Stig Vinther Møller

Aarhus University - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

14

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2,848

SSRN CITATIONS
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SSRN RANKINGS

Top 20,145

in Total Papers Citations

18

CROSSREF CITATIONS

22

Scholarly Papers (14)

1.
Downloads 438 ( 67,458)
Citation 5

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 436 (67,167)
Citation 5

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

Housing Price Forecastability: A Factor Analysis

Real Estate Economics, Vol. 46, Issue 3, pp. 582-611, 2018
Number of pages: 30 Posted: 20 Aug 2018
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 2 (690,151)
Citation 2
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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 422 (70,602)
Citation 1

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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
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 339 (91,043)
Citation 2

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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
Aarhus University - CREATES, Aarhus University, CREATES, DFI and Aarhus University - CREATES
Downloads 315 (98,789)
Citation 5

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

5.

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 198 (158,235)
Citation 4

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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

6.

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 Aarhus University - CREATES
Downloads 188 (165,836)
Citation 10

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

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 178 (175,129)

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

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
Aarhus University, University of Aarhus - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 174 (177,798)
Citation 3

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

9.

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 173 (178,704)
Citation 4

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consumption fluctuations, marginal utility, stock returns, predictability.

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 Aarhus University - CREATES
Downloads 155 (196,321)
Citation 2

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

11.

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 113 (251,194)

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

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, CREATES, DFI and Aarhus University - CREATES
Downloads 74 (329,272)
Citation 1

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Housing, business cycles, negative returns, co-movements

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
Aarhus University, University of Aarhus - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 54 (386,948)
Citation 1

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

14.

The Role of Discount Rates in Investment and Employment Growth

Number of pages: 55 Posted: 12 Nov 2019
Stig Vinther Møller and Richard Priestley
Aarhus University - CREATES and Norwegian Business School
Downloads 27 (497,572)

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discount rates, time-varying expected stock returns, investment growth, employment growth, adjustment costs