Details about Semyon Malamud

Access statistics for papers by Semyon Malamud.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: pma1192

Working Papers

2025

1. A Test of the Efficiency of a Given Portfolio in High Dimensions
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Artificial Intelligence Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc

2024

3. APT or “AIPT”? The Surprising Dominance of Large Factor Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2023

4. Complexity in Factor Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
5. Universal Portfolio Shrinkage
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

6. The Virtue of Complexity in Return Prediction
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2020

7. Principal Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc

2012

8. Decentralized Exchange
   Working Papers, NET Institute View citations (8)
9. Financial Markets Equilibrium with Heterogeneous Agents
   Post-Print, HAL View citations (45)
   See also Journal Article Financial Markets Equilibrium with Heterogeneous Agents, Review of Finance, European Finance Association (2011) View citations (16) (2011)

2011

10. Capital Supply Uncertainty, Cash Holdings, and Investment
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (11)
    See also Journal Article Capital Supply Uncertainty, Cash Holdings, and Investment, The Review of Financial Studies, Society for Financial Studies (2015) View citations (64) (2015)
11. Information Percolation in Segmented Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) View citations (17)
    See also Journal Article Information percolation in segmented markets, Journal of Economic Theory, Elsevier (2014) View citations (34) (2014)

2010

12. Nonmyopic Optimal Portfolios in Viable Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
13. Price Impact and Portfolio Impact
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Price impact and portfolio impact, Journal of Financial Economics, Elsevier (2011) View citations (16) (2011)

2009

14. Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
15. Endogenous completeness of diffusion driven equilibrium markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)
    See also Journal Article Endogenous Completeness of Diffusion Driven Equilibrium Markets, Econometrica, Econometric Society (2012) View citations (28) (2012)
16. Equilibrium Driven by Discounted Dividend Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
17. Information Percolation with Equilibrium Search Dynamics
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (88)
    See also Journal Article Information Percolation With Equilibrium Search Dynamics, Econometrica, Econometric Society (2009) View citations (83) (2009)
18. The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in Research Papers, Stanford University, Graduate School of Business (2009) View citations (1)
    See also Journal Article The relative contributions of private information sharing and public information releases to information aggregation, Journal of Economic Theory, Elsevier (2010) View citations (9) (2010)
19. Variance Covariance Orders and Median Preserving
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

Journal Articles

2015

1. Capital Supply Uncertainty, Cash Holdings, and Investment
   The Review of Financial Studies, 2015, 28, (2), 391-445 View citations (64)
   See also Working Paper Capital Supply Uncertainty, Cash Holdings, and Investment, Swiss Finance Institute Research Paper Series (2011) View citations (11) (2011)
2. Credit market frictions and capital structure dynamics
   Journal of Economic Theory, 2015, 157, (C), 1130-1158 View citations (16)
3. Reprint of: Information percolation in segmented markets
   Journal of Economic Theory, 2015, 158, (PB), 838-869 View citations (8)

2014

4. Information percolation in segmented markets
   Journal of Economic Theory, 2014, 153, (C), 1-32 View citations (34)
   See also Working Paper Information Percolation in Segmented Markets, NBER Working Papers (2011) View citations (7) (2011)

2013

5. Optimal incentives and securitization of defaultable assets
   Journal of Financial Economics, 2013, 107, (1), 111-135 View citations (15)

2012

6. Endogenous Completeness of Diffusion Driven Equilibrium Markets
   Econometrica, 2012, 80, (3), 1249-1270 View citations (28)
   See also Working Paper Endogenous completeness of diffusion driven equilibrium markets, Swiss Finance Institute Research Paper Series (2009) View citations (8) (2009)

2011

7. Financial Markets Equilibrium with Heterogeneous Agents
   Review of Finance, 2011, 16, (1), 285-321 View citations (16)
   See also Working Paper Financial Markets Equilibrium with Heterogeneous Agents, Post-Print (2012) View citations (45) (2012)
8. Price impact and portfolio impact
   Journal of Financial Economics, 2011, 100, (1), 201-225 View citations (16)
   See also Working Paper Price Impact and Portfolio Impact, Swiss Finance Institute Research Paper Series (2010) (2010)

2010

9. Relative Extinction of Heterogeneous Agents
   The B.E. Journal of Theoretical Economics, 2010, 10, (1), 23 View citations (7)
10. The relative contributions of private information sharing and public information releases to information aggregation
    Journal of Economic Theory, 2010, 145, (4), 1574-1601 View citations (9)
    See also Working Paper The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation, Swiss Finance Institute Research Paper Series (2009) View citations (1) (2009)

2009

11. Information Percolation With Equilibrium Search Dynamics
    Econometrica, 2009, 77, (5), 1513-1574 View citations (83)
    See also Working Paper Information Percolation with Equilibrium Search Dynamics, Swiss Finance Institute Research Paper Series (2009) View citations (88) (2009)

2008

12. Long run forward rates and long yields of bonds and options in heterogeneous equilibria
    Finance and Stochastics, 2008, 12, (2), 245-264 View citations (4)
13. Universal bounds for asset prices in heterogeneous economies
    Finance and Stochastics, 2008, 12, (3), 411-422 View citations (2)