Stefan Nagel

University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: University of Chicago

NBER Working Papers and Publications

June 2020Treasury Inconvenience Yields during the COVID-19 Crisis
with Zhiguo He, Zhaogang Song: w27416
December 2019Market Efficiency in the Age of Big Data
with Ian Martin: w26586
September 2019Asset Pricing with Fading Memory
with Zhengyang Xu: w26255
May 2019Bank 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 2018Do 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 2017Shrinking 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 2017The Making of Hawks and Doves: Inflation Experiences on the FOMC
with Ulrike Malmendier, Zhen Yan: w23228
April 2016Who 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 2014The 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 2013Interpreting 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 2012Empirical 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 2012Sizing Up Repo
with Arvind Krishnamurthy, Dmitry Orlov: w17768

Sizing Up Repo,” Journal of Finance, forthcoming. citation courtesy of

December 2011Evaporating 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 2010Estimation 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 2009Carry 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 2009Depression 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 2008Carry Trades and Currency Crashes
with Markus K. Brunnermeier, Lasse H. Pedersen: w14473
June 2008Inexperienced 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 2006Do 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 2006A 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 2006The 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 2003The 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

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