University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637
NBER Program Affiliations:
NBER Affiliation: Research Associate
Institutional Affiliation: University of Chicago
Information about this author at RePEc
NBER Working Papers and Publications
|December 2019||Market Efficiency in the Age of Big Data|
with Ian Martin: w26586
|September 2019||Asset Pricing with Fading Memory|
with Zhengyang Xu: w26255
|May 2019||Bank Risk Dynamics and Distance to Default|
with Amiyatosh Purnanandam: w25807
Published: Stefan Nagel & Amiyatosh Purnanandam & Itay Goldstein, 2020. "Banks’ Risk Dynamics and Distance to Default," The Review of Financial Studies, vol 33(6), pages 2421-2467.
|October 2018||Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?|
with Klaus Adam, Dmitry Matveev: w25122
Published: Klaus Adam & Dmitry Matveev & Stefan Nagel, 2020. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Journal of Monetary Economics, .
|November 2017||Shrinking the Cross Section|
with Serhiy Kozak, Shrihari Santosh: w24070
Published: Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2019. "Shrinking the Cross-Section," Journal of Financial Economics, . citation courtesy of
|Socioeconomic Status and Macroeconomic Expectations|
with Sreyoshi Das, Camelia M. Kuhnen: w24045
Published: Sreyoshi Das & Camelia M Kuhnen & Stefan Nagel, 2020. "Socioeconomic Status and Macroeconomic Expectations," The Review of Financial Studies, vol 33(1), pages 395-432. citation courtesy of
|ECB Policies Involving Government Bond Purchases: Impact and Channels|
with Arvind Krishnamurthy, Annette Vissing-Jorgensen: w23985
Published: Arvind Krishnamurthy & Stefan Nagel & Annette Vissing-Jorgensen, 2018. "ECB Policies Involving Government Bond Purchases: Impact and Channels*," Review of Finance, vol 22(1), pages 1-44.
|March 2017||The Making of Hawks and Doves: Inflation Experiences on the FOMC|
with Ulrike Malmendier, Zhen Yan: w23228
|April 2016||Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock|
with Jeffrey Hoopes, Patrick Langetieg, Daniel Reck, Joel Slemrod, Bryan Stuart: w22209
|June 2014||The Liquidity Premium of Near-Money Assets|
Published: Stefan Nagel, 2016. "The Liquidity Premium of Near-Money Assets," The Quarterly Journal of Economics, Oxford University Press, vol. 131(4), pages 1927-1971. citation courtesy of
|August 2013||Interpreting Repo Statistics in the Flow of Funds Accounts|
with Arvind Krishnamurthy: w19389
Published: Sizing Up Repo Authors ARVIND KRISHNAMURTHY, STEFAN NAGEL, Volume 69, Issue 6 December 2014 Pages 2381–2417
|Risk-Adjusting the Returns to Venture Capital|
with Arthur Korteweg: w19347
Published: “Risk-Adjusting the Returns to Venture Capital” (with Arthur Korteweg), Journal of Finance, Volume 71, Issue 3 June 2016 Pages 1437–1470 citation courtesy of
|November 2012||Empirical Cross-Sectional Asset Pricing|
Published: Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November. citation courtesy of
|January 2012||Sizing Up Repo|
with Arvind Krishnamurthy, Dmitry Orlov: w17768
“Sizing Up Repo,” Journal of Finance, forthcoming. citation courtesy of
|December 2011||Evaporating Liquidity|
Published: Stefan Nagel, 2012. "Evaporating Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039. citation courtesy of
|October 2010||Estimation and Evaluation of Conditional Asset Pricing Models|
with Kenneth J. Singleton: w16457
Published: Stefan Nagel & Kenneth J. Singleton, 2011. "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, vol. 66(3), pages 873-909, 06. citation courtesy of
|April 2009||Carry Trades and Currency Crashes|
with Markus K. Brunnermeier, Lasse H. Pedersen
in NBER Macroeconomics Annual 2008, Volume 23, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
|March 2009||Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?|
with Ulrike Malmendier: w14813
Published: Ulrike Malmendier & Stefan Nagel, 2011. "Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?," The Quarterly Journal of Economics, Oxford University Press, vol. 126(1), pages 373-416. citation courtesy of
|November 2008||Carry Trades and Currency Crashes|
with Markus K. Brunnermeier, Lasse H. Pedersen: w14473
|June 2008||Inexperienced Investors and Bubbles|
with Robin Greenwood: w14111
Published: Greenwood, Robin & Nagel, Stefan, 2009.
"Inexperienced investors and bubbles,"
Journal of Financial Economics,
Elsevier, vol. 93(2), pages 239-258, August.
citation courtesy of
|December 2006||Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation|
with Markus K. Brunnermeier: w12809
Published: Brunnermeier, Markus K. and Stefan Nagel. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals." American Economic Review 98, 3 (2008): 713-736.
|July 2006||A Skeptical Appraisal of Asset-Pricing Tests|
with Jonathan Lewellen, Jay Shanken: w12360
Published: Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010.
"A skeptical appraisal of asset pricing tests,"
Journal of Financial Economics,
Elsevier, vol. 96(2), pages 175-194, May.
citation courtesy of
|June 2006||The Effect of Dividends on Consumption|
with Malcolm Baker, Jeffrey Wurgler: w12288
Published: Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007. "The Effect of Dividends on Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2007-1), pages 231-292. citation courtesy of
|September 2003||The Conditional CAPM does not Explain Asset-Pricing Anamolies|
with Jonathan Lewellen: w9974
Published: Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November. citation courtesy of