Details about Stefan Nagel

Access statistics for papers by Stefan Nagel.

Last updated 2020-04-24. Update your information in the RePEc Author Service.

Short-id: pna176

Working Papers

2020

1. Treasury Inconvenience Yields during the COVID-19 Crisis
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

2. Asset Pricing with Fading Memory
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (3)
   2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (3)
3. Bank Risk Dynamics and Distance to Default
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (2)
4. Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
   Staff Working Papers, Bank of Canada
   Also in 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)
   2019 Meeting Papers, Society for Economic Dynamics (2019)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2018) View citations (3)
5. Market Efficiency in the Age of Big Data
   CESifo Working Paper Series, CESifo
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019)

2017

6. ECB Policies Involving Government Bond Purchases: Impact and Channels
   Research Papers, Stanford University, Graduate School of Business View citations (33)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (29)
   NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (29)
7. Shrinking the Cross Section
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (17)
   See also Journal Article in Journal of Financial Economics (2020)
8. Socioeconomic Status and Macroeconomic Expectations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (6)
   See also Journal Article in Review of Financial Studies (2020)
9. The Making of Hawks and Doves: Inflation Experiences on the FOMC
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (17)

2016

10. 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 (3)

2014

11. 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

12. Interpreting Repo Statistics in the Flow of Funds Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
13. 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

14. 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)
15. Evaporating Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (98)
    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)
16. 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

17. 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

18. Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article in The Quarterly Journal of Economics (2011)

2008

19. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (209)
    See also Chapter (2009)
20. 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

21. 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)
22. 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)
23. 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

24. 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

2020

1. Report of the Editor of The Journal of Finance for the Year 2019
   Journal of Finance, 2020, 75, (2), 1157-1172
2. Shrinking the cross-section
   Journal of Financial Economics, 2020, 135, (2), 271-292 View citations (1)
   See also Working Paper (2017)
3. Socioeconomic Status and Macroeconomic Expectations
   Review of Financial Studies, 2020, 33, (1), 395-432 View citations (1)
   See also Working Paper (2017)

2019

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

2018

5. Interpreting Factor Models
   Journal of Finance, 2018, 73, (3), 1183-1223 View citations (22)
6. Report of the Editor of the Journal of Finance for the Year 2017
   Journal of Finance, 2018, 73, (4), 1937-1951

2017

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

2016

8. Learning from Inflation Experiences
   The Quarterly Journal of Economics, 2016, 131, (1), 53-87 View citations (119)
9. Long-Run Inflation Uncertainty
   International Journal of Central Banking, 2016, 12, (3), 207-217
10. Risk-Adjusting the Returns to Venture Capital
    Journal of Finance, 2016, 71, (3), 1437-1470 View citations (18)
    See also Working Paper (2013)
11. The Liquidity Premium of Near-Money Assets
    The Quarterly Journal of Economics, 2016, 131, (4), 1927-1971 View citations (46)
    See also Working Paper (2014)

2014

12. Sizing Up Repo
    Journal of Finance, 2014, 69, (6), 2381-2417 View citations (51)
    See also Working Paper (2012)

2013

13. Empirical Cross-Sectional Asset Pricing
    Annual Review of Financial Economics, 2013, 5, (1), 167-199 View citations (8)
    See also Working Paper (2012)

2012

14. Evaporating Liquidity
    Review of Financial Studies, 2012, 25, (7), 2005-2039 View citations (100)
    See also Working Paper (2012)

2011

15. Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?
    The Quarterly Journal of Economics, 2011, 126, (1), 373-416 View citations (538)
    See also Working Paper (2009)
16. Estimation and Evaluation of Conditional Asset Pricing Models
    Journal of Finance, 2011, 66, (3), 873-909 View citations (27)
    See also Working Paper (2010)

2010

17. A skeptical appraisal of asset pricing tests
    Journal of Financial Economics, 2010, 96, (2), 175-194 View citations (307)
    See also Working Paper (2006)

2009

18. Inexperienced investors and bubbles
    Journal of Financial Economics, 2009, 93, (2), 239-258 View citations (91)
    See also Working Paper (2008)

2008

19. Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals
    American Economic Review, 2008, 98, (3), 713-36 View citations (140)

2007

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

2006

21. The conditional CAPM does not explain asset-pricing anomalies
    Journal of Financial Economics, 2006, 82, (2), 289-314 View citations (227)
    See also Working Paper (2003)

2005

22. Short sales, institutional investors and the cross-section of stock returns
    Journal of Financial Economics, 2005, 78, (2), 277-309 View citations (204)

Chapters

2009

1. Carry Trades and Currency Crashes
   A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 View citations (162)
   See also Working Paper (2008)