A New Index of Housing Sentiment

Number of pages: 39 Posted: 11 Nov 2016 Last Revised: 31 Aug 2017
Lasse Bork, Stig Vinther Møller and Thomas Quistgaard Pedersen
Aalborg University - Department of Business and Management, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 277 (208,789)
Citation 4

Abstract:

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housing sentiment, house price forecastability, partial least squares, dynamic model averaging

8.

Countercyclical Expected Returns

Number of pages: 45 Posted: 10 Apr 2020 Last Revised: 07 Dec 2022
Stig Vinther Møller, Thomas Quistgaard Pedersen and Sigurd Steffensen
Aarhus University - CREATES, Aarhus University - CREATES and Danmarks Nationalbank (central bank of Denmark)
Downloads 271 (214,336)

Abstract:

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Survey data, countercyclical expectations, extrapolative expectations

9.

Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect

Number of pages: 52 Posted: 25 Feb 2015 Last Revised: 03 Sep 2015
Stig Vinther Møller and Jesper Rangvid
Aarhus University - CREATES and Copenhagen Business School
Downloads 255 (226,907)
Citation 8

Abstract:

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End-of-the-year global economic growth, expected returns, international business cycle, in-sample and out-of-sample international return forecasts

10.

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Number of pages: 33 Posted: 23 Jun 2008 Last Revised: 14 May 2011
Tom Engsted, Stuart Hyde and Stig Vinther Møller
University of Aarhus - CREATES, Alliance Manchester Business School - University of Manchester and Aarhus University - CREATES
Downloads 248 (233,165)
Citation 10

Abstract:

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Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability

11.

Forecasting House Prices in the 50 States Using Dynamic Model Averaging and Dynamic Model Selection

International Journal of Forecasting, Forthcoming
Number of pages: 44 Posted: 29 Jul 2014
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 240 (240,854)
Citation 2

Abstract:

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Forecasting housing markets, 50 states, Kalman filtering methods, Model change, Parameter shifts, Boom-bust cycle, Model averaging, Model selection

12.

Negative House Price Co-Movements and US Recessions

Number of pages: 45 Posted: 14 Jun 2017 Last Revised: 23 May 2019
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - Department of Economics and Business Economics and Aarhus University - CREATES
Downloads 158 (353,606)
Citation 4

Abstract:

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Housing, business cycles, negative returns, co-movements

13.

An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns

International Journal of Finance and Economics, Vol. 15, No. 2, pp. 213-227, 2010
Number of pages: 27 Posted: 25 Jun 2008 Last Revised: 14 May 2011
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 148 (371,095)
Citation 1

Abstract:

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Consumption-based model, habit persistence, GMM, pricing error

14.

The Role of the Discount Rate in Investment and Employment Decisions

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 49 Posted: 03 Sep 2021 Last Revised: 03 Nov 2021
Stig Vinther Møller and Richard Priestley
Aarhus University - CREATES and Norwegian Business School
Downloads 133 (403,754)
Citation 4

Abstract:

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discount rates; investment growth; employment growth; cyclical consumption

15.

Stock Market News and Economic Fluctuations

Number of pages: 55 Posted: 21 Jun 2022 Last Revised: 01 Nov 2023
Stig Vinther Møller and Richard Priestley
Aarhus University - CREATES and Norwegian Business School
Downloads 123 (428,570)

Abstract:

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discount rate news, cash flow news, macroeconomic fluctuations

16.

Risk aversion and asset market participation: Evidence from micro-level register data

Number of pages: 39 Posted: 16 Apr 2024 Last Revised: 19 Apr 2024
Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and Aarhus University - School of Business and Social Sciences
Downloads 45 (759,452)

Abstract:

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risk aversion, equity premium puzzle, asset market participation, consumption CAPM, heterogeneous consumption, microdata