Details about Stefan Nagel

Access statistics for papers by Stefan Nagel.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pna176

Working Papers

2024

1. Movements in Yields, Not the Equity Premium: Bernanke-Kuttner Redux
   CESifo Working Paper Series, CESifo
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2024)
2. The Statistical Limit of Arbitrage
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

3. Judging Banks’ Risk by the Profits They Report
   NBER Working Papers, National Bureau of Economic Research, Inc
4. When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2022

5. Dynamics of Subjective Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CESifo Working Paper Series, CESifo (2022) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   See also Journal Article Dynamics of subjective risk premia, Journal of Financial Economics, Elsevier (2023) View citations (3) (2023)
6. Expectations Data in Asset Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany (2022) View citations (4)
7. Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows
   CESifo Working Paper Series, CESifo
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   NBER Working Papers, National Bureau of Economic Research, Inc (2022)
8. Market efficiency in the age of big data
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
   Also in CESifo Working Paper Series, CESifo (2019) View citations (4)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (4)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (5)
   See also Journal Article Market efficiency in the age of big data, Journal of Financial Economics, Elsevier (2022) View citations (13) (2022)

2020

9. The Making of Hawks and Doves
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
   See also Journal Article The making of hawks and doves, Journal of Monetary Economics, Elsevier (2021) View citations (51) (2021)
10. Treasury Inconvenience Yields during the COVID-19 Crisis
    Working Papers, Becker Friedman Institute for Research In Economics View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (37)
    See also Journal Article Treasury inconvenience yields during the COVID-19 crisis, Journal of Financial Economics, Elsevier (2022) View citations (52) (2022)

2019

11. Asset Pricing with Fading Memory
    2019 Meeting Papers, Society for Economic Dynamics View citations (23)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (23)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (23)
    See also Journal Article Asset Pricing with Fading Memory, The Review of Financial Studies, Society for Financial Studies (2022) View citations (12) (2022)
12. Bank Risk Dynamics and Distance to Default
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in CESifo Working Paper Series, CESifo (2019) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (10)
    See also Journal Article Banks’ Risk Dynamics and Distance to Default, The Review of Financial Studies, Society for Financial Studies (2020) View citations (4) (2020)
13. Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
    Staff Working Papers, Bank of Canada View citations (4)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2018) View citations (6)
    2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (6)
    CESifo Working Paper Series, CESifo (2018) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (10)
    See also Journal Article Do survey expectations of stock returns reflect risk adjustments?, Journal of Monetary Economics, Elsevier (2021) View citations (8) (2021)

2017

14. ECB Policies Involving Government Bond Purchases: Impact and Channels
    Research Papers, Stanford University, Graduate School of Business View citations (65)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (64)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (63)
    See also Journal Article ECB Policies Involving Government Bond Purchases: Impact and Channels*, Review of Finance, European Finance Association (2018) View citations (33) (2018)
15. Shrinking the Cross Section
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (26)
    See also Journal Article Shrinking the cross-section, Journal of Financial Economics, Elsevier (2020) View citations (101) (2020)
16. Socioeconomic Status and Macroeconomic Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (21)
    See also Journal Article Socioeconomic Status and Macroeconomic Expectations, The Review of Financial Studies, Society for Financial Studies (2020) View citations (51) (2020)
17. The Making of Hawks and Doves: Inflation Experiences on the FOMC
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (36)

2016

18. 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 (13)

2014

19. The Liquidity Premium of Near-Money Assets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
    See also Journal Article The Liquidity Premium of Near-Money Assets, The Quarterly Journal of Economics, President and Fellows of Harvard College (2016) View citations (142) (2016)

2013

20. Interpreting Repo Statistics in the Flow of Funds Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
21. 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 Risk‐Adjusting the Returns to Venture Capital, Journal of Finance, American Finance Association (2016) View citations (40) (2016)

2012

22. 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 Empirical Cross-Sectional Asset Pricing, Annual Review of Financial Economics, Annual Reviews (2013) View citations (19) (2013)
23. Evaporating Liquidity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (217)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (1)
    See also Journal Article Evaporating Liquidity, The Review of Financial Studies, Society for Financial Studies (2012) View citations (219) (2012)
24. Sizing Up Repo
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (30)
    See also Journal Article Sizing Up Repo, Journal of Finance, American Finance Association (2014) View citations (146) (2014)

2010

25. Estimation and Evaluation of Conditional Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Estimation and Evaluation of Conditional Asset Pricing Models, Journal of Finance, American Finance Association (2011) View citations (43) (2011)

2009

26. Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
    See also Journal Article Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?, The Quarterly Journal of Economics, President and Fellows of Harvard College (2011) View citations (1259) (2011)

2008

27. Carry Trades and Currency Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (495)
    Also in Working Papers, Princeton University. Economics Department. (2008) View citations (53)
    See also Chapter Carry Trades and Currency Crashes, NBER Chapters, National Bureau of Economic Research, Inc (2009) View citations (271) (2009)
28. Inexperienced Investors and Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article Inexperienced investors and bubbles, Journal of Financial Economics, Elsevier (2009) View citations (172) (2009)

2006

29. A Skeptical Appraisal of Asset-Pricing Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    See also Journal Article A skeptical appraisal of asset pricing tests, Journal of Financial Economics, Elsevier (2010) View citations (469) (2010)
30. 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 (24)
31. The Effect of Dividends on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article The Effect of Dividends on Consumption, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2007) View citations (54) (2007)

2003

32. The Conditional CAPM Does Not Explain Asset-pricing Anomalies
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (25)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003)
    See also Journal Article The conditional CAPM does not explain asset-pricing anomalies, Journal of Financial Economics, Elsevier (2006) View citations (342) (2006)

Journal Articles

2023

1. Dynamics of subjective risk premia
   Journal of Financial Economics, 2023, 150, (2) View citations (3)
   See also Working Paper Dynamics of Subjective Risk Premia, NBER Working Papers (2022) View citations (4) (2022)

2022

2. Asset Pricing with Fading Memory
   The Review of Financial Studies, 2022, 35, (5), 2190-2245 View citations (12)
   See also Working Paper Asset Pricing with Fading Memory, 2019 Meeting Papers (2019) View citations (23) (2019)
3. Market efficiency in the age of big data
   Journal of Financial Economics, 2022, 145, (1), 154-177 View citations (13)
   See also Working Paper Market efficiency in the age of big data, LSE Research Online Documents on Economics (2022) View citations (14) (2022)
4. Report of the Editor of The Journal of Finance for the Year 2021
   Journal of Finance, 2022, 77, (2), 1413-1421
5. Treasury inconvenience yields during the COVID-19 crisis
   Journal of Financial Economics, 2022, 143, (1), 57-79 View citations (52)
   See also Working Paper Treasury Inconvenience Yields during the COVID-19 Crisis, Working Papers (2020) View citations (36) (2020)
6. Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock
   The Economic Journal, 2022, 132, (641), 299-325 View citations (1)

2021

7. Do survey expectations of stock returns reflect risk adjustments?
   Journal of Monetary Economics, 2021, 117, (C), 723-740 View citations (8)
   See also Working Paper Do Survey Expectations of Stock Returns Reflect Risk Adjustments?, Staff Working Papers (2019) View citations (4) (2019)
8. Report of the Editor of The Journal of Finance for the Year 2020
   Journal of Finance, 2021, 76, (2), 1019-1028
9. Review Article: Perspectives on the Future of Asset Pricing
   (Do survey expectations of stock returns reflect risk-adjustments?)
   The Review of Financial Studies, 2021, 34, (4), 2126-2160 View citations (16)
10. The making of hawks and doves
    Journal of Monetary Economics, 2021, 117, (C), 19-42 View citations (51)
    See also Working Paper The Making of Hawks and Doves, CEPR Discussion Papers (2020) View citations (8) (2020)

2020

11. Banks’ Risk Dynamics and Distance to Default
    The Review of Financial Studies, 2020, 33, (6), 2421-2467 View citations (4)
    See also Working Paper Bank Risk Dynamics and Distance to Default, NBER Working Papers (2019) View citations (4) (2019)
12. Report of the Editor of The Journal of Finance for the Year 2019
    Journal of Finance, 2020, 75, (2), 1157-1172
13. Shrinking the cross-section
    Journal of Financial Economics, 2020, 135, (2), 271-292 View citations (101)
    See also Working Paper Shrinking the Cross Section, NBER Working Papers (2017) View citations (48) (2017)
14. Socioeconomic Status and Macroeconomic Expectations
    The Review of Financial Studies, 2020, 33, (1), 395-432 View citations (51)
    See also Working Paper Socioeconomic Status and Macroeconomic Expectations, NBER Working Papers (2017) View citations (21) (2017)

2019

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

2018

16. ECB Policies Involving Government Bond Purchases: Impact and Channels*
    (The “greatest” carry trade ever? Understanding eurozone bank risks)
    Review of Finance, 2018, 22, (1), 1-44 View citations (33)
    See also Working Paper ECB Policies Involving Government Bond Purchases: Impact and Channels, Research Papers (2017) View citations (65) (2017)
17. Interpreting Factor Models
    Journal of Finance, 2018, 73, (3), 1183-1223 View citations (89)
18. Report of the Editor of the Journal of Finance for the Year 2017
    Journal of Finance, 2018, 73, (4), 1937-1951

2017

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

2016

20. Learning from Inflation Experiences
    The Quarterly Journal of Economics, 2016, 131, (1), 53-87 View citations (402)
21. Long-Run Inflation Uncertainty
    International Journal of Central Banking, 2016, 12, (3), 207-217 View citations (2)
22. Risk‐Adjusting the Returns to Venture Capital
    Journal of Finance, 2016, 71, (3), 1437-1470 View citations (40)
    See also Working Paper Risk-Adjusting the Returns to Venture Capital, NBER Working Papers (2013) (2013)
23. The Liquidity Premium of Near-Money Assets
    The Quarterly Journal of Economics, 2016, 131, (4), 1927-1971 View citations (142)
    See also Working Paper The Liquidity Premium of Near-Money Assets, NBER Working Papers (2014) View citations (27) (2014)

2014

24. Sizing Up Repo
    Journal of Finance, 2014, 69, (6), 2381-2417 View citations (146)
    See also Working Paper Sizing Up Repo, NBER Working Papers (2012) View citations (43) (2012)

2013

25. Empirical Cross-Sectional Asset Pricing
    Annual Review of Financial Economics, 2013, 5, (1), 167-199 View citations (19)
    See also Working Paper Empirical Cross-Sectional Asset Pricing, NBER Working Papers (2012) (2012)

2012

26. Evaporating Liquidity
    The Review of Financial Studies, 2012, 25, (7), 2005-2039 View citations (219)
    See also Working Paper Evaporating Liquidity, CEPR Discussion Papers (2012) View citations (217) (2012)
27. First Discussant Comment on “Shifting Confidence in Homeownership: The Great Recession”
    The B.E. Journal of Macroeconomics, 2012, 12, (3), 9

2011

28. Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?
    The Quarterly Journal of Economics, 2011, 126, (1), 373-416 View citations (1259)
    See also Working Paper Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?, NBER Working Papers (2009) View citations (29) (2009)
29. Estimation and Evaluation of Conditional Asset Pricing Models
    Journal of Finance, 2011, 66, (3), 873-909 View citations (43)
    See also Working Paper Estimation and Evaluation of Conditional Asset Pricing Models, NBER Working Papers (2010) View citations (2) (2010)

2010

30. A skeptical appraisal of asset pricing tests
    Journal of Financial Economics, 2010, 96, (2), 175-194 View citations (469)
    See also Working Paper A Skeptical Appraisal of Asset-Pricing Tests, NBER Working Papers (2006) View citations (28) (2006)

2009

31. Inexperienced investors and bubbles
    Journal of Financial Economics, 2009, 93, (2), 239-258 View citations (172)
    See also Working Paper Inexperienced Investors and Bubbles, NBER Working Papers (2008) View citations (11) (2008)

2008

32. Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals
    American Economic Review, 2008, 98, (3), 713-36 View citations (291)

2007

33. The Effect of Dividends on Consumption
    Brookings Papers on Economic Activity, 2007, 38, (1), 231-292 View citations (54)
    See also Working Paper The Effect of Dividends on Consumption, NBER Working Papers (2006) View citations (8) (2006)

2006

34. The conditional CAPM does not explain asset-pricing anomalies
    Journal of Financial Economics, 2006, 82, (2), 289-314 View citations (342)
    See also Working Paper The Conditional CAPM Does Not Explain Asset-pricing Anomalies, Working papers (2003) View citations (25) (2003)

2005

35. Short sales, institutional investors and the cross-section of stock returns
    Journal of Financial Economics, 2005, 78, (2), 277-309 View citations (336)

2003

36. Capturing the Value Premium in the United Kingdom
    Financial Analysts Journal, 2003, 59, (6), 35-45 View citations (1)

Chapters

2009

1. Carry Trades and Currency Crashes
   A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 313-347 View citations (271)
   See also Working Paper Carry Trades and Currency Crashes, National Bureau of Economic Research, Inc (2008) View citations (495) (2008)