Details about Michael F. Gallmeyer
Access statistics for papers by Michael F. Gallmeyer.
Last updated 2021-08-18. Update your information in the RePEc Author Service.
Short-id: pga446
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Working Papers
2015
- Disagreement about inflation and the yield curve
Working Papers, Banco de España View citations (6)
See also Journal Article in Journal of Financial Economics (2018)
2009
- Beliefs about Inflation and the Term Structure of Interest Rates
2009 Meeting Papers, Society for Economic Dynamics View citations (4)
2008
- Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses
2008 Meeting Papers, Society for Economic Dynamics View citations (3)
2007
- Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
See also Journal Article in Review (2007)
2006
- Financial Leverage Does Not Cause the Leverage Effect
2006 Meeting Papers, Society for Economic Dynamics View citations (9)
- Pricing Rare Event Risk in Emerging Markets
2006 Meeting Papers, Society for Economic Dynamics
2005
- Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
2005 Meeting Papers, Society for Economic Dynamics View citations (45)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (49)
See also Journal Article in Journal of Monetary Economics (2005)
2004
- Liquidity Discovery and Asset Pricing
2004 Meeting Papers, Society for Economic Dynamics 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
- 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
- An Examination of Heterogeneous Beliefs with a Short Sale Constraint
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (16)
- Beliefs and Volatility
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (9)
- Capital Market Equilibrium with Differential Taxation
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
See also Journal Article in Review of Finance (2003)
- Derivative Security Induced Price Manipulation
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
- Financial leverage and the leverage effect: A market and firm analysis
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
- No Arbitrage and the Tax Code
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (4)
- The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 
See also Journal Article in Journal of Economic Dynamics and Control (2005)
- Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
Journal Articles
2018
- Aggregate Tail Risk and Expected Returns
Review of Asset Pricing Studies, 2018, 8, (1), 36-76 View citations (3)
- Disagreement about inflation and the yield curve
Journal of Financial Economics, 2018, 127, (3), 459-484 View citations (18)
See also Working Paper (2015)
- Portfolio Tax Trading with Carryover Losses
Management Science, 2018, 64, (9), 4156-4176 View citations (2)
2017
- Taxable and Tax-Deferred Investing with the Limited Use of Losses
Review of Finance, 2017, 21, (5), 1847-1873 View citations (4)
- Term Premium Dynamics and the Taylor Rule
Quarterly Journal of Finance (QJF), 2017, 07, (04), 1-39 View citations (5)
2016
- Heuristic portfolio trading rules with capital gain taxes
Journal of Financial Economics, 2016, 119, (3), 611-625 View citations (5)
2015
- Credit conditions and stock return predictability
Journal of Monetary Economics, 2015, 74, (C), 117-132 View citations (16)
2013
- Rare event risk and emerging market debt with heterogeneous beliefs
Journal of International Money and Finance, 2013, 33, (C), 163-187 View citations (2)
2011
- CEO optimism and forced turnover
Journal of Financial Economics, 2011, 101, (3), 695-712 View citations (151)
2008
- An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
Review of Finance, 2008, 12, (2), 323-364 View citations (45)
2007
- Arbitrage-free bond pricing with dynamic macroeconomic models
Review, 2007, 89, (Jul), 305-326 View citations (43)
See also Working Paper (2007)
2006
- Tax management strategies with multiple risky assets
Journal of Financial Economics, 2006, 80, (2), 243-291 View citations (20)
2005
- Taylor rules, McCallum rules and the term structure of interest rates
Journal of Monetary Economics, 2005, 52, (5), 921-950 View citations (51)
See also Working Paper (2005)
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
Journal of Economic Dynamics and Control, 2005, 29, (9), 1547-1576 View citations (10)
See also Working Paper
2003
- Capital Market Equilibrium with Differential Taxation
Review of Finance, 2003, 7, (2), 121-159 View citations (2)
See also Working Paper
1999
- Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium
Mathematical Finance, 1999, 9, (1), 1-30 View citations (11)
See also Working Paper (1998)
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