EconPapers    
Economics at your fingertips  
 

Details about Michael F. Gallmeyer

E-mail:
Homepage:http://www.commerce.virginia.edu/faculty_research/facultydirectory/Pages/Gallmeyer.aspx
Workplace:McIntire School of Commerce, University of Virginia, (more information at EDIRC)
Department of Finance, Faculty of Business and Economics, University of Melbourne, (more information at EDIRC)

Access statistics for papers by Michael F. Gallmeyer.

Last updated 2020-09-09. Update your information in the RePEc Author Service.

Short-id: pga446


Jump to Journal Articles

Working Papers

2015

  1. Disagreement about inflation and the yield curve
    Working Papers, Banco de España Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2018)

2009

  1. Beliefs about Inflation and the Term Structure of Interest Rates
    2009 Meeting Papers, Society for Economic Dynamics View citations (4)

2008

  1. Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses
    2008 Meeting Papers, Society for Economic Dynamics Downloads View citations (3)

2007

  1. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article in Review (2007)

2006

  1. Financial Leverage Does Not Cause the Leverage Effect
    2006 Meeting Papers, Society for Economic Dynamics View citations (9)
  2. Pricing Rare Event Risk in Emerging Markets
    2006 Meeting Papers, Society for Economic Dynamics Downloads

2005

  1. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (47)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (43)

    See also Journal Article in Journal of Monetary Economics (2005)

2004

  1. Liquidity Discovery and Asset Pricing
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (4)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

1998

  1. Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (10)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article in Mathematical Finance (1999)

Undated

  1. An Examination of Heterogeneous Beliefs with a Short Sale Constraint
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (16)
  2. Beliefs and Volatility
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (9)
  3. Capital Market Equilibrium with Differential Taxation
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)

    See also Journal Article in Review of Finance (2003)
  4. Derivative Security Induced Price Manipulation
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)
  5. Financial leverage and the leverage effect: A market and firm analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)
  6. No Arbitrage and the Tax Code
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (4)
  7. The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2005)
  8. Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads

Journal Articles

2018

  1. Aggregate Tail Risk and Expected Returns
    Review of Asset Pricing Studies, 2018, 8, (1), 36-76 Downloads View citations (1)
  2. Disagreement about inflation and the yield curve
    Journal of Financial Economics, 2018, 127, (3), 459-484 Downloads View citations (7)
    See also Working Paper (2015)
  3. Portfolio Tax Trading with Carryover Losses
    Management Science, 2018, 64, (9), 4156-4176 Downloads

2017

  1. Taxable and Tax-Deferred Investing with the Limited Use of Losses
    Review of Finance, 2017, 21, (5), 1847-1873 Downloads View citations (4)
  2. Term Premium Dynamics and the Taylor Rule
    Quarterly Journal of Finance (QJF), 2017, 07, (04), 1-39 Downloads View citations (3)

2016

  1. Heuristic portfolio trading rules with capital gain taxes
    Journal of Financial Economics, 2016, 119, (3), 611-625 Downloads View citations (4)

2015

  1. Credit conditions and stock return predictability
    Journal of Monetary Economics, 2015, 74, (C), 117-132 Downloads View citations (13)

2013

  1. Rare event risk and emerging market debt with heterogeneous beliefs
    Journal of International Money and Finance, 2013, 33, (C), 163-187 Downloads View citations (1)

2011

  1. CEO optimism and forced turnover
    Journal of Financial Economics, 2011, 101, (3), 695-712 Downloads View citations (104)

2008

  1. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
    Review of Finance, 2008, 12, (2), 323-364 Downloads View citations (42)

2007

  1. Arbitrage-free bond pricing with dynamic macroeconomic models
    Review, 2007, 89, (Jul), 305-326 Downloads View citations (42)
    See also Working Paper (2007)

2006

  1. Tax management strategies with multiple risky assets
    Journal of Financial Economics, 2006, 80, (2), 243-291 Downloads View citations (17)

2005

  1. Taylor rules, McCallum rules and the term structure of interest rates
    Journal of Monetary Economics, 2005, 52, (5), 921-950 Downloads View citations (49)
    See also Working Paper (2005)
  2. The equilibrium allocation of diffusive and jump risks with heterogeneous agents
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1547-1576 Downloads View citations (9)
    See also Working Paper

2003

  1. Capital Market Equilibrium with Differential Taxation
    Review of Finance, 2003, 7, (2), 121-159 Downloads View citations (1)
    See also Working Paper

1999

  1. Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium
    Mathematical Finance, 1999, 9, (1), 1-30 Downloads View citations (11)
    See also Working Paper (1998)
 
Page updated 2020-10-20