Details about Michael F. Gallmeyer

Access statistics for papers by Michael F. Gallmeyer.

Last updated 2023-10-08. Update your information in the RePEc Author Service.

Short-id: pga446

Working Papers

2015

1. Disagreement about inflation and the yield curve
   Working Papers, Banco de España View citations (5)
   See also Journal Article Disagreement about inflation and the yield curve, Journal of Financial Economics, Elsevier (2018) View citations (30) (2018)

2009

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

2008

3. Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses
   2008 Meeting Papers, Society for Economic Dynamics View citations (7)

2007

4. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
   See also Journal Article Arbitrage-free bond pricing with dynamic macroeconomic models, Review, Federal Reserve Bank of St. Louis (2007) View citations (45) (2007)

2006

5. Financial Leverage Does Not Cause the Leverage Effect
   2006 Meeting Papers, Society for Economic Dynamics View citations (12)
6. Pricing Rare Event Risk in Emerging Markets
   2006 Meeting Papers, Society for Economic Dynamics

2005

7. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
   2005 Meeting Papers, Society for Economic Dynamics View citations (62)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (55)
   See also Journal Article Taylor rules, McCallum rules and the term structure of interest rates, Journal of Monetary Economics, Elsevier (2005) View citations (58) (2005)

2004

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

1998

9. 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
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (10)
   See also Journal Article Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium, Mathematical Finance, Wiley Blackwell (1999) View citations (22) (1999)

Undated

10. An Examination of Heterogeneous Beliefs with a Short Sale Constraint
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (16)
11. Beliefs and Volatility
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (9)
12. Capital Market Equilibrium with Differential Taxation
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 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 (7)
    See also Journal Article Capital Market Equilibrium with Differential Taxation, Review of Finance, European Finance Association (2003) View citations (8) (2003)
13. Derivative Security Induced Price Manipulation
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
14. Financial leverage and the leverage effect: A market and firm analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
15. No Arbitrage and the Tax Code
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (4)
16. 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 The equilibrium allocation of diffusive and jump risks with heterogeneous agents, Journal of Economic Dynamics and Control, Elsevier (2005) View citations (12) (2005)
17. Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2023

1. The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads
   Journal of Financial and Quantitative Analysis, 2023, 58, (5), 2190-2227

2018

2. Aggregate Tail Risk and Expected Returns
   The Review of Asset Pricing Studies, 2018, 8, (1), 36-76 View citations (3)
3. Disagreement about inflation and the yield curve
   Journal of Financial Economics, 2018, 127, (3), 459-484 View citations (30)
   See also Working Paper Disagreement about inflation and the yield curve, Working Papers (2015) View citations (5) (2015)
4. Portfolio Tax Trading with Carryover Losses
   Management Science, 2018, 64, (9), 4156-4176 View citations (3)

2017

5. Taxable and Tax-Deferred Investing with the Limited Use of Losses
   Review of Finance, 2017, 21, (5), 1847-1873 View citations (6)
6. Term Premium Dynamics and the Taylor Rule
   Quarterly Journal of Finance (QJF), 2017, 07, (04), 1-39 View citations (6)

2016

7. Heuristic portfolio trading rules with capital gain taxes
   Journal of Financial Economics, 2016, 119, (3), 611-625 View citations (10)

2015

8. Credit conditions and stock return predictability
   Journal of Monetary Economics, 2015, 74, (C), 117-132 View citations (25)

2013

9. Rare event risk and emerging market debt with heterogeneous beliefs
   Journal of International Money and Finance, 2013, 33, (C), 163-187 View citations (3)

2011

10. CEO optimism and forced turnover
    Journal of Financial Economics, 2011, 101, (3), 695-712 View citations (247)

2008

11. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
    Review of Finance, 2008, 12, (2), 323-364 View citations (58)

2007

12. Arbitrage-free bond pricing with dynamic macroeconomic models
    Review, 2007, 89, (Jul), 305-326 View citations (45)
    See also Working Paper Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models, NBER Working Papers (2007) View citations (36) (2007)

2006

13. Tax management strategies with multiple risky assets
    Journal of Financial Economics, 2006, 80, (2), 243-291 View citations (22)

2005

14. Taylor rules, McCallum rules and the term structure of interest rates
    Journal of Monetary Economics, 2005, 52, (5), 921-950 View citations (58)
    See also Working Paper Taylor Rules, McCallum Rules and the Term Structure of Interest Rates, 2005 Meeting Papers (2005) View citations (62) (2005)
15. The equilibrium allocation of diffusive and jump risks with heterogeneous agents
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1547-1576 View citations (12)
    See also Working Paper The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents, GSIA Working Papers

2003

16. Capital Market Equilibrium with Differential Taxation
    Review of Finance, 2003, 7, (2), 121-159 View citations (8)
    See also Working Paper Capital Market Equilibrium with Differential Taxation, GSIA Working Papers View citations (1)

1999

17. 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 (22)
    See also Working Paper Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium, Weiss Center Working Papers (1998) (1998)