Details about Tim A. Kroencke

Access statistics for papers by Tim A. Kroencke.

Last updated 2026-03-13. Update your information in the RePEc Author Service.

Short-id: pkr192

Working Papers

2021

1. The FOMC risk shift
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (21)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (13)
   See also Journal Article The FOMC Risk Shift, Journal of Monetary Economics, Elsevier (2021) View citations (16) (2021)

2016

2. Time-varying Macroeconomic Risk of Real Estate Returns
   ERES, European Real Estate Society (ERES) View citations (8)

2015

3. Global Asset Allocation Shifts
   BIS Working Papers, Bank for International Settlements View citations (17)

2014

4. Asset Pricing without Garbage
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association
   Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2013) View citations (1)
   See also Journal Article Asset Pricing without Garbage, Journal of Finance, American Finance Association (2017) View citations (39) (2017)

2013

5. GDP mimicking portfolios and the cross-section of stock returns
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (4)
6. Return and risk of human capital contracts
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research

2011

7. International Diversification Benefits with Foreign Exchange Investment Styles
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
   Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2011) View citations (3)
   See also Journal Article International Diversification Benefits with Foreign Exchange Investment Styles, Review of Finance, European Finance Association (2014) View citations (42) (2014)
8. International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
   VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association
   Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2011)
   See also Journal Article International diversification with securitized real estate and the veiling glare from currency risk, Journal of International Money and Finance, Elsevier (2012) View citations (11) (2012)

2010

9. Downside risk optimization in securitized real estate markets
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (6)

Journal Articles

2025

1. Robust Inference for Consumption-Based Asset Pricing with Power
   Critical Finance Review, 2025, 14, (1), 129-178
2. The UBS‐Credit Suisse Merger: Helvetia's Gift
   Journal of Applied Corporate Finance, 2025, 37, (2), 104-121

2024

3. Efficient estimation of bid–ask spreads from open, high, low, and close prices
   Journal of Financial Economics, 2024, 161, (C) View citations (3)

2022

4. Recessions and the stock market
   Journal of Monetary Economics, 2022, 131, (C), 61-77 View citations (6)

2021

5. The FOMC Risk Shift
   Journal of Monetary Economics, 2021, 120, (C), 21-39 View citations (16)
   See also Working Paper The FOMC risk shift, SAFE Working Paper Series (2021) View citations (21) (2021)

2018

6. The Anatomy of Public and Private Real Estate Return Premia
   The Journal of Real Estate Finance and Economics, 2018, 56, (3), 500-523 View citations (3)

2017

7. Asset Pricing without Garbage
   Journal of Finance, 2017, 72, (1), 47-98 View citations (39)
   See also Working Paper Asset Pricing without Garbage, VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy (2014) (2014)

2014

8. Editorial
   Journal of Property Research, 2014, 31, (3), 181-182
9. International Diversification Benefits with Foreign Exchange Investment Styles
   Review of Finance, 2014, 18, (5), 1847-1883 View citations (42)
   See also Working Paper International Diversification Benefits with Foreign Exchange Investment Styles, CREATES Research Papers (2011) View citations (12) (2011)

2012

10. International diversification with securitized real estate and the veiling glare from currency risk
    Journal of International Money and Finance, 2012, 31, (7), 1851-1866 View citations (11)
    See also Working Paper International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk, VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis (2011) (2011)

Books

2013

1. Wirtschaftsfaktor Immobilien 2013: Gesamtwirtschaftliche Bedeutung der Immobilienwirtschaft
   ZEW Expertises, ZEW - Leibniz Centre for European Economic Research
2. Wohnungsmarktbeobachtung 2012: Alle Zahlen unter Dach und Fach, vol 2012
   ZEW Expertises, ZEW - Leibniz Centre for European Economic Research

Chapters

2025

1. Mastering Investment Myths: A Recapitulation
   Springer
2. Principles of Evidence-Based Investing
   Springer
3. Prologue
   Springer
4. Ten Common Investing Myths Laid Bare
   Springer
5. The Alpha Portfolio
   Springer
6. The Global Market Portfolio
   Springer
7. The Performance of Simplicity
   Springer
8. The Risk-Free Investment
   Springer