Michael F. Gallmeyer

University of Virginia (UVA) - McIntire School of Commerce

Professor of Commerce, Finance

P.O. Box 400173

Charlottesville, VA 22904-4173

United States

http://www.commerce.virginia.edu/faculty_research/facultydirectory/Pages/Gallmeyer.aspx

SCHOLARLY PAPERS

27

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12,277

SSRN CITATIONS
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Top 4,458

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238

CROSSREF CITATIONS

165

Scholarly Papers (27)

1.

CEO Optimism and Forced Turnover

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 08 Oct 2008 Last Revised: 18 Oct 2011
University of Cincinnati - Department of Finance - Real Estate, University of Virginia (UVA) - McIntire School of Commerce, Texas A&M University - Department of Finance, University of South Florida and Winthrop University
Downloads 1,749 (18,904)
Citation 81

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optimism, turnover, behavioral finance, governance

2.

Financial Leverage Does Not Cause the Leverage Effect

AFA 2007 Chicago Meetings Paper
Number of pages: 45 Posted: 14 Mar 2006
Abdullah C. Aydemir, Michael F. Gallmeyer and Burton Hollifield
Lehman Brothers, University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,260 (30,947)
Citation 12

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stock volatility, leverage effect, corporate debt, general equilibrium

3.
Downloads 1,230 (32,069)
Citation 36

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics (JFE), December 2016, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 139 Posted: 26 Mar 2012 Last Revised: 11 Aug 2020
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, BI Norwegian Business School and Texas A&M University - Mays Business School - Finance Department
Downloads 1,230 (31,552)
Citation 36

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Inflation disagreement, real and nominal yields, yield volatilities, cross-sectional consumption growth volatility, speculative trade

Disagreement About Inflation and the Yield Curve

Banco de Espana Working Paper No. 1532
Posted: 22 Nov 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, BI Norwegian Business School and Texas A&M University - Mays Business School - Finance Department

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inflation disagreement, relative entropy, real and nominal yields, yield volatilities, break-even inflation, inflation risk premium, cross-sectional consumption growth volatility, trading on inflation

4.

Capital Market Equilibrium with Differential Taxation

Number of pages: 34 Posted: 11 Aug 1998
Suleyman Basak and Michael F. Gallmeyer
London Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 1,103 (37,421)
Citation 4

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An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 41 Posted: 22 Mar 2002
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 803 (57,379)
Citation 54

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heterogeneous beliefs, learning, short-sale constraints, general equilibrium, stock price, stock volatility

An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy

Review of Finance, Vol. 12, Issue 2, pp. 323-364, 2008
Posted: 14 Jul 2008
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business

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D51, G11, G12, G14

6.

Demand Discovery and Asset Pricing

AFA 2005 Philadelphia Meetings
Number of pages: 63 Posted: 08 Jun 2004
Michael F. Gallmeyer, Duane J. Seppi and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 757 (63,109)
Citation 15

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Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

7.

Currency Price, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

Rodney L. White Center for Financial Research Working Paper Series 9-98
Number of pages: 29 Posted: 06 May 1998
Suleyman Basak and Michael F. Gallmeyer
London Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 692 (70,882)
Citation 9

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8.

Credit Conditions and Stock Return Predictability

Number of pages: 53 Posted: 19 Mar 2010 Last Revised: 26 Oct 2015
Sudheer Chava, Michael F. Gallmeyer and Heungju Park
Georgia Institute of Technology - Scheller College of Business, University of Virginia (UVA) - McIntire School of Commerce and Sungkyunkwan University - SKK Business School
Downloads 678 (72,765)
Citation 10

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Stock predictability, credit supply, macroeconomics, survey data

9.

Portfolio Tax Trading with Carry-Over Losses

EFA 2008 Athens Meetings Paper, McCombs Research Paper Series No. IROM-02-08
Number of pages: 78 Posted: 04 Mar 2008 Last Revised: 25 Jun 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Georgia State University-Robinson College of Business, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 599 (84,988)
Citation 24

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portfolio choice, capital gain taxation, limited use of capital losses, carry-over losses

Tax Management Strategies with Multiple Risky Assets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 22 Mar 2002
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 362 (153,502)
Citation 12

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Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

Posted: 29 Nov 2004
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business

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Portfolio Choice, Capital Gain Taxation, Short Sales

11.

Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales

McCombs School of Business Finance Working Paper
Number of pages: 47 Posted: 25 Jun 2001
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 322 (175,548)

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Taxes, Multiple Assets, Short Sales, Capital Gains, Portfolio Selection, CRRA, Shorting the box

12.

Aggregate Tail Risk and Expected Returns

Number of pages: 40 Posted: 14 Nov 2014 Last Revised: 23 Jun 2016
David A. Chapman and Michael F. Gallmeyer
McIntire School, University of Virginia and University of Virginia (UVA) - McIntire School of Commerce
Downloads 310 (182,634)
Citation 4

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tail risk, disaster risk, expected returns

13.

Arbitrage and the Tax Code

Number of pages: 44 Posted: 23 Jul 2003 Last Revised: 25 Jul 2010
Michael F. Gallmeyer and Sanjay Srivastava
University of Virginia (UVA) - McIntire School of Commerce and Georgia State University-Robinson College of Business
Downloads 309 (183,241)
Citation 5

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capital gain taxation, no arbitrage, tax arbitrage

14.

Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 17 Feb 2006 Last Revised: 31 Aug 2010
Stephan Dieckmann and Michael F. Gallmeyer
University of Pennsylvania - Finance Department and University of Virginia (UVA) - McIntire School of Commerce
Downloads 284 (200,166)
Citation 4

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Rare Event Risk, Debt Contract, Emerging Market, Exchange Economy, Jump-Diffusion Model, Heterogeneous Beliefs, Incomplete Market

15.

Heuristic Portfolio Trading Rules with Capital Gain Taxes

Journal of Financial Economics 119(3), 611-625, 2016
Number of pages: 33 Posted: 07 Nov 2012 Last Revised: 07 Apr 2016
Marcel Fischer and Michael F. Gallmeyer
Copenhagen Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 268 (212,261)
Citation 9

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portfolio choice, capital gain taxation, limited use of capital losses, heuristic trading rules

16.

Disentangling Market Timing from Stock Picking---A Machine Learning Based Approach

Number of pages: 75 Posted: 28 Nov 2021 Last Revised: 07 Sep 2023
Mengchuan (Kitty) Wang, Michael F. Gallmeyer and Andrea Lu
Emory University, University of Virginia (UVA) - McIntire School of Commerce and The University of Melbourne - Department of Finance
Downloads 247 (230,213)

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Fund Performance Evaluation, Machine Learning

17.

Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs

Number of pages: 53 Posted: 06 Jul 2015 Last Revised: 27 Aug 2015
Michael F. Gallmeyer, Hogyu Jhang and Hwagyun Kim
University of Virginia (UVA) - McIntire School of Commerce, CNU, School of Business and Texas A&M University - Mays Business School
Downloads 231 (245,575)
Citation 3

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idiosyncratic cash-flow risk, heterogeneous beliefs, general equilibrium, cross-section of stock returns, habit formation, the value premium

18.

Term Premium Dynamics and the Taylor Rule

EFA 2009 Bergen Meetings Paper
Number of pages: 38 Posted: 17 Feb 2009
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, University of Michigan, Stephen M. Ross School of Business and New York University (NYU)
Downloads 231 (245,575)
Citation 18

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Affine term structure, general equilibrium, time-varying term premiums, monetary policy

19.

Decoding the Pricing of Uncertainty Shocks

Number of pages: 72 Posted: 30 Nov 2020
Zhanhui Chen, Michael F. Gallmeyer and Baek-Chun Kim
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Virginia (UVA) - McIntire School of Commerce and National Chengchi University (NCCU) - Department of Money and Banking
Downloads 197 (284,783)
Citation 1

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macro uncertainty, micro uncertainty, expected investment growth factor

20.

The Only Constant Is Change: Non-constant Volatility and Implied Volatility Spreads

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 72 Posted: 20 Oct 2022
T. Colin Campbell, Michael F. Gallmeyer and Alex Petkevich
University of Cincinnati - Department of Finance - Real Estate, University of Virginia (UVA) - McIntire School of Commerce and University of Denver
Downloads 193 (290,118)

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Implied Volatility Spreads, Non-constant Volatility

21.

Taxable and Tax-Deferred Investing with the Limited Use of Losses

Review of Finance 21(5), 1847-1873 (2016)
Number of pages: 32 Posted: 19 May 2013 Last Revised: 29 Sep 2017
Marcel Fischer and Michael F. Gallmeyer
Copenhagen Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 163 (336,470)
Citation 8

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portfolio choice, limited use of capital losses, tax-deferred investing, asset location

22.

Taylor Rules, Mccallum Rules and the Term Structure of Interest Rates

NBER Working Paper No. w11276
Number of pages: 33 Posted: 01 Jun 2005 Last Revised: 26 Oct 2022
Michael F. Gallmeyer, Burton Hollifield and Stanley E. Zin
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 70 (606,732)
Citation 10

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23.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007 Last Revised: 11 Sep 2022
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, affiliation not provided to SSRN and Carnegie Mellon University
Downloads 69 (611,367)
Citation 13

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24.

Household Responses to Social Security Policy Risk

Number of pages: 61 Posted: 05 Oct 2021
David A. Chapman, Michael F. Gallmeyer and Chunyu Yang
McIntire School, University of Virginia, University of Virginia (UVA) - McIntire School of Commerce and BI Norwegian Business School
Downloads 56 (678,596)

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Social Security, Policy Uncertainty, Portfolio Choice

25.

Internet Appendix to the Only Constant is Change: Non-Constant Volatility and Implied Volatility Spreads

Number of pages: 16 Posted: 14 Mar 2023
T. Colin Campbell, Michael F. Gallmeyer and Alex Petkevich
University of Cincinnati - Department of Finance - Real Estate, University of Virginia (UVA) - McIntire School of Commerce and University of Denver
Downloads 55 (684,167)

Abstract:

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Implied Volatility Spreads, Non-constant Volatility

26.

Beliefs About Inflation and the Term Structure of Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 12 Jun 2012
Texas A&M University - Mays Business School - Finance Department, University of Virginia (UVA) - McIntire School of Commerce, BI Norwegian Business School and BI - Norwegian Business School
Downloads 39 (789,033)

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27.

The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents

Posted: 12 Nov 2004
Michael F. Gallmeyer and Stephan Dieckmann
University of Virginia (UVA) - McIntire School of Commerce and University of Pennsylvania - Finance Department

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General Equilibrium, Pure Exchange Economy, Jump-Diffusion Model, Heterogeneous Agents, Excess Uncertainty, Insurance