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

Working Papers

2019

1. 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)
2. 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)
3. 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

4. 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)
5. 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)
6. 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)
7. 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

8. 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

9. 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

10. Interpreting Repo Statistics in the Flow of Funds Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
11. 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

12. 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)
13. 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)
14. 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

15. 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

16. 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

17. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (200)
    See also Chapter (2009)
18. 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

19. 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)
20. 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)
21. 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

22. 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

1. Report of the Editor of The Journal of Finance for the Year 2018
   Journal of Finance, 2019, 74, (4), 2117-2132

2018

2. Interpreting Factor Models
   Journal of Finance, 2018, 73, (3), 1183-1223 View citations (16)
3. Report of the Editor of the Journal of Finance for the Year 2017
   Journal of Finance, 2018, 73, (4), 1937-1951

2017

4. Report of the Editor of the Journal of Finance for the Year 2016
   Journal of Finance, 2017, 72, (4), 1859-1874

2016

5. Learning from Inflation Experiences
   The Quarterly Journal of Economics, 2016, 131, (1), 53-87 View citations (82)
6. Long-Run Inflation Uncertainty
   International Journal of Central Banking, 2016, 12, (3), 207-217
7. Risk-Adjusting the Returns to Venture Capital
   Journal of Finance, 2016, 71, (3), 1437-1470 View citations (12)
   See also Working Paper (2013)
8. 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

9. Sizing Up Repo
   Journal of Finance, 2014, 69, (6), 2381-2417 View citations (48)
   See also Working Paper (2012)

2013

10. Empirical Cross-Sectional Asset Pricing
    Annual Review of Financial Economics, 2013, 5, (1), 167-199 View citations (7)
    See also Working Paper (2012)

2012

11. Evaporating Liquidity
    Review of Financial Studies, 2012, 25, (7), 2005-2039 View citations (83)
    See also Working Paper (2012)

2011

12. 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)
13. 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

14. 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

15. Inexperienced investors and bubbles
    Journal of Financial Economics, 2009, 93, (2), 239-258 View citations (82)
    See also Working Paper (2008)

2008

16. Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals
    American Economic Review, 2008, 98, (3), 713-36 View citations (123)

2007

17. 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

18. 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

19. 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

1. 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)