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Stefan Nagel

Personal Details

First Name:Stefan
Middle Name:
Last Name:Nagel
Suffix:
RePEc Short-ID:pna176
[This author has chosen not to make the email address public]
http://voices.uchicago.edu/stefannagel/
Twitter: @profstefannagel
Terminal Degree: (from RePEc Genealogy)

Affiliation

(98%) Booth School of Business
University of Chicago

Chicago, Illinois (United States)
http://www.chicagobooth.edu/
RePEc:edi:sbuchus (more details at EDIRC)

(1%) National Bureau of Economic Research (NBER)

Cambridge, Massachusetts (United States)
http://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)

(1%) Centre for Economic Policy Research (CEPR)

London, United Kingdom
http://www.cepr.org/
RePEc:edi:cebruuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Stefan Nagel & Zhengyang Xu, 2024. "Movements in Yields, Not the Equity Premium: Bernanke-Kuttner Redux," CESifo Working Paper Series 11305, CESifo.
  2. Rui Da & Stefan Nagel & Dacheng Xiu, 2024. "The Statistical Limit of Arbitrage," NBER Working Papers 33070, National Bureau of Economic Research, Inc.
  3. Serhiy Kozak & Stefan Nagel, 2023. "When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?," NBER Working Papers 31275, National Bureau of Economic Research, Inc.
  4. Ben S. Meiselman & Stefan Nagel & Amiyatosh Purnanandam, 2023. "Judging Banks’ Risk by the Profits They Report," NBER Working Papers 31635, National Bureau of Economic Research, Inc.
  5. Klaus Adam & Stefan Nagel, 2022. "Expectations Data in Asset Pricing," CRC TR 224 Discussion Paper Series crctr224_2022_337, University of Bonn and University of Mannheim, Germany.
  6. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
  7. Stefan Nagel & Zhen Yan, 2022. "Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows," CESifo Working Paper Series 10118, CESifo.
  8. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
  9. Malmendier, Ulrike M. & Nagel, Stefan & Yan, Zhen, 2020. "The Making of Hawks and Doves," CEPR Discussion Papers 14938, C.E.P.R. Discussion Papers.
  10. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Staff Working Papers 19-11, Bank of Canada.
  11. Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank risk dynamics and distance to default," CESifo Working Paper Series 7637, CESifo.
  12. Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.
  13. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
  14. Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
  15. Nagel, Stefan & Malmendier, Ulrike M. & Yan, Zhen, 2017. "The Making of Hawks and Doves: Inflation Experiences on the FOMC," CEPR Discussion Papers 11902, C.E.P.R. Discussion Papers.
  16. Nagel, Stefan & Kuhnen, Camelia & Das, Sreyoshi, 2017. "Socioeconomic Status and Macroeconomic Expectations," CEPR Discussion Papers 12464, C.E.P.R. Discussion Papers.
  17. Nagel, Stefan & Vissing-Jørgensen, Annette & Krishnamurthy, Arvind, 2017. "ECB Policies Involving Government Bond Purchases: Impacts and Channels," CEPR Discussion Papers 12399, C.E.P.R. Discussion Papers.
  18. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
  19. Stefan Nagel, 2014. "The Liquidity Premium of Near-Money Assets," NBER Working Papers 20265, National Bureau of Economic Research, Inc.
  20. Arvind Krishnamurthy & Stefan Nagel, 2013. "Interpreting Repo Statistics in the Flow of Funds Accounts," NBER Working Papers 19389, National Bureau of Economic Research, Inc.
  21. Nagel, Stefan & Korteweg, Arthur, 2013. "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers 9610, C.E.P.R. Discussion Papers.
  22. Nagel, Stefan, 2012. "Evaporating Liquidity," CEPR Discussion Papers 8775, C.E.P.R. Discussion Papers.
  23. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  24. Krishnamurthy, Arvind & Nagel, Stefan & Orlov, Dmitry, 2012. "Sizing Up Repo," CEPR Discussion Papers 8795, C.E.P.R. Discussion Papers.
    • Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.
  25. Stefan Nagel & Kenneth J. Singleton, 2010. "Estimation and Evaluation of Conditional Asset Pricing Models," NBER Working Papers 16457, National Bureau of Economic Research, Inc.
  26. Ulrike Malmendier & Stefan Nagel, 2009. "Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?," NBER Working Papers 14813, National Bureau of Economic Research, Inc.
  27. Robin Greenwood & Stefan Nagel, 2008. "Inexperienced Investors and Bubbles," NBER Working Papers 14111, National Bureau of Economic Research, Inc.
  28. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  29. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
  30. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006. "The Effect of Dividends on Consumption," NBER Working Papers 12288, National Bureau of Economic Research, Inc.
  31. Markus K. Brunnermeier & Stefan Nagel, 2006. "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers 12809, National Bureau of Economic Research, Inc.
  32. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.

Articles

  1. Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
  2. Jeffrey L Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan A Stuart, 2022. "Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock," The Economic Journal, Royal Economic Society, vol. 132(641), pages 299-325.
  3. He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022. "Treasury inconvenience yields during the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
  4. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  5. Stefan Nagel, 2022. "Report of the Editor of The Journal of Finance for the Year 2021," Journal of Finance, American Finance Association, vol. 77(2), pages 1413-1421, April.
  6. Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
  7. Stefan Nagel, 2021. "Report of the Editor of The Journal of Finance for the Year 2020," Journal of Finance, American Finance Association, vol. 76(2), pages 1019-1028, April.
  8. Malmendier, Ulrike & Nagel, Stefan & Yan, Zhen, 2021. "The making of hawks and doves," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 19-42.
  9. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
  10. Markus Brunnermeier & Emmanuel Farhi & Ralph S J Koijen & Arvind Krishnamurthy & Sydney C Ludvigson & Hanno Lustig & Stefan Nagel & Monika Piazzesi, 2021. "Review Article: Perspectives on the Future of Asset Pricing [Do survey expectations of stock returns reflect risk-adjustments?]," The Review of Financial Studies, Society for Financial Studies, vol. 34(4), pages 2126-2160.
  11. Stefan Nagel & Amiyatosh Purnanandam, 2020. "Banks’ Risk Dynamics and Distance to Default," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
  12. Sreyoshi Das & Camelia M Kuhnen & Stefan Nagel, 2020. "Socioeconomic Status and Macroeconomic Expectations," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 395-432.
  13. Stefan Nagel, 2020. "Report of the Editor of The Journal of Finance for the Year 2019," Journal of Finance, American Finance Association, vol. 75(2), pages 1157-1172, April.
  14. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
  15. Stefan Nagel, 2019. "Report of the Editor of The Journal of Finance for the Year 2018," Journal of Finance, American Finance Association, vol. 74(4), pages 2117-2132, August.
  16. Stefan Nagel, 2018. "Report of the Editor of the Journal of Finance for the Year 2017," Journal of Finance, American Finance Association, vol. 73(4), pages 1937-1951, August.
  17. Arvind Krishnamurthy & Stefan Nagel & Annette Vissing-Jorgensen, 2018. "ECB Policies Involving Government Bond Purchases: Impact and Channels [The “greatest” carry trade ever? Understanding eurozone bank risks]," Review of Finance, European Finance Association, vol. 22(1), pages 1-44.
  18. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2018. "Interpreting Factor Models," Journal of Finance, American Finance Association, vol. 73(3), pages 1183-1223, June.
  19. Stefan Nagel, 2017. "Report of the Editor of the Journal of Finance for the Year 2016," Journal of Finance, American Finance Association, vol. 72(4), pages 1859-1874, August.
  20. Stefan Nagel, 2016. "The Liquidity Premium of Near-Money Assets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1927-1971.
  21. Arthur Korteweg & Stefan Nagel, 2016. "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
  22. Ulrike Malmendier & Stefan Nagel, 2016. "Learning from Inflation Experiences," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(1), pages 53-87.
  23. Stefan Nagel, 2016. "Long-Run Inflation Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 207-217, September.
  24. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014. "Sizing Up Repo," Journal of Finance, American Finance Association, vol. 69(6), pages 2381-2417, December.
  25. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  26. Nagel Stefan, 2012. "First Discussant Comment on “Shifting Confidence in Homeownership: The Great Recession”," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(3), pages 1-9.
  27. Stefan Nagel, 2012. "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039.
  28. Stefan Nagel & Kenneth J. Singleton, 2011. "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, vol. 66(3), pages 873-909, June.
  29. Ulrike Malmendier & Stefan Nagel, 2011. "Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(1), pages 373-416.
  30. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  31. Greenwood, Robin & Nagel, Stefan, 2009. "Inexperienced investors and bubbles," Journal of Financial Economics, Elsevier, vol. 93(2), pages 239-258, August.
  32. Markus K. Brunnermeier & Stefan Nagel, 2008. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, vol. 98(3), pages 713-736, June.
  33. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007. "The Effect of Dividends on Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 231-292.
  34. Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November.
  35. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  36. Elroy Dimson & Stefan Nagel & Garrett Quigley, 2003. "Capturing the Value Premium in the United Kingdom," Financial Analysts Journal, Taylor & Francis Journals, vol. 59(6), pages 35-45, November.
    RePEc:bla:jfinan:v:59:y:2004:i:5:p:2013-2040 is not listed on IDEAS

Chapters

  1. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Number of Abstract Views in RePEc Services over the past 12 months
  28. Number of Downloads through RePEc Services over the past 12 months
  29. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  30. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Euclidian citation score
  32. Breadth of citations across fields
  33. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 40 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (13) 2003-09-24 2006-06-17 2006-07-28 2018-11-19 2020-02-03 2020-07-13 2020-07-27 2022-01-24 2022-04-25 2022-06-13 2022-06-13 2023-01-02 2024-09-23. Author is listed
  2. NEP-MON: Monetary Economics (13) 2012-02-01 2012-03-28 2014-07-05 2017-04-02 2017-04-09 2017-12-03 2017-12-03 2018-06-25 2019-09-23 2021-06-21 2023-01-02 2023-01-09 2024-09-23. Author is listed
  3. NEP-MAC: Macroeconomics (11) 2006-06-17 2008-11-11 2012-03-28 2014-07-05 2017-04-02 2017-04-09 2017-12-03 2020-07-13 2021-06-21 2022-03-07 2022-06-13. Author is listed
  4. NEP-CBA: Central Banking (7) 2008-11-11 2014-07-05 2017-04-02 2017-04-09 2017-12-03 2021-06-21 2024-09-23. Author is listed
  5. NEP-UPT: Utility Models and Prospect Theory (7) 2007-01-13 2018-12-03 2019-09-23 2019-09-23 2019-10-07 2022-04-25 2022-06-13. Author is listed
  6. NEP-BAN: Banking (5) 2012-02-01 2012-03-28 2014-07-05 2019-05-13 2023-10-23. Author is listed
  7. NEP-ORE: Operations Research (5) 2017-12-18 2019-10-07 2020-02-03 2020-07-27 2022-01-24. Author is listed
  8. NEP-RMG: Risk Management (5) 2019-05-13 2019-07-08 2022-04-25 2022-06-13 2023-10-23. Author is listed
  9. NEP-BIG: Big Data (4) 2020-02-03 2020-02-10 2020-07-27 2022-01-24
  10. NEP-CFN: Corporate Finance (4) 2003-09-24 2006-07-28 2013-09-24 2019-03-18
  11. NEP-FIN: Finance (3) 2003-09-24 2006-06-17 2006-07-28
  12. NEP-IFN: International Finance (3) 2008-11-11 2022-01-24 2023-01-02
  13. NEP-CWA: Central and Western Asia (2) 2022-01-24 2022-03-07
  14. NEP-EEC: European Economics (2) 2017-12-03 2017-12-03
  15. NEP-PKE: Post Keynesian Economics (2) 2006-06-17 2016-05-08
  16. NEP-ACC: Accounting and Auditing (1) 2006-06-17
  17. NEP-CMP: Computational Economics (1) 2020-07-27
  18. NEP-ECM: Econometrics (1) 2006-07-28
  19. NEP-ENT: Entrepreneurship (1) 2013-09-24
  20. NEP-EXP: Experimental Economics (1) 2008-06-27
  21. NEP-FDG: Financial Development and Growth (1) 2023-10-23
  22. NEP-MFD: Microfinance (1) 2023-07-10
  23. NEP-MST: Market Microstructure (1) 2008-11-11
  24. NEP-PBE: Public Economics (1) 2016-05-08

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