Selected Bibliography for Stefan Nagel

Fama Family Professor of Finance

Home page of Stefan Nagel

Published Works

"The Liquidity Premium of near-Money Assets." Stefan Nagel; Quarterly Journal of Economics, 2016, 131(4), pp. 1927-71.
http://dx.doi.org/10.1093/qje/qjw028

"Risk-Adjusting the Returns to Venture Capital." Arthur Korteweg and Stefan Nagel; Journal of Finance, 2016, 71(3), pp. 1437-70. http://dx.doi.org/10.1111/jofi.12390

"Long-Run Inflation Uncertainty." Stefan Nagel; International Journal of Central Banking, 2016, 12(3), pp. 207-18. http://www.ijcb.org/journal/ijcb16q3a5.htm

"Comment on Learning from Potentially Biased Statistics." Stefan Nagel; Brookings Papers on Economic Activity, 2016, (Spring), pp. 93-98. http://dx.doi.org/10.1353/eca.2016.0021

"Learning from Inflation Experiences." Ulrike Malmendier and Stefan Nagel; Quarterly Journal of Economics, 2016, 131(1), pp. 53-87. https://doi.org/10.1093/qje/qjv037

"Sizing up Repo." Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov; Journal of Finance, 2014, 69(6), pp. 2381-417. http://dx.doi.org/10.1111/jofi.12168

"Empirical Cross-Sectional Asset Pricing." Stefan Nagel; Annual Review of Financial Economics, 2013, 5, pp. 167-99. https://doi.org/10.1146/annurev-financial-110112-121009

"Shifting Confidence in Homeownership: The Great Recession: Comment." Stefan Nagel; B.E. Journal of Macroeconomics, 2012, 12(3). https://doi.org/10.1515/1935-1690.105

"Evaporating Liquidity." Stefan Nagel; Review of Financial Studies, 2012, 25(7), pp. 2005-39. https://doi.org/10.1093/rfs/hhs066

"Estimation and Evaluation of Conditional Asset Pricing Models." Stefan Nagel and Kenneth J. Singleton; Journal of Finance, 2011, 66(3), pp. 873-909. http://dx.doi.org/10.1111/j.1540-6261.2011.01654.x

"Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?" Ulrike Malmendier and Stefan Nagel; Quarterly Journal of Economics, 2011, 126(1), pp. 373-416. https://doi.org/10.1093/qje/qjq004

"A Skeptical Appraisal of Asset Pricing Tests." Jonathan Lewellen, Stefan Nagel and Jay Shanken; Journal of Financial Economics, 2010, 96(2), pp. 175-94. http://dx.doi.org/10.1016/j.jfineco.2009.09.001

"Inexperienced Investors and Bubbles." Robin Greenwood and Stefan Nagel; Journal of Financial Economics, 2009, 93(2), pp. 239-58. http://dx.doi.org/10.1016/j.jfineco.2008.08.004

"Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation." Markus K. Brunnermeier and Stefan Nagel; American Economic Review, 2008, 98(3), pp. 713-36. http://dx.doi.org/10.1257/aer.98.3.713

"The Effect of Dividends on Consumption." Malcolm Baker, Stefan Nagel and Jeffrey Wurgler; Brookings Papers on Economic Activity, 2007, (Spring), pp. 231-76. http://dx.doi.org/10.1353/eca.2007.0010

"The Conditional CAPM Does Not Explain Asset-Pricing Anomalies." Jonathan Lewellen and Stefan Nagel; Journal of Financial Economics, 2006, 82(2), pp. 289-314. http://dx.doi.org/10.1016/j.jfineco.2005.05.012

"Short Sales, Institutional Investors and the Cross-Section of Stock Returns." Stefan Nagel; Journal of Financial Economics, 2005, 78(2), pp. 277-309. http://dx.doi.org/10.1016/j.jfineco.2004.08.008

"Hedge Funds and the Technology Bubble." Markus K. Brunnermeier and Stefan Nagel; Journal of Finance, 2004, 59(5), pp. 2013-40.http://dx.doi.org/10.1111/j.1540-6261.2004.00690.x

Limited Arbitrage in Equity Markets Stefan Nagel; Ph.D Dissertation, University of London, 2003.
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.406388