Details about Stefan Nagel
Access statistics for papers by Stefan Nagel.
Last updated 2019-10-14. Update your information in the RePEc Author Service.
Short-id: pna176
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Working Papers
2019
- Asset Pricing with Fading Memory
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in 2019 Meeting Papers, Society for Economic Dynamics (2019)  NBER Working Papers, National Bureau of Economic Research, Inc (2019)
- Bank Risk Dynamics and Distance to Default
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in CESifo Working Paper Series, CESifo Group Munich (2019)  NBER Working Papers, National Bureau of Economic Research, Inc (2019)
- Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
Staff Working Papers, Bank of Canada 
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2018) View citations (3) 2019 Meeting Papers, Society for Economic Dynamics (2019)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (3) NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (4) CESifo Working Paper Series, CESifo Group Munich (2018) View citations (3)
2017
- ECB Policies Involving Government Bond Purchases: Impact and Channels
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (18) Research Papers, Stanford University, Graduate School of Business (2017) View citations (22)
- Shrinking the Cross Section
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (15)
- Socioeconomic Status and Macroeconomic Expectations
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (5)
- The Making of Hawks and Doves: Inflation Experiences on the FOMC
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (9)
2016
- Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
2014
- The Liquidity Premium of Near-Money Assets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
See also Journal Article in The Quarterly Journal of Economics (2016)
2013
- Interpreting Repo Statistics in the Flow of Funds Accounts
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
- Risk-Adjusting the Returns to Venture Capital
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) 
See also Journal Article in Journal of Finance (2016)
2012
- Empirical Cross-Sectional Asset Pricing
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) 
See also Journal Article in Annual Review of Financial Economics (2013)
- Evaporating Liquidity
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (81)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (1)
See also Journal Article in Review of Financial Studies (2012)
- Sizing Up Repo
NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (19)
See also Journal Article in Journal of Finance (2014)
2010
- Estimation and Evaluation of Conditional Asset Pricing Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article in Journal of Finance (2011)
2009
- Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
See also Journal Article in The Quarterly Journal of Economics (2011)
2008
- Carry Trades and Currency Crashes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (200)
See also Chapter (2009)
- Inexperienced Investors and Bubbles
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
See also Journal Article in Journal of Financial Economics (2009)
2006
- A Skeptical Appraisal of Asset-Pricing Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
See also Journal Article in Journal of Financial Economics (2010)
- Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
- The Effect of Dividends on Consumption
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
See also Journal Article in Brookings Papers on Economic Activity (2007)
2003
- The Conditional CAPM Does Not Explain Asset-pricing Anomalies
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (26)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) 
See also Journal Article in Journal of Financial Economics (2006)
Journal Articles
2019
- Report of the Editor of The Journal of Finance for the Year 2018
Journal of Finance, 2019, 74, (4), 2117-2132
2018
- Interpreting Factor Models
Journal of Finance, 2018, 73, (3), 1183-1223 View citations (16)
- Report of the Editor of the Journal of Finance for the Year 2017
Journal of Finance, 2018, 73, (4), 1937-1951
2017
- Report of the Editor of the Journal of Finance for the Year 2016
Journal of Finance, 2017, 72, (4), 1859-1874
2016
- Learning from Inflation Experiences
The Quarterly Journal of Economics, 2016, 131, (1), 53-87 View citations (82)
- Long-Run Inflation Uncertainty
International Journal of Central Banking, 2016, 12, (3), 207-217
- Risk-Adjusting the Returns to Venture Capital
Journal of Finance, 2016, 71, (3), 1437-1470 View citations (12)
See also Working Paper (2013)
- The Liquidity Premium of Near-Money Assets
The Quarterly Journal of Economics, 2016, 131, (4), 1927-1971 View citations (33)
See also Working Paper (2014)
2014
- Sizing Up Repo
Journal of Finance, 2014, 69, (6), 2381-2417 View citations (48)
See also Working Paper (2012)
2013
- Empirical Cross-Sectional Asset Pricing
Annual Review of Financial Economics, 2013, 5, (1), 167-199 View citations (7)
See also Working Paper (2012)
2012
- Evaporating Liquidity
Review of Financial Studies, 2012, 25, (7), 2005-2039 View citations (83)
See also Working Paper (2012)
2011
- Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?
The Quarterly Journal of Economics, 2011, 126, (1), 373-416 View citations (463)
See also Working Paper (2009)
- Estimation and Evaluation of Conditional Asset Pricing Models
Journal of Finance, 2011, 66, (3), 873-909 View citations (25)
See also Working Paper (2010)
2010
- A skeptical appraisal of asset pricing tests
Journal of Financial Economics, 2010, 96, (2), 175-194 View citations (284)
See also Working Paper (2006)
2009
- Inexperienced investors and bubbles
Journal of Financial Economics, 2009, 93, (2), 239-258 View citations (82)
See also Working Paper (2008)
2008
- Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals
American Economic Review, 2008, 98, (3), 713-36 View citations (123)
2007
- The Effect of Dividends on Consumption
Brookings Papers on Economic Activity, 2007, 38, (1), 231-292 View citations (13)
See also Working Paper (2006)
2006
- The conditional CAPM does not explain asset-pricing anomalies
Journal of Financial Economics, 2006, 82, (2), 289-314 View citations (219)
See also Working Paper (2003)
2005
- Short sales, institutional investors and the cross-section of stock returns
Journal of Financial Economics, 2005, 78, (2), 277-309 View citations (187)
Chapters
2009
- Carry Trades and Currency Crashes
A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 View citations (155)
See also Working Paper (2008)
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