Itamar Drechsler

New York University (NYU) - Department of Finance

Assistant Professor of Finance

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

10

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CITATIONS
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128

Scholarly Papers (10)

The Shorting Premium and Asset Pricing Anomalies

Number of pages: 61 Posted: 30 Jan 2014 Last Revised: 07 May 2016
Itamar Drechsler and Qingyi (Freda) Song Drechsler
New York University (NYU) - Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 1,444 (9,662)

Abstract:

shorting, lending fees, shorting premium, anomalies, cross-section, asset pricing, concentrated risk, differences of opinion, segmentation, stock returns, value, momentum, idiosyncratic volatility, net share issuance

The Shorting Premium and Asset Pricing Anomalies

NBER Working Paper No. w20282
Number of pages: 56 Posted: 24 Jul 2014
Itamar Drechsler and Qingyi (Freda) Song Drechsler
New York University (NYU) - Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 15 (496,229)

Abstract:

2.
Downloads 1,122 ( 14,739)

The Deposits Channel of Monetary Policy

Number of pages: 73 Posted: 11 Dec 2014 Last Revised: 31 Mar 2017
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,096 (14,986)

Abstract:

Monetary policy, deposits, market power, bank lending, liquidity

The Deposits Channel of Monetary Policy

NBER Working Paper No. w22152
Number of pages: 69 Posted: 11 Apr 2016
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 26 (432,953)
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Abstract:

3.

What's Vol Got to Do With It

AFA 2009 San Francisco Meetings Paper
Number of pages: 63 Posted: 20 Mar 2008 Last Revised: 14 Dec 2011
Itamar Drechsler and Amir Yaron
New York University (NYU) - Department of Finance and University of Pennsylvania -- Wharton School of Business
Downloads 1,084 (14,232)
Citation 85

Abstract:

Return Predictability, Variance Premium, Long Run Risks, Stochastic Volatility, Jump Risks

A Model of Monetary Policy and Risk Premia

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 07 Nov 2013 Last Revised: 05 Jan 2017
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 911 (19,785)

Abstract:

Monetary policy, leverage, risk premia, reaching for yield

A Model of Monetary Policy and Risk Premia

NBER Working Paper No. w20141
Number of pages: 64 Posted: 19 May 2014
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 24 (444,050)

Abstract:

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Journal of Finance, Forthcoming
Number of pages: 69 Posted: 19 Jun 2011 Last Revised: 01 Oct 2015
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 525 (42,615)
Citation 38

Abstract:

Financial Crises, Sovereign Debt, Credit Default Swaps

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

NBER Working Paper No. w17136
Number of pages: 59 Posted: 20 Jun 2011
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 34 (395,522)
Citation 38

Abstract:

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

NYU Working Paper No. 2451/31331
Number of pages: 59 Posted: 26 Jun 2013
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 24 (444,050)
Citation 38

Abstract:

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

CEPR Discussion Paper No. DP8679
Number of pages: 62 Posted: 22 Dec 2011
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 9 (530,574)
Citation 38
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Abstract:

credit default swaps, deleveraging, financial crises, forbearance, growth, sovereign debt

6.

A Tale of Two Overhangs: The Nexus of Financial Sector and Sovereign Credit Risks

Financial Stability Review, No. 16, April 2012
Number of pages: 6 Posted: 29 Apr 2012
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 108 (160,272)
Citation 4

Abstract:

Sovereign Debt, Financial Crisis, Bailouts, Debt Overhang, Credit Default Swaps

7.

Risk Choice under High-Water Marks

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 20 Nov 2011 Last Revised: 29 Jan 2014
Itamar Drechsler
New York University (NYU) - Department of Finance
Downloads 72 (256,870)

Abstract:

high-water mark, hedge fund, risk, risk taking, dynamic, portfolio choice, option, restart

8.

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Number of pages: 64 Posted: 17 May 2012 Last Revised: 17 May 2013
Viral V. Archarya, Itamar Drechsler and Philipp Schnabl
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 56 (307,945)
Citation 1

Abstract:

financial sector bailouts, sovereign credit risk

9.

Banking on Deposits: Maturity Transformation Without Interest Rate Risk

Number of pages: 55 Posted: 22 Mar 2017 Last Revised: 06 Sep 2017
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 0 (77,375)

Abstract:

Banks, maturity transformation, deposits, interest rate risk

10.

The Role of Payout Horizon in Determining the Risks and Returns of Claims to Aggregate Cash Flows

Posted: 31 May 2012
Itamar Drechsler
New York University (NYU) - Department of Finance

Abstract:

horizon, long run risk, duration, cointegration, value premium, zero coupon equity strips

Other Papers (1)

Total Downloads: 194    Citations: 33
1.

Uncertainty, Time-Varying Fear, and Asset Prices

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 01 Jun 2012
Itamar Drechsler
New York University (NYU) - Department of Finance
Downloads 171 (143,797)
Citation 33

Abstract:

time-varying Knightian uncertainty, jump shocks, index options, variance premium, long-run risk