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Michael F. Gallmeyer

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.

    Cited by:

    1. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
    2. Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
    3. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
    4. Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2021. "The Choice Channel of Financial Innovation," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 333-372, April.
    5. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    6. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    7. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    8. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    9. Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," Staff Reports 934, Federal Reserve Bank of New York.
    10. Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
    11. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    12. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
    13. Swinkels, Laurens, 2018. "Simulating historical inflation-linked bond returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 374-389.
    14. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
    15. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    16. Armantier, Olivier & Koşar, Gizem & Pomerantz, Rachel & Skandalis, Daphné & Smith, Kyle & Topa, Giorgio & van der Klaauw, Wilbert, 2021. "How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 443-469.
    17. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
    18. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    19. Ryan Banerjee & Aaron Mehrotra, 2021. "Disagreeing during Deflations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1867-1885, October.
    20. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    21. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    22. Johan Walden & Christian Heyerdahl-Larsen, 2015. "Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs," 2015 Meeting Papers 124, Society for Economic Dynamics.
    23. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    24. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    25. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    26. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    27. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.

  2. Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009. "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers 1223, Society for Economic Dynamics.

    Cited by:

    1. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    2. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    3. Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
    4. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.

  3. Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008. "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers 769, Society for Economic Dynamics.

    Cited by:

    1. Lorenz, Daniela, 2009. "Portfolioauswahl bei Besteuerung realisierter Kursänderungen," Discussion Papers 2009/17, Free University Berlin, School of Business & Economics.
    2. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
    3. Niemann, Rainer & Sureth, Caren, 2009. "Investment effects of capital gains taxation under simultaneous investment and abandonment flexibility," arqus Discussion Papers in Quantitative Tax Research 77, arqus - Arbeitskreis Quantitative Steuerlehre.
    4. Annika Hegemann & Angela Kunoth & Kristina Rupp & Caren Sureth-Sloane, 2017. "Hold or sell? How capital gains taxation affects holding decisions," Review of Managerial Science, Springer, vol. 11(3), pages 571-603, July.
    5. Martin Haugh & Garud Iyengar & Chun Wang, 2016. "Tax-Aware Dynamic Asset Allocation," Operations Research, INFORMS, vol. 64(4), pages 849-866, August.
    6. Hegemann, Annika & Kunoth, Angela & Rupp, Kristina & Sureth, Caren, 2015. "Impact of capital gains taxation on the holding period of investments under different tax systems," arqus Discussion Papers in Quantitative Tax Research 183, arqus - Arbeitskreis Quantitative Steuerlehre.

  4. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.

    Cited by:

    1. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    2. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    3. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    4. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    5. Silvio Contessi & Pierangelo De Pace & Li Li, 2014. "An international perspective on the recent behavior of inflation," Review, Federal Reserve Bank of St. Louis, vol. 96(3), pages 267-294.
    6. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
    7. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    8. John H. Cochrane, 2007. "Commentary on \\"Macroeconomic implications of changes in the term premium\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 271-282.
    9. William Gavin & Benjamin Keen, 2013. "U.S. Monetary Policy: A View from Macro Theory," Open Economies Review, Springer, vol. 24(1), pages 33-49, February.
    10. Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
    11. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    12. Carlos Garriga & Finn E. Kydland & Roman Šustek, 2013. "Mortgages and Monetary Policy," Discussion Papers 1306, Centre for Macroeconomics (CFM), revised May 2016.
    13. Diana A. Cooke & William T. Gavin, 2014. "Three Scenarios for Interest Rates in the Transition to Normalcy," Working Papers 2014-27, Federal Reserve Bank of St. Louis.
    14. Almeida, Caio & Lund, Bruno, 2014. "Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    15. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    16. Josephine M. Smith & John B. Taylor, 2007. "The Long and the Short End of the Term Structure of Policy Rules," NBER Working Papers 13635, National Bureau of Economic Research, Inc.
    17. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
    18. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
    19. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
    20. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
    21. De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series 236, Sveriges Riksbank (Central Bank of Sweden).
    22. Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
    23. Pamela Labadie, 2007. "Commentary on \\"Arbitrage-free bond pricing with dynamic macroeconomic models\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 327-330.
    24. Smith, Josephine M. & Taylor, John B., 2009. "The term structure of policy rules," Journal of Monetary Economics, Elsevier, vol. 56(7), pages 907-917, October.
    25. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    26. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
    27. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    28. Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
    29. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
    30. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
    31. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    32. Alex Hsu & Francisco Palomino & Liang Qian, 2023. "Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation," Management Science, INFORMS, vol. 69(5), pages 3025-3047, May.
    33. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.
    34. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    35. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
    36. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    37. Mohsan Bilal, 2017. "Zeroing in: Asset Pricing at the Zero Lower Bound," 2017 Meeting Papers 377, Society for Economic Dynamics.

  5. A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006. "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers 263, Society for Economic Dynamics.

    Cited by:

    1. Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
    2. Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022. "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    3. Daouk, Hazem & Ng, David T.C., 2009. "Is Unlevered Firm Volatility Asymmetric?," Working Papers 51182, Cornell University, Department of Applied Economics and Management.
    4. Thilo A. Schmitt & Rudi Schafer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering temporal dependencies in financial time series," Papers 1507.04990, arXiv.org.
    5. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    6. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
    7. Thilo A. Schmitt & Rudi Schäfer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering Temporal Dependencies In Financial Time Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-16, November.
    8. Alina Synyavska & Numan Ülkü, 2015. "'Leverage Effect' in country betas and volatilities?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 848-853, July.
    9. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    10. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  6. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.

    Cited by:

    1. Reis, Ricardo, 2018. "Central banks going long," LSE Research Online Documents on Economics 87618, London School of Economics and Political Science, LSE Library.
    2. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    3. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
    4. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    5. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
    6. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    7. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    8. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    9. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
    10. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    11. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
    12. Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 395-422, March.
    13. Mariano Kulish, 2006. "Term Structure Rules for Monetary Policy," RBA Research Discussion Papers rdp2006-02, Reserve Bank of Australia.
    14. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    15. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, C.E.P.R. Discussion Papers.
    16. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
    17. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers 18/2007, Bank of Finland.
    18. Benjamin Croitoru & Lei Lu, 2015. "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs," Management Science, INFORMS, vol. 61(9), pages 2203-2219, September.
    19. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
    20. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    21. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    22. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    23. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
    24. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
    25. Weber, Enzo & Wolters, Jürgen, 2010. "Risk and Policy Shocks on the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 438, University of Regensburg, Department of Economics.
    26. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    27. Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
    28. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 241-270.
    29. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    30. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    31. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    32. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
    33. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
    34. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
    35. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
    36. Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
    37. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
    38. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
    39. Croce, M. & Nguyen, Thien T. & Raymond, S., 2021. "Persistent government debt and aggregate risk distribution," Journal of Financial Economics, Elsevier, vol. 140(2), pages 347-367.
    40. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    41. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
    42. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
    43. Marçal, Emerson F. & Valls Pereira, Pedro L. & Abbara, Omar, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper 15624, University Library of Munich, Germany.
    44. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
    45. Fan, Longzhen & Johansson, Anders C., 2009. "China'S Official Rates And Bond Yields," Working Paper Series 2009-3, Stockholm School of Economics, China Economic Research Center.
    46. Francisco Palomino, 2008. "The Economic Content of Interest Rates, Monetary Policy and Time-Varying Risk Premia," 2008 Meeting Papers 957, Society for Economic Dynamics.

  7. Stephan Dieckmann & Michael Gallmeyer, "undated". "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
    2. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    3. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    4. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
    5. Bates, David S., 2008. "The market for crash risk," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2291-2321, July.
    6. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    7. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
    8. Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
    9. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    10. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    11. Branger, Nicole & Schlag, Christian & Schneider, Eva, 2008. "Optimal portfolios when volatility can jump," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1087-1097, June.

  8. Michael Gallmeyer & Duane Seppi, "undated". "Derivative Security Induced Price Manipulation," GSIA Working Papers 2000-E41, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.

  9. Suleyman Basak & Michael Gallmeyer, "undated". "Capital Market Equilibrium with Differential Taxation," GSIA Working Papers 1999-E1, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
    2. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers halshs-00590775, HAL.
    3. James M. Poterba, 2001. "Taxation, Risk-Taking, and Household Portfolio Behavior," NBER Working Papers 8340, National Bureau of Economic Research, Inc.
    4. Suleyman Basak & Benjamin Croitoru, "undated". "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Rodney L. White Center for Financial Research Working Papers 07-99, Wharton School Rodney L. White Center for Financial Research.
    5. Niemann Rainer & Sureth Caren, 2005. "Capital Budgeting with Taxes under Uncertainty and Irreversibility / Investitionsplanung mit Steuern bei Unsicherheit und Irreversibilität," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(1), pages 77-95, February.
    6. Sureth, Caren & Voß, Armin, 2005. "Investitionsbereitschaft und zeitliche Indifferenz bei Realinvestitionen unter Unsicherheit und Steuern," arqus Discussion Papers in Quantitative Tax Research 2, arqus - Arbeitskreis Quantitative Steuerlehre.
    7. Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
    8. Shijie Liu & Andrew Adams & Boulis M. Ibrahim, 2013. "Effects of Tax on Investment Portfolios and Financial Markets Under Mixed Integer Stochastic Programming," CFI Discussion Papers 1304, Centre for Finance and Investment, Heriot Watt University.
    9. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
    10. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    11. Niemann, Rainer, 2007. "Risikoübernahme, Arbeitsanreiz und differenzierende Besteuerung," arqus Discussion Papers in Quantitative Tax Research 28, arqus - Arbeitskreis Quantitative Steuerlehre.

  10. Michael Gallmeyer, "undated". "Beliefs and Volatility," GSIA Working Papers 2000-E42, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
    2. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
    3. Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print halshs-00176630, HAL.
    4. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2006. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
    5. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
    6. Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.

  11. Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated". "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. von Thadden, Ernst-Ludwig & Pagano, Marco & Favero, Carlo A., 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers.
    2. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, University Library of Munich, Germany.
    4. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.

  12. A Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, "undated". "Financial leverage and the leverage effect: A market and firm analysis," GSIA Working Papers 2007-E31, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.

  13. Michael Gallmeyer & Burton Hollifield, "undated". "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    2. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    3. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
    4. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    5. Anna Pavlova & Roberto Rigobon, 2005. "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers 11440, National Bureau of Economic Research, Inc.
    6. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
    7. Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print halshs-00176630, HAL.
    8. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2006. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
    9. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
    10. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
    11. Uppal, Raman & Bhamra, Harjoat Singh, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers.
    12. Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.
    13. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.

  14. Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    2. Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series 904, CESifo.
    3. Vincenzo Costa, 2004. "Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods," Economics Bulletin, AccessEcon, vol. 3(43), pages 1-10.
    4. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    5. Benjamin Croitoru & Lei Lu, 2015. "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs," Management Science, INFORMS, vol. 61(9), pages 2203-2219, September.
    6. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
    7. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
    8. Evans, Lynne & Kenc, Turalay, 2004. "FOREX risk premia and policy uncertainty: a recursive utility analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 1-24, February.
    9. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
    10. Dibooglu, Sel & Kenc, Turalay, 2009. "Welfare cost of inflation in a stochastic balanced growth model," Economic Modelling, Elsevier, vol. 26(3), pages 650-658, May.
    11. Basak, Suleyman & Yan, Hongjun, 2009. "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," CEPR Discussion Papers 7398, C.E.P.R. Discussion Papers.
    12. Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
    13. Keiichi Tanaka, 2003. "Indeterminacy of equilibrium price of money, market price of risk and interest rates," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-11.
    14. Lioui, Abraham & Poncet, Patrice, 2003. "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2203-2230, November.
    15. Chiarolla, Maria B. & Haussmann, Ulrich G., 2001. "Equilibrium in a stochastic model with consumption, wages and investment," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 311-346, April.
    16. Lioui, Abraham & Poncet, Patrice, 2005. "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1265-1294, May.
    17. Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.).
    18. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
    19. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
    20. Lioui, Abraham & Poncet, Patrice, 2004. "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1569-1595, July.

  15. Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
    2. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
    3. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.
    4. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.

Articles

  1. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.

    Cited by:

    1. McKeever, Daniel & Rydqvist, Kristian, 2022. "Tax-loss harvesting under uncertainty," Journal of Banking & Finance, Elsevier, vol. 140(C).
    2. D. Th. Vezeris & C. J. Schinas & Th. S. Kyrgos & V. A. Bizergianidou & I. P. Karkanis, 2020. "Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 975-1054, December.
    3. Baojun Bian & Xinfu Chen & Min Dai & Shuaijie Qian, 2021. "Penalty method for portfolio selection with capital gains tax," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1013-1055, July.

  2. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
    See citations under working paper version above.
  3. David A Chapman & Michael F Gallmeyer & J Spencer Martin, 2018. "Aggregate Tail Risk and Expected Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 36-76.

    Cited by:

    1. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    2. Zhijun Hu & Ping‐Wen Sun, 2021. "Connectedness among stocks and tail risk: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1179-1202, December.
    3. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.

  4. Marcel Fischer & Michael Gallmeyer, 2017. "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, European Finance Association, vol. 21(5), pages 1847-1873.

    Cited by:

    1. Fischer, Marcel & Jensen, Bjarne Astrup & Koch, Marlene, 2023. "Optimal retirement savings over the life cycle: A deterministic analysis in closed form," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 48-58.
    2. Haliassos, Michael & Gomes, Francisco, 2020. "Household Finance," CEPR Discussion Papers 14502, C.E.P.R. Discussion Papers.
    3. Rainer Niemann & Mariana Sailer, 2023. "Is analytical tax research alive and kicking? Insights from 2000 until 2022," Journal of Business Economics, Springer, vol. 93(6), pages 1149-1212, August.
    4. Brown, David C. & Cederburg, Scott & O’Doherty, Michael S., 2017. "Tax uncertainty and retirement savings diversification," Journal of Financial Economics, Elsevier, vol. 126(3), pages 689-712.

  5. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.

    Cited by:

    1. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, C.E.P.R. Discussion Papers.
    2. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
    3. Croce, M. & Nguyen, Thien T. & Raymond, S., 2021. "Persistent government debt and aggregate risk distribution," Journal of Financial Economics, Elsevier, vol. 140(2), pages 347-367.
    4. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    5. Palazzo, Berardino & Yamarthy, Ram, 2022. "Credit risk and the transmission of interest rate shocks," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 120-136.

  6. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.

    Cited by:

    1. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    2. Alderighi, Stefano, 2018. "The determinants of retail trading activity in emerging markets: A cross-market analysis," Global Finance Journal, Elsevier, vol. 37(C), pages 152-167.
    3. McKeever, Daniel & Rydqvist, Kristian, 2022. "Tax-loss harvesting under uncertainty," Journal of Banking & Finance, Elsevier, vol. 140(C).
    4. Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
    5. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    6. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.

  7. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.

    Cited by:

    1. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    2. Bergbrant, Mikael C. & Hunter, Delroy M., 2018. "(How) do credit market conditions affect firms' post-hedging outcomes? Evidence from bank lending standards and firms' currency exposure," Journal of Corporate Finance, Elsevier, vol. 50(C), pages 203-222.
    3. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Economic Forecasts Using Many Noises," Papers 2312.05593, arXiv.org, revised Dec 2023.
    4. Alex Hsu & Francisco J. Palomino & Charles Qian, 2017. "The Decline in Asset Return Predictability and Macroeconomic Volatility," Finance and Economics Discussion Series 2017-050, Board of Governors of the Federal Reserve System (U.S.).
    5. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    6. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 224-235.
    7. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).
    8. Wilson, Linus, 2023. "Profitable timing of the stock market with the senior loan officer survey," Finance Research Letters, Elsevier, vol. 54(C).
    9. Chien, Chih-Chung & Chen, Shikuan & Chang, Ming-Jen, 2023. "Financial constraints on credit ratings and cash-flow sensitivity," International Review of Financial Analysis, Elsevier, vol. 88(C).
    10. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    11. Sudheer Chava & Rohan Ganduri & Chayawat Ornthanalai, 2019. "Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?," Review of Finance, European Finance Association, vol. 23(3), pages 471-511.
    12. Bates, Thomas W. & Neyland, Jordan B. & Wang, Yolanda Yulong, 2018. "Financing acquisitions with earnouts," Journal of Accounting and Economics, Elsevier, vol. 66(2), pages 374-395.
    13. Pavlopoulos, Athanasios & Magnis, Chris & Iatridis, George Emmanuel, 2019. "Integrated reporting: An accounting disclosure tool for high quality financial reporting," Research in International Business and Finance, Elsevier, vol. 49(C), pages 13-40.
    14. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Narayan, Seema, 2018. "Technology-investing countries and stock return predictability," Emerging Markets Review, Elsevier, vol. 36(C), pages 159-179.
    15. Sohn, Bumjean & Park, Heungju, 2016. "Early warning indicators of banking crisis and bank related stock returns," Finance Research Letters, Elsevier, vol. 18(C), pages 193-198.
    16. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    17. Wei, Xin & Liu, Xi & Zhang, Xueyong, 2022. "Shadow banking and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    18. Alex Hsu & Francisco Palomino & Liang Qian, 2023. "Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation," Management Science, INFORMS, vol. 69(5), pages 3025-3047, May.
    19. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    20. Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
    21. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    22. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.

  8. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Serhan Cevik & Belma Öztürkkal, 2021. "Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?," International Finance, Wiley Blackwell, vol. 24(2), pages 134-154, August.
    3. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

  9. Campbell, T. Colin & Gallmeyer, Michael & Johnson, Shane A. & Rutherford, Jessica & Stanley, Brooke W., 2011. "CEO optimism and forced turnover," Journal of Financial Economics, Elsevier, vol. 101(3), pages 695-712, September.

    Cited by:

    1. Deshmukh, Sanjay & Goel, Anand M. & Howe, Keith M., 2021. "Do CEO beliefs affect corporate cash holdings?," Journal of Corporate Finance, Elsevier, vol. 67(C).
    2. Gokkaya, Sinan & Liu, Xi & Stulz, René M., 2023. "Do firms with specialized M&A staff make better acquisitions?," Journal of Financial Economics, Elsevier, vol. 147(1), pages 75-105.
    3. Chen, Chen & Chen, Yangyang & Hsu, Po-Hsuan & Podolski, Edward J., 2016. "Be nice to your innovators: Employee treatment and corporate innovation performance," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 78-98.
    4. Im, Hyun Joong & Kang, Ya & Shon, Janghoon, 2020. "How does uncertainty influence target capital structure?," Journal of Corporate Finance, Elsevier, vol. 64(C).
    5. Dah, Mustafa A. & Frye, Melissa B. & Hurst, Matthew, 2014. "Board changes and CEO turnover: The unanticipated effects of the Sarbanes–Oxley Act," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 97-108.
    6. Thomas Kiptanui TARUS, 2020. "Does Corporate Governance Mechanisms Matter in Explaining Risk Management? Evidence from Non-Financial Kenyan Listed Firms," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 4(1), pages 79-97.
    7. Aktas, Nihat & Louca, Christodoulos & Petmezas, Dimitris, 2019. "CEO overconfidence and the value of corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 54(C), pages 85-106.
    8. Chhaochharia, Vidhi & Kim, Dasol & Korniotis, George M. & Kumar, Alok, 2019. "Mood, firm behavior, and aggregate economic outcomes," Journal of Financial Economics, Elsevier, vol. 132(2), pages 427-450.
    9. John Berns & Patty Bick & Ryan Flugum & Reza Houston, 2022. "Do changes in MD&A section tone predict investment behavior?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 129-153, February.
    10. André Betzer & Inga Bongard & Felix Schweder & Erik Theissen & Christine Volkmann, 2023. "All is not lost that is delayed: overconfidence and investment outcomes," Review of Managerial Science, Springer, vol. 17(7), pages 2297-2324, October.
    11. Ulrike Malmendier & Vincenzo Pezone & Hui Zheng, 2023. "Managerial Duties and Managerial Biases," Management Science, INFORMS, vol. 69(6), pages 3174-3201, June.
    12. Chih-Hsiang Chang & Shan-Shan Chen & Song-Lin Hsieh, 2017. "Asymmetric Reinforcement Learning and Conditioned Responses During the 2007–2009 Global Financial Crisis: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, June.
    13. Ezzeddine Ben Mohamed & Baccar Ame & Abdelfatteh Bouri, 2013. "Investment Cash Flow Sensitivity and Managerial Optimism: A Literature Review via the Classification Scheme Technique," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 007-026, June.
    14. De Amicis, Chiara & Falconieri, Sonia & Tastan, Mesut, 2021. "Sentiment analysis and gender differences in earnings conference calls," Journal of Corporate Finance, Elsevier, vol. 71(C).
    15. Duong, Kiet Tuan & Banti, Chiara & Instefjord, Norvald, 2021. "Managerial conservatism and corporate policies," Journal of Corporate Finance, Elsevier, vol. 68(C).
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    149. Chia-Hsien Tang & Yen-Hsien Lee & Tsung-Hsien Lu, 2020. "Can Firm Characteristics diminish CEO Optimism effect: the U.S. Securities Market Evidence," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(4), pages 1-11.
    150. Lai, Shaojie & Li, Xiaorong & Chan, Kam C., 2021. "CEO overconfidence and labor investment efficiency," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    151. Li, Si & Perez, M. Fabricio, 2021. "The evolution of pay premiums for managerial attributes," Journal of Corporate Finance, Elsevier, vol. 69(C).
    152. Ferreira, Daniel & Athanasakou, Vasiliki & Goh, Lisa, 2017. "Changes in CEO Stock Option Grants: A Look at the Numbers," CEPR Discussion Papers 12318, C.E.P.R. Discussion Papers.
    153. Malmendier, Ulrike M. & Pezone, Vincenzo & Zheng, Hui, 2020. "Managerial Duties and Managerial Biases," CEPR Discussion Papers 14929, C.E.P.R. Discussion Papers.
    154. Wang, Ye & Yin, Sirui, 2018. "CEO educational background and acquisition targets selection," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 238-259.
    155. Pham, Mia Hang, 2020. "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, vol. 50(C).
    156. Damiano B. Silipo & Giovanni Verga & Sviatlana Hlebik, 2023. "Managerial Beliefs and Banking Behavior," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(3), pages 401-431, December.
    157. Zhao, Lei & Li, Na & Wu, Yanjun, 2023. "Institutional investors' site visits, information asymmetry, and investment efficiency," International Review of Financial Analysis, Elsevier, vol. 88(C).
    158. Kim, Taeyeon & Kim, Hyun-Dong & Park, Kwangwoo, 2023. "Agency costs of customer concentration," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 533-558.
    159. Chen, Yangyang & Podolski, Edward J. & Veeraraghavan, Madhu, 2015. "Does managerial ability facilitate corporate innovative success?," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 313-326.
    160. Banerjee, Suman & Dai, Lili & Humphery-Jenner, Mark & Nanda, Vikram, 2020. "Governance, board inattention, and the appointment of overconfident CEOs," Journal of Banking & Finance, Elsevier, vol. 113(C).
    161. Tseng, Chih-Yang & Demirkan, Sebahattin, 2021. "Joint effect of CEO overconfidence and corporate social responsibility discretion on cost of equity capital," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(1).
    162. Hossain, Md Noman & Rabarison, Monika K. & Ater, Brandon & Sobngwi, Christian K., 2023. "CEO marital status and dividend policy," Journal of Corporate Finance, Elsevier, vol. 78(C).
    163. Malmendier, Ulrike M. & Guenzel, Marius, 2020. "Behavioral Corporate Finance: The Life Cycle of a CEO Career," CEPR Discussion Papers 15103, C.E.P.R. Discussion Papers.
    164. Kaveh Moghaddam & Thomas Weber & Pouya Seifzadeh & Sara Azarpanah, 2021. "Internal Reputation of the Firm: CEO Retention and Firm Market Performance," Corporate Reputation Review, Palgrave Macmillan, vol. 24(4), pages 205-221, November.
    165. Hwang, Yunji & Hun Han, Seung, 2022. "Terrorist attacks, CEO overconfidence, and CEO compensation," Finance Research Letters, Elsevier, vol. 46(PA).
    166. Lin Li & Wilson H S Tong, 2022. "Who shall succeed? An examination of manager overconfidence and CEO selection," Post-Print hal-03861065, HAL.
    167. Pikulina, E.S. & Renneboog, Luc & Tobler, P.N., 2018. "Do confident individuals generally work harder?," Other publications TiSEM 03156258-e14b-4a7e-abdb-7, Tilburg University, School of Economics and Management.
    168. Murad Antia & Christos Pantzalis & Jung Chul Park, 2021. "Does CEO myopia impede growth opportunities?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1503-1535, May.
    169. Lailah Fujianti, 2018. "Top Management Characteristics and Company Performance: An Empirical Analysis on Public Companies Listed in the Indonesian Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 62-76.
    170. Bharati, Rakesh & Doellman, Thomas & Fu, Xudong, 2016. "CEO confidence and stock returns," Journal of Contemporary Accounting and Economics, Elsevier, vol. 12(1), pages 89-110.
    171. Audrey Hsu & Cheng-Few Lee & Sophia Liu, 2022. "Book-tax differences, CEO overconfidence, and bank loan contracting," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 437-472, February.
    172. Joon Mahn Lee & Jung Chul Park & Guoli Chen, 2023. "A cognitive perspective on real options investment: CEO overconfidence," Strategic Management Journal, Wiley Blackwell, vol. 44(4), pages 1084-1110, April.
    173. Lin, Chih-Yung & Chen, Yehning & Ho, Po-Hsin & Yen, Ju-Fang, 2020. "CEO overconfidence and bank loan contracting," Journal of Corporate Finance, Elsevier, vol. 64(C).
    174. Dutta, Dev K. & Malhotra, Shavin & Zhu, PengCheng, 2016. "Internationalization process, impact of slack resources, and role of the CEO: The duality of structure and agency in evolution of cross-border acquisition decisions," Journal of World Business, Elsevier, vol. 51(2), pages 212-225.
    175. Ying-Jiuan Wong & Chi-Feng Wang, 2018. "Is an overconfident CEO good for advertising investments?," Australian Journal of Management, Australian School of Business, vol. 43(3), pages 439-455, August.
    176. Martin Koudstaal & Randolph Sloof & Mirjam van Praag, 2015. "Are Entrepreneurs more Optimistic and Overconfident than Managers and Employees?," Tinbergen Institute Discussion Papers 15-124/VII, Tinbergen Institute.
    177. Kwon, Sewon & Ahn, Jae Hwan & Kim, Gi H., 2021. "The impact of shareholder intervention on overinvestment of free cash flow by overconfident CEOs," International Review of Financial Analysis, Elsevier, vol. 75(C).
    178. Mike Eom & Mookwon Jung & Jung Chul Park, 2023. "Are overconfident CEOs better able to transform innovation into firm value?—Evidence from the United States," International Finance, Wiley Blackwell, vol. 26(2), pages 241-258, August.
    179. Irina Skvortsova & Anna Vershinina, 2021. "Do Cognitive Biases Impact M&A Performance in Emerging Markets? Evidence from Russian Firms," HSE Working papers WP BRP 82/FE/2021, National Research University Higher School of Economics.
    180. Altanlar, Ali & Amini, Shima & Holmes, Phil & Eshraghi, Arman, 2023. "Opportunism, overconfidence and irrationality: A puzzling triad," International Review of Financial Analysis, Elsevier, vol. 88(C).
    181. Shokrollah Khajavi & Golamreza Dehghani, 2016. "Board Characteristics and Managerial Overconfidence in an Emerging Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 529-537.
    182. Pikulina, Elena & Renneboog, Luc & Tobler, Philippe N., 2018. "Do confident individuals generally work harder?," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 51-60.
    183. Lin, Tse-Chun & Pursiainen, Vesa, 2023. "Gender differences in reward-based crowdfunding," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    184. Rashid Zaman & Nader Atawnah & Muhammad Nadeem & Stephen Bahadar & Irfan Haider Shakri, 2022. "Do liquid assets lure managers? Evidence from corporate misconduct," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1425-1453, July.
    185. Kim, Jonghwan (Simon) & Jeon, Heung-Jae & Kim, Grace Goun, 2022. "Overconfidence or competence? Your employees know," Economics Letters, Elsevier, vol. 216(C).
    186. Hwang, Hyoseok (David) & Kim, Hyun-Dong & Kim, Taeyeon, 2020. "The blind power: Power-led CEO overconfidence and M&A decision making," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    187. Humphery-Jenner, Mark & Lisic, Ling Lei & Nanda, Vikram & Silveri, Sabatino Dino, 2016. "Executive overconfidence and compensation structure," Journal of Financial Economics, Elsevier, vol. 119(3), pages 533-558.
    188. Juwon Jang & Eunju Lee, 2024. "CEO confidence matters: the real effects of short sale constraints revisited," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 603-636, February.
    189. Felipe Cortes & Francisco Marcet, 2023. "Analysts’ Connections and M&A Outcomes," Management Science, INFORMS, vol. 69(7), pages 4108-4133, July.
    190. Shi Chen & Jyh-Horng Lin & Wenyu Yao & Fu-Wei Huang, 2019. "CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets," Risks, MDPI, vol. 7(1), pages 1-25, March.
    191. Kesen Zhang & Zhen Pan & Mukund Janardhanan, 2022. "Relationship between the Degree of Internationalization and Greenwashing of Environmental Responsibilities in China-Based on the Legitimacy Perspective," Sustainability, MDPI, vol. 14(5), pages 1-26, February.
    192. Jennifer Kunz & Lara Sonnenholzner, 2023. "Managerial overconfidence: promoter of or obstacle to organizational resilience?," Review of Managerial Science, Springer, vol. 17(1), pages 67-128, January.
    193. Jenna J. Burke, 2022. "Do Boards Take Environmental, Social, and Governance Issues Seriously? Evidence from Media Coverage and CEO Dismissals," Journal of Business Ethics, Springer, vol. 176(4), pages 647-671, April.
    194. Winifred Huang-Meier & Neophytos Lambertides & James M. Steeley, 2016. "Motives for corporate cash holdings: the CEO optimism effect," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 699-732, October.
    195. Chen, Jie & Leung, Woon Sau & Evans, Kevin P., 2016. "Are employee-friendly workplaces conducive to innovation?," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 61-79.
    196. Mahmoud Hijjawi & Chyi Lin Lee & Jufri Marzuki, 2021. "CEO Overconfidence and Corporate Governance in Affecting Australian Listed Construction and Property Firms’ Trading Activity," Sustainability, MDPI, vol. 13(19), pages 1-15, September.
    197. Katalin Takacs Haynes & Michael A. Hitt & Joanna Tochman Campbell, 2015. "The Dark Side of Leadership: Towards a Mid-Range Theory of Hubris and Greed in Entrepreneurial Contexts," Journal of Management Studies, Wiley Blackwell, vol. 52(4), pages 479-505, June.
    198. Wang, Jian & Wang, Xiaoting & Zhuang, Xintian & Yang, Jun, 2017. "Optimism bias, portfolio delegation, and economic welfare," Economics Letters, Elsevier, vol. 150(C), pages 111-113.
    199. Chen, Po-Jung & Hsu, Ching-Yu, 2022. "CEO optimism, CEO selection, compensation, and corporate investment decision: The case of CEOs who were rehired as CEOs by another firms after turnover," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    200. Kenneth Yung & Xiang Long, 2022. "CEO overconfidence and the adjustment speed of leverage and cash: evidence on cash is not the same as negative debt," Empirical Economics, Springer, vol. 63(2), pages 1081-1108, August.
    201. Jieqi Guan & Brian M. Lam & Ching Chi Lam & Ming Liu, 2022. "CEO overconfidence and the level of short-selling activity," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 685-708, February.
    202. Hiep Ngoc Luu & Lan Thi Mai Nguyen & Kieu Trang Vu & Loan Quynh Thi Nguyen, 2023. "The impact of organizational culture on bank stability," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 501-533, August.
    203. Chen, Sheng-Syan & Lin, Chih-Yen & Tsai, Yun-Ching, 2018. "New product strategies and firm performance: CEO optimism," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 37-53.
    204. Al Mamun, Md & Balachandran, Balasingham & Duong, Huu Nhan, 2020. "Powerful CEOs and stock price crash risk," Journal of Corporate Finance, Elsevier, vol. 62(C).
    205. Sanaz Aghazadeh & Lili Sun & Qian Wang & Rong Yang, 2018. "Investors’ perception of CEO overconfidence: evidence from the cost of equity capital," Review of Quantitative Finance and Accounting, Springer, vol. 51(4), pages 1129-1150, November.
    206. Zhang, Chengsi & Sun, Yuchen & Tang, Di, 2019. "Whose confidence matters in Chinese monetary policy?," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 188-202.
    207. Tosun, Onur Kemel & El Kalak, Izidin & Hudson, Robert, 2022. "How female directors help firms to attain optimal cash holdings," International Review of Financial Analysis, Elsevier, vol. 80(C).
    208. Huang, Shu-Chun & Chen, Wei-Da & Chen, Yehning, 2018. "Bank liquidity creation and CEO optimism," Journal of Financial Intermediation, Elsevier, vol. 36(C), pages 101-117.
    209. Dai, Yunhao & Rau, P. Raghavendra & Stouraitis, Aris & Tan, Weiqiang, 2020. "An ill wind? Terrorist attacks and CEO compensation," Journal of Financial Economics, Elsevier, vol. 135(2), pages 379-398.
    210. Lim, King Yoong & Morris, Diego, 2023. "Business optimism and the innovation-profitability nexus: Introducing the COVID-19 adaptable capacity framework," Research Policy, Elsevier, vol. 52(1).
    211. Arikan, Mazhar & Kara, Mehmet & Masli, Adi & Xi, Yaoyi, 2023. "Political euphoria and corporate disclosures: An investigation of CEO partisan alignment with the president of the United States," Journal of Accounting and Economics, Elsevier, vol. 75(2).
    212. Kenneth Yung & DeQing Diane Li & Qian Susan Sun, 2015. "CEO overconfidence and financial policies of real estate investment trusts (REITs)," Journal of Property Research, Taylor & Francis Journals, vol. 32(4), pages 384-406, December.
    213. David H. Weng & Yasuhiro Yamakawa, 2023. "I believe I can fly: how target venture CEO overconfidence affects acquisition completion," Small Business Economics, Springer, vol. 61(1), pages 127-151, June.

  10. Michael Gallmeyer & Burton Hollifield, 2008. "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, vol. 12(2), pages 323-364.

    Cited by:

    1. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
    2. Jarrow, Robert & Lamichhane, Sujan, 2022. "Risk premia, asset price bubbles, and monetary policy," Journal of Financial Stability, Elsevier, vol. 60(C).
    3. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
    4. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    5. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    6. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    7. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    8. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
    9. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    10. Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015. "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
    11. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
    12. Boehmer, Ekkehart & Huszar, Zsuzsa R. & Jordan, Bradford D., 2010. "The good news in short interest," Journal of Financial Economics, Elsevier, vol. 96(1), pages 80-97, April.
    13. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    14. Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020. "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, vol. 52(C).
    15. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
    16. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    17. Stavros Panageas, 2010. "Optimal retirement benefit guarantees," NBER Working Papers 15805, National Bureau of Economic Research, Inc.
    18. Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
    19. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    20. Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
    21. Stephen L. Lenkey, 2021. "Informed Trading with a Short-Sale Prohibition," Management Science, INFORMS, vol. 67(3), pages 1803-1824, March.
    22. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.
    23. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    24. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
    25. Anufriev, M. & Tuinstra, J., 2013. "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," CeNDEF Working Papers 13-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    26. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
    27. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
    28. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    29. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    30. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
    31. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    32. Wang, Lanfang & Wang, Susheng, 2021. "Unusual investor behavior under tacit and endogenous market signals," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 76-97.
    33. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
    34. Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
    35. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 283-314, June.
    36. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
    37. Kristoffer Nimark, 2009. "Speculative dynamics in the term structure of interest rates," Economics Working Papers 1194, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2012.
    38. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
    39. Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
    40. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    41. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
    42. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    43. Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
    44. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    45. Lim, Bryan Y., 2011. "Short-sale constraints and price bubbles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2443-2453, September.
    46. Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).
    47. Min Shen & Gabriel Turinici, 2012. "Liquidity generated by heterogeneous beliefs and costly estimations," Post-Print hal-00638966, HAL.

  11. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
    See citations under working paper version above.
  12. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.

    Cited by:

    1. Claudio Campanale & Carolina Fugazza & Francisco Gomes, 2012. "Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets," Carlo Alberto Notebooks 269, Collegio Carlo Alberto.
    2. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
    3. Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013. "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2217-2240.
    4. Gomes, Francisco & Fugazza, Carolina & Campanale, Claudio, 2015. "Life-Cycle Portfolio choice with Liquid and Illiquid Assets," CEPR Discussion Papers 10369, C.E.P.R. Discussion Papers.
    5. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
    6. Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
    7. Lin, Tsai-Yu & Chen, Cathy W.S. & Syu, Fong-Yi, 2021. "Multi-asset pair-trading strategy: A statistical learning approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    8. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
    9. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
    10. Marekwica, Marcel & Schaefer, Alexander & Sebastian, Steffen, 2013. "Life cycle asset allocation in the presence of housing and tax-deferred investing," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1110-1125.
    11. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
    12. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
    13. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
    14. Michaelides, Alexander & Gomes, Francisco & ,, 2005. "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," CEPR Discussion Papers 4852, C.E.P.R. Discussion Papers.
    15. Min Dai & Yipeng Jiang & Hong Liu & Jing Xu, 2023. "A Rational Theory for Disposition Effects," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 131-157, January.
    16. Rainer Niemann & Mariana Sailer, 2023. "Is analytical tax research alive and kicking? Insights from 2000 until 2022," Journal of Business Economics, Springer, vol. 93(6), pages 1149-1212, August.
    17. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
    18. Baojun Bian & Xinfu Chen & Min Dai & Shuaijie Qian, 2021. "Penalty method for portfolio selection with capital gains tax," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1013-1055, July.
    19. Martin Haugh & Garud Iyengar & Chun Wang, 2016. "Tax-Aware Dynamic Asset Allocation," Operations Research, INFORMS, vol. 64(4), pages 849-866, August.
    20. Jiatu Cai & Xinfu Chen & Min Dai, 2018. "Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching," Management Science, INFORMS, vol. 64(5), pages 2308-2324, May.

  13. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
    See citations under working paper version above.
  14. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
    See citations under working paper version above.
  15. Suleyman Basak & Michael Gallmeyer, 2003. "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, vol. 7(2), pages 121-159.
    See citations under working paper version above.
  16. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.
    See citations under working paper version above.
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