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Alexi Savov

Personal Details

First Name:Alexi
Middle Name:
Last Name:Savov
Suffix:
RePEc Short-ID:psa1271
[This author has chosen not to make the email address public]
http://pages.stern.nyu.edu/~asavov

Affiliation

Finance Department
Stern School of Business
New York University (NYU)

New York City, New York (United States)
http://w4.stern.nyu.edu/finance/

: (212) 998-0100

44 West Fourth Street, New York, NY 10012
RePEc:edi:fdnyuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016. "The Deposits Channel of Monetary Policy," NBER Working Papers 22152, National Bureau of Economic Research, Inc.
  2. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
  3. Alexi Savov & Alan Moreira, 2014. "The Macroeconomics of Shadow Banking," 2014 Meeting Papers 254, Society for Economic Dynamics.
  4. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.
  5. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2011-17, Department of Economics, University of Konstanz.

Articles

  1. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017. "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 132(4), pages 1819-1876.
  2. Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016. "Have financial markets become more informative?," Journal of Financial Economics, Elsevier, vol. 122(3), pages 625-654.
  3. Savov, Alexi, 2014. "The price of skill: Performance evaluation by households," Journal of Financial Economics, Elsevier, vol. 112(2), pages 213-231.
  4. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013. "The Puzzle of Index Option Returns," Review of Asset Pricing Studies, Oxford University Press, vol. 3(2), pages 229-257.
  5. Alexi Savov, 2011. "Asset Pricing with Garbage," Journal of Finance, American Finance Association, vol. 66(1), pages 177-201, February.

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. All that financial innovation has not lead to more transparency
      by Economic Logician in Economic Logic on 2014-01-15 21:39:00

Working papers

  1. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016. "The Deposits Channel of Monetary Policy," NBER Working Papers 22152, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ramona Busch & Christoph Memmel, 2017. "Banks’ Net Interest Margin and the Level of Interest Rates," Credit and Capital Markets, Credit and Capital Markets, vol. 50(3), pages 363-392.
    2. Mark Egan & Stefan Lewellen & Adi Sunderam, 2017. "The Cross Section of Bank Value," NBER Working Papers 23291, National Bureau of Economic Research, Inc.
    3. Matteo Benetton, 2017. "Lenders' Competition and Macro-prudential Regulation: A Model of the UK Mortgage Supermarket," 2017 Meeting Papers 1001, Society for Economic Dynamics.
    4. Altavilla, Carlo & Canova, Fabio & Ciccarelli, Matteo, 2016. "Mending the broken link: heterogeneous bank lending and monetary policy pass-through," Working Paper Series 1978, European Central Bank.
    5. Paula Bustos & Gabriel Garber & Jacopo Ponticelli, 2016. "Capital Allocation Across Sectors: Evidence from a Boom in Agriculture," Working Papers Series 414, Central Bank of Brazil, Research Department.
    6. Bratsiotis, George J., 2018. "Credit Risk, Excess Reserves and Monetary Policy: The Deposits Channel," EconStor Preprints 172770, ZBW - German National Library of Economics.
    7. Sotirios Kokas & Dmitri Vinogradov & Marios Zachariadis, 2018. "Which Banks Smooth and at What Price?," University of Cyprus Working Papers in Economics 01-2018, University of Cyprus Department of Economics.
    8. Robin Döttling, 2018. "Bank Capital Regulation in a Zero Interest Environment," Tinbergen Institute Discussion Papers 18-016/IV, Tinbergen Institute.
    9. Phil Molyneux & Rue Xie & John Thornton & Alessio Reghezza, 2017. "Did Negative Interest Rates Impact Bank Lending?," Working Papers 17002, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    10. Choi, Dong Boem & Choi, Hyun-Soo, 2016. "The effect of monetary policy on bank wholesale funding," Staff Reports 759, Federal Reserve Bank of New York, revised 01 Apr 2017.
    11. Jeremy C. Stein & Adi Sunderam, 2015. "Gradualism in Monetary Policy: A Time-Consistency Problem?," NBER Working Papers 21569, National Bureau of Economic Research, Inc.
    12. George J. Bratsiotis, 2018. "Credit Risk, Excess Reserves and Monetary Policy: The Deposits," Centre for Growth and Business Cycle Research Discussion Paper Series 236, Economics, The Univeristy of Manchester.

  2. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.

    Cited by:

    1. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016. "The Deposits Channel of Monetary Policy," NBER Working Papers 22152, National Bureau of Economic Research, Inc.
    2. Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015. "Phasing out the GSEs," 2015 Meeting Papers 977, Society for Economic Dynamics.
    3. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    4. Yulei Peng & Anastasia Zervou, 2014. "Monetary Policy Rules and the Equity Premium," Working Papers 20141115_001, Texas A&M University, Department of Economics.
    5. Markus K. Brunnermeier & Yuliy Sannikov, 2016. "The I Theory of Money," NBER Working Papers 22533, National Bureau of Economic Research, Inc.
    6. Andreas Neuhierl & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo Group Munich.
    7. Cycon, Lisa & Koetter, Michael, 2015. "Monetary Policy under the Microscope: Intra-bank Transmission of Asset Purchase Programs of the ECB," IWH Discussion Papers 9/2015, Halle Institute for Economic Research (IWH).
    8. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
    9. Brunnermeier, Markus K & Sannikov, Yuliy, 2016. "Macro, Money and Finance: A Continuous Time Approach," CEPR Discussion Papers 11329, C.E.P.R. Discussion Papers.
    10. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    11. Anders Vredin, 2015. "Inflation targeting and financial stability: providing policymakers with relevant information," BIS Working Papers 503, Bank for International Settlements.
    12. Chen, Minghua & Wu, Ji & Jeon, Bang Nam & Wang, Rui, 2017. "Monetary policy and bank risk-taking: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 31(C), pages 116-140.
    13. Gabriel Chodorow-Reich, "undated". "Effects of Unconventional Monetary Policy on Financial Institutions," Working Paper 156866, Harvard University OpenScholar.
    14. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    15. Alexi Savov & Alan Moreira, 2014. "The Macroeconomics of Shadow Banking," 2014 Meeting Papers 254, Society for Economic Dynamics.
    16. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
    17. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    18. Stefan Nagel, 2016. "The Liquidity Premium of Near-Money Assets," The Quarterly Journal of Economics, Oxford University Press, vol. 131(4), pages 1927-1971.

  3. Alexi Savov & Alan Moreira, 2014. "The Macroeconomics of Shadow Banking," 2014 Meeting Papers 254, Society for Economic Dynamics.

    Cited by:

    1. Grung Moe, Thorvald, 2015. "Shadow banking: policy challenges for central banks," Journal of Financial Perspectives, EY Global FS Institute, vol. 3(2), pages 31-42.
    2. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    3. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2015. "The Tail that Wags the Economy: Beliefs and Persistent Stagnation," NBER Working Papers 21719, National Bureau of Economic Research, Inc.
    4. Hanson, Samuel G. & Shleifer, Andrei & Stein, Jeremy C. & Vishny, Robert W., 2015. "Banks as patient fixed-income investors," Journal of Financial Economics, Elsevier, vol. 117(3), pages 449-469.
    5. Brunnermeier, Markus K & Sannikov, Yuliy, 2016. "Macro, Money and Finance: A Continuous Time Approach," CEPR Discussion Papers 11329, C.E.P.R. Discussion Papers.
    6. Fève, Patrick & Pierrard, Olivier, 2017. "Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective," TSE Working Papers 17-829, Toulouse School of Economics (TSE).
    7. Emmanuel Farhi & Matteo Maggiori, 2016. "A Model of the International Monetary System," NBER Working Papers 22295, National Bureau of Economic Research, Inc.
    8. Grochulski, Borys & Zhang, Yuzhe, 2015. "Optimal Liquidity Regulation With Shadow Banking," Working Paper 15-12, Federal Reserve Bank of Richmond, revised 15 Oct 2015.
    9. Antonio Bianco, 2015. "Shadow Banking, Relationship Banking, and the Economics of Depression," Working Papers 5/15, Sapienza University of Rome, DISS.
    10. Jochen Mierau & Mark Mink, 2016. "A descriptive model of banking and aggregate demand," DNB Working Papers 500, Netherlands Central Bank, Research Department.
    11. Giroud, Xavier & Mueller, Holger M, 2015. "Firm Leverage and Unemployment during the Great Recession," CEPR Discussion Papers 10539, C.E.P.R. Discussion Papers.
    12. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
    13. Bianco, Antonio, 2015. "Relationship Banking, Shadow Banking, and the Economics of Depression," MPRA Paper 65849, University Library of Munich, Germany.
    14. Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
    15. Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
    16. Adrian, Tobias, 2015. "Financial Stability Policies for Shadow Banking," CEPR Discussion Papers 10435, C.E.P.R. Discussion Papers.
    17. Stefan Arping, 2015. "Banks and Market Liquidity," Tinbergen Institute Discussion Papers 15-020/IV, Tinbergen Institute.
    18. Xavier Giroud & Holger M. Mueller, 2015. "Firm Leverage and Unemployment during the Great Recession," NBER Working Papers 21076, National Bureau of Economic Research, Inc.
    19. Gary B. Gorton, 2016. "The History and Economics of Safe Assets," NBER Working Papers 22210, National Bureau of Economic Research, Inc.

  4. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dessaint, Olivier & Foucault, Thierry & Frésard, Laurent & Matray, Adrien, 2016. "Ripple Effects of Noise on Corporate Investment," CEPR Discussion Papers 11081, C.E.P.R. Discussion Papers.
    2. Venky Venkateswaran & Hugo A. Hopenhayn & Joel David, 2014. "Information, Misallocation and Aggregate Productivity," 2014 Meeting Papers 526, Society for Economic Dynamics.
    3. Nicolae B. Gârleanu & Lasse H. Pedersen, 2015. "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers 21563, National Bureau of Economic Research, Inc.
    4. Kusnadi, Yuanto & Wei, K.C. John, 2017. "The equity-financing channel, the catering channel, and corporate investment: International evidence," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 236-252.
    5. Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-1438, April.
    6. Donaldson, Jason & Micheler, Eva, 2016. "Resaleable debt and systemic risk," LSE Research Online Documents on Economics 66042, London School of Economics and Political Science, LSE Library.
    7. Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2/2018, Bank of Finland, Institute for Economies in Transition.
    8. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1, Bank of Finland.
    9. Briana Chang & Harrison Hong, 2017. "Assignment of Stock Market Coverage," NBER Working Papers 23115, National Bureau of Economic Research, Inc.
    10. Calcagno, Riccardo & Heider, Florian, 2016. "Liquidity, Information Aggregation, and Market-Based Pay in an Efficient Market," CEPR Discussion Papers 11298, C.E.P.R. Discussion Papers.
    11. Reto Cueni & Bruno S. Frey, 2014. "Forecasts and Reactivity," CREMA Working Paper Series 2014-10, Center for Research in Economics, Management and the Arts (CREMA).
    12. Giampaolo Gabbi & Elisa Ticci, 2014. "Implications of financialisation for sustainability," Working papers wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    13. Dugast, Jérôme & Foucault, Thierry, 2016. "Data Abundance and Asset Price Informativeness," CEPR Discussion Papers 11190, C.E.P.R. Discussion Papers.
    14. Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?," Working Papers in Economics 17/14, University of Canterbury, Department of Economics and Finance.
    15. Thomas Philippon, 2014. "Efficiency and Benefit-Cost Analysis of the Financial System," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 107-120.
    16. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    17. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
    18. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare
      [Some particularities of the financial variables evolution]
      ," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
    19. Ester Chen & Ilanit Gavious & Baruch Lev, 2017. "The positive externalities of IFRS R&D capitalization: enhanced voluntary disclosure," Review of Accounting Studies, Springer, vol. 22(2), pages 677-714, June.
    20. Peter Koudijs, 2013. "'Those Who Know Most': Insider Trading in 18th c. Amsterdam," NBER Working Papers 18845, National Bureau of Economic Research, Inc.
    21. Laura Veldkamp & Maryam Farboodi, 2016. "The Long-Run Evolution of the Financial Sector," 2016 Meeting Papers 530, Society for Economic Dynamics.
    22. Josef Falkinger, 2014. "In search of economic reality under the veil of financial markets," ECON - Working Papers 154, Department of Economics - University of Zurich.
    23. Savitar Sundaresan & Jaromir Nosal & Marcin Kacperczyk, 2017. "Market Power and Informational Efficiency," 2017 Meeting Papers 356, Society for Economic Dynamics.
    24. Edmans, Alex & Jayaraman, Sudarshan & Schneemeier, Jan, 2017. "The source of information in prices and investment-price sensitivity," Journal of Financial Economics, Elsevier, vol. 126(1), pages 74-96.
    25. Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2, Bank of Finland, Institute for Economies in Transition.

  5. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2011-17, Department of Economics, University of Konstanz.

    Cited by:

    1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    2. George Constantinides, 2012. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers 1197, Society for Economic Dynamics.
    3. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
    4. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
    5. Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
    6. Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco, 2015. "Implied volatility and the risk-free rate of return in options markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 1-26.
    7. Tafadzwa Mugwagwa & Vikash Ramiah & Imad Moosa, 2015. "The Profitability of Option-Based Contrarian Strategies: An Empirical Analysis," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 1-26, March.
    8. Hammad, Siddiqi, 2015. "Index Option Returns from an Anchoring Perspective," MPRA Paper 65331, University Library of Munich, Germany.
    9. Siddiqi, Hammad, 2014. "Anchoring Heuristic in Option Prices," MPRA Paper 66018, University Library of Munich, Germany, revised 15 Jul 2015.
    10. Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
    11. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
    12. Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
    13. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
    14. Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
    15. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
    16. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.

Articles

  1. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017. "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 132(4), pages 1819-1876.
    See citations under working paper version above.
  2. Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016. "Have financial markets become more informative?," Journal of Financial Economics, Elsevier, vol. 122(3), pages 625-654.
    See citations under working paper version above.
  3. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013. "The Puzzle of Index Option Returns," Review of Asset Pricing Studies, Oxford University Press, vol. 3(2), pages 229-257.
    See citations under working paper version above.
  4. Alexi Savov, 2011. "Asset Pricing with Garbage," Journal of Finance, American Finance Association, vol. 66(1), pages 177-201, February.

    Cited by:

    1. Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
    2. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
    3. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. Kroencke, Tim Alexander, 2014. "Asset Pricing without Garbage," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100476, Verein für Socialpolitik / German Economic Association.
    5. Engsted, Tom & Møller, Stig V., 2015. "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, vol. 132(C), pages 101-104.
    6. Huang-Meier, Winifred & Freeman, Mark C., 2015. "Aggregate dividends and consumption smoothing," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 324-335.
    7. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    8. Do, Linh Phuong Catherine & Lin, Kuan-Heng & Molnár, Peter, 2016. "Electricity consumption modelling: A case of Germany," Economic Modelling, Elsevier, vol. 55(C), pages 92-101.
    9. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute.
    10. Dittmar, Robert F. & Lundblad, Christian T., 2017. "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, vol. 125(2), pages 326-343.
    11. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2017. "Ultimate consumption risk and investment-based stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 473-486.
    12. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, "undated". "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers 11/23, Department of Economics, University of York.
    13. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
    14. Berg Cui & Yoosoon Chang & Joon Park, 2017. "Evaluating Consumption CAPM under Heterogeneous Preferences," Caepr Working Papers 2017-013 Classification-G, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    15. Faria, Adriano & Ornelas, Rafael & Almeida, Caio, 2016. "Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
    16. Alexander David & Pietro Veronesi, 2013. "What Ties Return Volatilities to Price Valuations and Fundamentals?," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 682-746.
    17. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
    18. Liu, Weimin & Luo, Di & Zhao, Huainan, 2016. "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 126-145.
    19. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    20. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
    21. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    22. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
    23. Zhang, Yuzhao, 2014. "Contrarian flows, consumption and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 101-111.
    24. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    25. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR).
    26. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.
    27. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).

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. Number of Journal Pages, Weighted by Recursive Impact Factor

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 8 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-MAC: Macroeconomics (5) 2013-12-15 2014-05-24 2014-08-02 2014-09-05 2016-04-16. Author is listed
  2. NEP-BAN: Banking (4) 2014-05-24 2014-08-02 2014-09-05 2016-04-16. Author is listed
  3. NEP-CBA: Central Banking (3) 2014-05-24 2014-08-02 2016-04-16. Author is listed
  4. NEP-FMK: Financial Markets (3) 2012-11-11 2012-12-22 2013-12-15. Author is listed
  5. NEP-MON: Monetary Economics (3) 2014-05-24 2014-08-02 2016-04-16. Author is listed
  6. NEP-DGE: Dynamic General Equilibrium (2) 2014-05-24 2014-09-05. Author is listed
  7. NEP-CFN: Corporate Finance (1) 2011-05-30
  8. NEP-FOR: Forecasting (1) 2013-12-15
  9. NEP-MIC: Microeconomics (1) 2011-05-30

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Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.