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Details about Stefan Nagel

E-mail:
Homepage:http://voices.uchicago.edu/stefannagel/
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Stefan Nagel.

Last updated 2019-10-14. Update your information in the RePEc Author Service.

Short-id: pna176


Jump to Journal Articles Chapters

Working Papers

2019

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

2017

  1. ECB Policies Involving Government Bond Purchases: Impact and Channels
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (18)
    Research Papers, Stanford University, Graduate School of Business (2017) Downloads View citations (22)
  2. Shrinking the Cross Section
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (15)
  3. Socioeconomic Status and Macroeconomic Expectations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (5)
  4. The Making of Hawks and Doves: Inflation Experiences on the FOMC
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (9)

2016

  1. 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 Downloads View citations (2)

2014

  1. The Liquidity Premium of Near-Money Assets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    See also Journal Article in The Quarterly Journal of Economics (2016)

2013

  1. Interpreting Repo Statistics in the Flow of Funds Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Risk-Adjusting the Returns to Venture Capital
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads

    See also Journal Article in Journal of Finance (2016)

2012

  1. Empirical Cross-Sectional Asset Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads

    See also Journal Article in Annual Review of Financial Economics (2013)
  2. Evaporating Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (81)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2012)
  3. Sizing Up Repo
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (19)

    See also Journal Article in Journal of Finance (2014)

2010

  1. Estimation and Evaluation of Conditional Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (2011)

2009

  1. Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article in The Quarterly Journal of Economics (2011)

2008

  1. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (200)
    See also Chapter (2009)
  2. Inexperienced Investors and Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in Journal of Financial Economics (2009)

2006

  1. A Skeptical Appraisal of Asset-Pricing Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in Journal of Financial Economics (2010)
  2. Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
  3. The Effect of Dividends on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Brookings Papers on Economic Activity (2007)

2003

  1. The Conditional CAPM Does Not Explain Asset-pricing Anomalies
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads

    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 Downloads

2018

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

2017

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

2016

  1. Learning from Inflation Experiences
    The Quarterly Journal of Economics, 2016, 131, (1), 53-87 Downloads View citations (82)
  2. Long-Run Inflation Uncertainty
    International Journal of Central Banking, 2016, 12, (3), 207-217 Downloads
  3. Risk-Adjusting the Returns to Venture Capital
    Journal of Finance, 2016, 71, (3), 1437-1470 Downloads View citations (12)
    See also Working Paper (2013)
  4. The Liquidity Premium of Near-Money Assets
    The Quarterly Journal of Economics, 2016, 131, (4), 1927-1971 Downloads View citations (33)
    See also Working Paper (2014)

2014

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

2013

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

2012

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

2011

  1. Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?
    The Quarterly Journal of Economics, 2011, 126, (1), 373-416 Downloads View citations (463)
    See also Working Paper (2009)
  2. 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

  1. A skeptical appraisal of asset pricing tests
    Journal of Financial Economics, 2010, 96, (2), 175-194 Downloads View citations (284)
    See also Working Paper (2006)

2009

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

2008

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

2007

  1. The Effect of Dividends on Consumption
    Brookings Papers on Economic Activity, 2007, 38, (1), 231-292 Downloads View citations (13)
    See also Working Paper (2006)

2006

  1. The conditional CAPM does not explain asset-pricing anomalies
    Journal of Financial Economics, 2006, 82, (2), 289-314 Downloads View citations (219)
    See also Working Paper (2003)

2005

  1. Short sales, institutional investors and the cross-section of stock returns
    Journal of Financial Economics, 2005, 78, (2), 277-309 Downloads View citations (187)

Chapters

2009

  1. Carry Trades and Currency Crashes
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 Downloads View citations (155)
    See also Working Paper (2008)
 
Page updated 2019-12-05