Details about Andreas Neuhierl

Access statistics for papers by Andreas Neuhierl.

Last updated 2023-05-09. Update your information in the RePEc Author Service.

Short-id: pne394

Working Papers

2023

1. Economic Forecasts Using Many Noises
   Papers, arXiv.org View citations (1)

2022

2. Missing Data in Asset Pricing Panels
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Option characteristics as cross-sectional predictors
   LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin)

2020

4. Monetary Momentum
   Working Papers, Becker Friedman Institute for Research In Economics
   Also in CESifo Working Paper Series, CESifo (2017) View citations (1)
   NBER Working Papers, National Bureau of Economic Research, Inc (2018)

2019

5. Estimating The Anomaly Base Rate
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article Estimating the anomaly base rate, Journal of Financial Economics, Elsevier (2021) View citations (12) (2021)

2018

6. Dissecting Characteristics Nonparametrically
   CESifo Working Paper Series, CESifo View citations (4)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (38)
   CESifo Working Paper Series, CESifo (2017) View citations (31)
   See also Journal Article Dissecting Characteristics Nonparametrically, The Review of Financial Studies, Society for Financial Studies (2020) View citations (133) (2020)

2017

7. Monetary Policy and the Stock Market: Time Series Evidence
   2017 Meeting Papers, Society for Economic Dynamics View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (11)
   CESifo Working Paper Series, CESifo (2016) View citations (9)

Journal Articles

2021

1. Arbitrage Portfolios
   The Review of Financial Studies, 2021, 34, (6), 2813-2856 View citations (5)
2. Data snooping in equity premium prediction
   International Journal of Forecasting, 2021, 37, (1), 72-94 View citations (3)
3. Estimating the anomaly base rate
   Journal of Financial Economics, 2021, 140, (1), 101-126 View citations (12)
   See also Working Paper Estimating The Anomaly Base Rate, NBER Working Papers (2019) View citations (1) (2019)
4. Frequency dependent risk
   Journal of Financial Economics, 2021, 140, (2), 644-675 View citations (4)

2020

5. Dissecting Characteristics Nonparametrically
   The Review of Financial Studies, 2020, 33, (5), 2326-2377 View citations (133)
   See also Working Paper Dissecting Characteristics Nonparametrically, CESifo Working Paper Series (2018) View citations (4) (2018)

2019

6. Monetary policy communication, policy slope, and the stock market
   Journal of Monetary Economics, 2019, 108, (C), 140-155 View citations (37)

2013

7. Market Reaction to Corporate Press Releases
   Journal of Financial and Quantitative Analysis, 2013, 48, (4), 1207-1240 View citations (35)

2012

8. Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails
   German Economic Review, 2012, 13, (2), 228-240
   Also in German Economic Review, 2012, 13, (2), 228-240 (2012) View citations (1)

2011

9. Data Snooping and Market-Timing Rule Performance
   Journal of Financial Econometrics, 2011, 9, (3), 550-587 View citations (8)

Chapters

2018

1. Casino game markets
   Chapter 10 in Handbook of Behavioral Industrial Organization, 2018, pp 257-290 View citations (1)