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

21

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CITATIONS
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144

Scholarly Papers (21)

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 1,177 (11,131)
Citation 13

Abstract:

optimism, turnover, behavioral finance, governance

2.

Capital Market Equilibrium with Differential Taxation

London Business School, Working Paper Series Number 369
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 976 (16,883)
Citation 9

Abstract:

3.

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 945 (16,692)
Citation 3

Abstract:

stock volatility, leverage effect, corporate debt, general equilibrium

4.
Downloads 799 ( 23,842)
Citation 1

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 133 Posted: 26 Mar 2012 Last Revised: 14 Jan 2017
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, London Business School - Department of Finance and University of Pennsylvania - Finance Department
Downloads 799 (23,454)
Citation 1

Abstract:

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, London Business School - Department of Finance and University of Pennsylvania - Finance Department

Abstract:

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

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 743 (25,978)
Citation 21

Abstract:

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

Abstract:

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 624 (30,795)
Citation 12

Abstract:

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 567 (35,729)
Citation 12

Abstract:

8.

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 444 (45,559)

Abstract:

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

9.

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 Peking University - HSBC School of Business
Downloads 430 (46,594)

Abstract:

Stock predictability, credit supply, macroeconomics, survey data

10.
Downloads 318 ( 76,161)
Citation 14

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 318 (76,693)
Citation 14

Abstract:

Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

Journal of Financial Economics, Forthcoming
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

Abstract:

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 269 (89,762)

Abstract:

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

12.

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 255 (95,301)
Citation 2

Abstract:

capital gain taxation, no arbitrage, tax arbitrage

13.

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 235 (101,854)
Citation 2

Abstract:

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

14.

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 160 (145,744)
Citation 8

Abstract:

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

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 119 (146,535)

Abstract:

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

16.

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 74 (157,011)

Abstract:

tail risk, disaster risk, expected returns

17.

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

Review of Finance, Forthcoming
Number of pages: 32 Posted: 19 May 2013 Last Revised: 17 Jun 2016
Marcel Fischer and Michael F. Gallmeyer
Copenhagen Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 48 (246,278)

Abstract:

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

18.

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, Georgia Institute of Technology and Texas A&M University - Mays Business School
Downloads 38 (190,458)

Abstract:

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

19.

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

NBER Working Paper No. w11276
Number of pages: 33 Posted: 01 Jun 2005
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 37 (348,081)
Citation 30

Abstract:

20.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007
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 30 (368,292)
Citation 17

Abstract:

21.

The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents

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

Abstract:

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