Stefan Nagel

• Admissions
• Faculty & Research
• Alumni |
• Recruiters & Companies |
• News |
• About the GSB

• Curriculum Vitae
• Research
• Data
• Courses
• Contact

Research

Working Papers

• Sizing Up Repo
  (with Arvind Krishnamurthy and Dmitry Orlov), revised January 2012
• Learning from Inflation Experiences
  (with Ulrike Malmendier), revised October 2011.

Articles

• Evaporating Liquidity [Online Appendix]
  Review of Financial Studies, forthcoming.
• Estimation and Evaluation of Conditional Asset Pricing Models [Online Appendix]
  (with Ken Singleton) Journal of Finance, June 2011.
• Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? [Online Appendix]
  (with Ulrike Malmendier), Quarterly Journal of Economics, February 2011. 
  [Economist 1/8/2009] [Financial Times 1/31/2009] [New York Times 1/31/2009]
• A Skeptical Appraisal of Asset Pricing Tests (with Jonathan Lewellen and Jay Shanken),
  Journal of Financial Economics, May 2010.
  Winner of the Fama/DFA prize (second prize) for the best paper (asset pricing) in the JFE in 2010  
• Inexperienced Investors and Bubbles (with Robin Greenwood)
  Journal of Financial Economics, August 2009. [New York Times 7/4/2008]
• Carry Trades and Currency Crashes (with Markus Brunnermeier and Lasse Pedersen),
  NBER Macroeconomics Annual 2008.
• Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
  (with Markus Brunnermeier), American Economic Review, June 2008.
• The Effect of Dividends on Consumption (with Malcolm Baker and Jeffrey Wurgler),
  Brookings Papers on Economic Activity, Spring 2007. 
• The Conditional CAPM Does Not Explain Asset Pricing Anomalies (with Jonathan Lewellen), 
  Journal of Financial Economics, November 2006.
  Winner of the Fama/DFA prize for the best paper (asset pricing) in the JFE in 2006
• Short Sales, Institutional Investors, and the Cross-Section of Stock Returns, 
  Journal of Financial Economics, November 2005.
• Hedge Funds and the Technology Bubble (with Markus Brunnermeier), 
  Journal of Finance, October 2004. [New York Times 4/28/2005] [Die Zeit 5/25/2005]
  Winner of the Smith-Breeden Prize for the best paper in the Journal of Finance 2004
• Capturing the Value Premium in the UK (with Elroy Dimson and Garrett Quigley), 
  Financial Analysts Journal, Nov/Dec 2003. [link to data]

Published Comments and Discussions

• Comments on “Shifting Confidence in Home Ownership: The Great Recession” by Anat Bracha and Julian C. Jamison
  Federal Reserve Bank of Boston Conference on the Long-Term Effects of the Great Recession, October 2011

Book Chapters

• Seeking Out Investment Value in Styles (with Elroy Dimson), in: Mastering Investment, FT Pitman Publishing, 2002, and Financial Times, March 2001. 
  

Older Unpublished Papers

• Trading Styles and Trading Volume, revised August 2005.

• Back to Top