Details about Stefan Nagel

Access statistics for papers by Stefan Nagel.

Last updated 2019-06-10. Update your information in the RePEc Author Service.

Short-id: pna176

Working Papers

2019

1. Bank Risk Dynamics and Distance to Default
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019)
2. Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
   Staff Working Papers, Bank of Canada
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (1)
   CESifo Working Paper Series, CESifo Group Munich (2018)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2018)

2017

3. ECB Policies Involving Government Bond Purchases: Impact and Channels
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (15)
   Research Papers, Stanford University, Graduate School of Business (2017) View citations (19)
4. Shrinking the Cross Section
   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 (11)
5. Socioeconomic Status and Macroeconomic Expectations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (3)
6. The Making of Hawks and Doves: Inflation Experiences on the FOMC
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (4)

2016

7. 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

8. 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

9. Interpreting Repo Statistics in the Flow of Funds Accounts
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
10. Risk-Adjusting the Returns to Venture Capital
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013)
    See also Journal Article in Journal of Finance (2016)

2012

11. Empirical Cross-Sectional Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012)
    See also Journal Article in Annual Review of Financial Economics (2013)
12. Evaporating Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (77)
    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)
13. Sizing Up Repo
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (32)
    See also Journal Article in Journal of Finance (2014)

2010

14. 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

15. Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    See also Journal Article in The Quarterly Journal of Economics (2011)

2008

16. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (187)
    See also Chapter (2009)
17. 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

18. 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)
19. 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)
20. 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

21. 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

2018

1. Interpreting Factor Models
   Journal of Finance, 2018, 73, (3), 1183-1223 View citations (1)
2. Report of the Editor of the Journal of Finance for the Year 2017
   Journal of Finance, 2018, 73, (4), 1937-1951

2017

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

2016

4. Learning from Inflation Experiences
   The Quarterly Journal of Economics, 2016, 131, (1), 53-87 View citations (74)
5. Long-Run Inflation Uncertainty
   International Journal of Central Banking, 2016, 12, (3), 207-217
6. Risk-Adjusting the Returns to Venture Capital
   Journal of Finance, 2016, 71, (3), 1437-1470 View citations (11)
   See also Working Paper (2013)
7. The Liquidity Premium of Near-Money Assets
   The Quarterly Journal of Economics, 2016, 131, (4), 1927-1971 View citations (24)
   See also Working Paper (2014)

2014

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

2013

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

2012

10. Evaporating Liquidity
    Review of Financial Studies, 2012, 25, (7), 2005-2039 View citations (79)
    See also Working Paper (2012)

2011

11. Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?
    The Quarterly Journal of Economics, 2011, 126, (1), 373-416 View citations (433)
    See also Working Paper (2009)
12. 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

13. A skeptical appraisal of asset pricing tests
    Journal of Financial Economics, 2010, 96, (2), 175-194 View citations (269)
    See also Working Paper (2006)

2009

14. Inexperienced investors and bubbles
    Journal of Financial Economics, 2009, 93, (2), 239-258 View citations (78)
    See also Working Paper (2008)

2008

15. Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals
    American Economic Review, 2008, 98, (3), 713-36 View citations (117)

2007

16. The Effect of Dividends on Consumption
    Brookings Papers on Economic Activity, 2007, 38, (1), 231-292 View citations (12)
    See also Working Paper (2006)

2006

17. The conditional CAPM does not explain asset-pricing anomalies
    Journal of Financial Economics, 2006, 82, (2), 289-314 View citations (212)
    See also Working Paper (2003)

2005

18. Short sales, institutional investors and the cross-section of stock returns
    Journal of Financial Economics, 2005, 78, (2), 277-309 View citations (179)

2004

19. Hedge Funds and the Technology Bubble
    Journal of Finance, 2004, 59, (5), 2013-2040 View citations (222)

Chapters

2009

1. Carry Trades and Currency Crashes
   A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 View citations (151)
   See also Working Paper (2008)