Selected Bibliography for Stefan Nagel

Fama Family Distinguished Service Professor of Finance
Home page of Stefan Nagel
Stefan Nagel author profile at Scopus

Published Works

"Market Efficiency in the Age of Big Data." Ian W. R. Martin and Stefan Nagel; Journal of Financial Economics, 2022, 145(1), pp. 154-77.

"Asset Pricing with Fading Memory." Stefan Nagel and Zhengyang Xu; The Review of Financial Studies, 2022, 35(5), pp. 2190-245.

"Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock." Jeffrey L. Hoopes, Patrick Langetieg, Stefan Nagel, Daniel Reck, Joel Slemrod and Bryan A. Stuart; The Economic Journal, 2022, 132(641), pp. 299-325.

"Treasury Inconvenience Yields During the COVID-19 Crisis." Zhiguo He, Stefan Nagel and Zhaogang Song; Journal of Financial Economics, 2022, 143(1), pp. 57-79.

"Review Article: Perspectives on the Future of Asset Pricing." Markus Brunnermeier, Emmanuel Farhi, Ralph S. J. Koijen, Arvind Krishnamurthy, Sydney C. Ludvigson, Hanno Lustig, Stefan Nagel and Monika Piazzesi; The Review of Financial Studies, 2021, 34(4), pp. 2126-60.

"The Making of Hawks and Doves." Ulrike Malmendier, Stefan Nagel and Zhen Yan; Journal of Monetary Economics, 2021, 117, pp. 19-42.

"Banks’ Risk Dynamics and Distance to Default." Stefan Nagel and Amiyatosh Purnanandam; The Review of Financial Studies, 2020, 33(6), pp. 2421-67.

"Shrinking the Cross-Section." Serhiy Kozak, Stefan Nagel and Shrihari Santosh; Journal of Financial Economics, 2020, 135(2), pp. 271-92.

"Socioeconomic Status and Macroeconomic Expectations." Sreyoshi Das, Camelia M. Kuhnen and Stefan Nagel; The Review of Financial Studies, 2020, 33(1), pp. 395-432.

"Interpreting Factor Models." Serhiy Kozak, Stefan Nagel and Shrihari Santosh; The Journal of Finance, 2018, 73(3), pp. 1183-223.

"Ecb Policies Involving Government Bond Purchases: Impact and Channels*." Arvind Krishnamurthy, Stefan Nagel and Annette Vissing-Jorgensen; Review of Finance, 2018, 22(1), pp. 1-44.

"The Liquidity Premium of near-Money Assets." Stefan Nagel; Quarterly Journal of Economics, 2016, 131(4), pp. 1927-71.

"Risk-Adjusting the Returns to Venture Capital." Arthur Korteweg and Stefan Nagel; Journal of Finance, 2016, 71(3), pp. 1437-70.

"Long-Run Inflation Uncertainty." Stefan Nagel; International Journal of Central Banking, 2016, 12(3), pp. 207-18.

"Comment on Learning from Potentially Biased Statistics." Stefan Nagel; Brookings Papers on Economic Activity, 2016, (Spring), pp. 93-98.

"Learning from Inflation Experiences." Ulrike Malmendier and Stefan Nagel; Quarterly Journal of Economics, 2016, 131(1), pp. 53-87.

"Sizing up Repo." Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov; Journal of Finance, 2014, 69(6), pp. 2381-417.

"Empirical Cross-Sectional Asset Pricing." Stefan Nagel; Annual Review of Financial Economics, 2013, 5, pp. 167-99.

"Shifting Confidence in Homeownership: The Great Recession: Comment." Stefan Nagel; B.E. Journal of Macroeconomics, 2012, 12(3).

"Evaporating Liquidity." Stefan Nagel; Review of Financial Studies, 2012, 25(7), pp. 2005-39.

"Estimation and Evaluation of Conditional Asset Pricing Models." Stefan Nagel and Kenneth J. Singleton; Journal of Finance, 2011, 66(3), pp. 873-909.

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

"A Skeptical Appraisal of Asset Pricing Tests." Jonathan Lewellen, Stefan Nagel and Jay Shanken; Journal of Financial Economics, 2010, 96(2), pp. 175-94.

"Inexperienced Investors and Bubbles." Robin Greenwood and Stefan Nagel; Journal of Financial Economics, 2009, 93(2), pp. 239-58.

"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.

"The Effect of Dividends on Consumption." Malcolm Baker, Stefan Nagel and Jeffrey Wurgler; Brookings Papers on Economic Activity, 2007, (Spring), pp. 231-76.

"The Conditional Capm Does Not Explain Asset-Pricing Anomalies." Jonathan Lewellen and Stefan Nagel; Journal of Financial Economics, 2006, 82(2), pp. 289-314.

"Short Sales, Institutional Investors and the Cross-Section of Stock Returns." Stefan Nagel; Journal of Financial Economics, 2005, 78(2), pp. 277-309.

"Hedge Funds and the Technology Bubble." Markus K. Brunnermeier and Stefan Nagel; Journal of Finance, 2004, 59(5), pp. 2013-40.

Limited Arbitrage in Equity Markets Stefan Nagel; Ph.D Dissertation, University of London, 2003.

"The Effect of Intergroup Competition on Group Coordination: An Experimental Study." Gary Bornstein, Uri Gneezy and Rosmarie Nagel; Games and Economic Behavior, 2002, 41(1), pp. 1-25.