Stig Vinther Møller

University of Aarhus - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 15,907

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2,741

CITATIONS
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Top 35,989

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5

Scholarly Papers (14)

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 407 (64,738)

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 University of Aarhus - CREATES
Downloads 401 (65,941)

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

3.

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 323 (84,718)

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

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
University of Aarhus - CREATES, Aarhus University and CREATES and University of Aarhus - CREATES
Downloads 300 (91,969)

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

5.

Macro and Momentum

Number of pages: 29 Posted: 06 Oct 2016
Stig Vinther Møller
University of Aarhus - CREATES
Downloads 182 (151,610)

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macro factors, partial least squares, momentum

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 178 (154,623)

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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

7.

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 177 (155,398)
Citation 2

Abstract:

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

8.

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

CREATES Research Paper 2016-26
Number of pages: 62 Posted: 07 Sep 2016 Last Revised: 18 Sep 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 155 (176,376)

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

9.

Cyclical Consumption and Time-Variation in Expected Stock Returns

Number of pages: 34 Posted: 04 Dec 2017
Stig Vinther Møller
University of Aarhus - CREATES
Downloads 151 (178,364)

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Time-varying expected returns, consumption, counter-cyclcial risk premia

10.

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 142 (187,565)

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

11.

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, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 126 (207,564)

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

12.

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 107 (234,184)
Citation 3

Abstract:

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

13.

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

Number of pages: 52 Posted: 26 Oct 2016 Last Revised: 18 Sep 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 47 (367,413)

Abstract:

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

14.

Metro Area Common House Price Declines and US Recessions

Number of pages: 26 Posted: 14 Jun 2017 Last Revised: 28 Sep 2017
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
University of Aarhus - CREATES, Aarhus University and CREATES and University of Aarhus - CREATES
Downloads 45 (373,956)

Abstract:

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