Stig Vinther Møller

University of Aarhus - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 17,553

SSRN RANKINGS

Top 17,553

in Total Papers Downloads

2,185

CITATIONS
Rank 36,241

SSRN RANKINGS

Top 36,241

in Total Papers Citations

5

Scholarly Papers (13)

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 University of Aarhus - CREATES
Downloads 221 (64,011)

Abstract:

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

2.

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
University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 217 (82,810)

Abstract:

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

3.

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, University of Manchester - Manchester Business School and University of Aarhus - CREATES
Downloads 163 (141,872)
Citation 2

Abstract:

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

4.

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 University of Aarhus - CREATES
Downloads 153 (75,715)

Abstract:

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

5.

Forecasting US Recessions: The Role of Sentiment

Number of pages: 46 Posted: 22 Feb 2013 Last Revised: 15 Sep 2014
Charlotte Christiansen, Jonas Nygaard Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - CREATES and University of Aarhus - CREATES
Downloads 125 (102,462)

Abstract:

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

6.

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
University of Aarhus - CREATES and Copenhagen Business School
Downloads 113 (149,499)

Abstract:

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

7.

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 University of Aarhus - CREATES
Downloads 101 (212,768)
Citation 3

Abstract:

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

8.

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 University of Aarhus - CREATES
Downloads 70 (185,845)

Abstract:

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

9.

Metro Area Common House Price Declines and US Recessions

Number of pages: 25 Posted: 14 Jun 2017
Charlotte Christiansen, Jonas Nygaard Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - CREATES and University of Aarhus - CREATES
Downloads 0 (482,554)

Abstract:

Business cycles, extreme returns, real estate returns, metro areas

10.

A New Index of Housing Sentiment

Number of pages: 35 Posted: 11 Nov 2016 Last Revised: 04 Apr 2017
Lasse Bork, Stig Vinther Møller and Thomas Quistgaard Pedersen
Aalborg University - Department of Business and Management, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 0 (268,172)

Abstract:

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

11.

Online Appendix: Bond Market Asymmetries Across Recessions and Expansions: New Evidence on Risk Premia

Number of pages: 49 Posted: 26 Oct 2016 Last Revised: 19 May 2017
Martin M. Andreasen, Tom Engsted, Stig Vinther Møller and Magnus Sander
University of Aarhus, University of Aarhus - CREATES, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 0 (369,656)

Abstract:

Bond return predictability, Business cycle variation in excess returns, Market price of risk, Zero-lower bound, Unspanned macroeconomic risk

12.

Macro and Momentum

Number of pages: 29 Posted: 06 Oct 2016
Stig Vinther Møller
University of Aarhus - CREATES
Downloads 0 (166,183)

Abstract:

macro factors, partial least squares, momentum

13.

Bond Market Asymmetries Across Recessions and Expansions: New Evidence on Risk Premia

CREATES Research Paper 2016-26
Number of pages: 60 Posted: 07 Sep 2016 Last Revised: 19 May 2017
Martin M. Andreasen, Tom Engsted, Stig Vinther Møller and Magnus Sander
University of Aarhus, University of Aarhus - CREATES, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 0 (199,203)

Abstract:

Bond return predictability, Business cycle variation in excess returns, Market price of risk, Zero-lower bound, Unspanned macroeconomic risk