Andreas Neuhierl

Washington University in St. Louis - John M. Olin Business School

St. Louis, MO

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 4,951

SSRN RANKINGS

Top 4,951

in Total Papers Downloads

10,030

SSRN CITATIONS
Rank 3,192

SSRN RANKINGS

Top 3,192

in Total Papers Citations

349

CROSSREF CITATIONS

62

Scholarly Papers (13)

1.

Market Reaction to Corporate Press Releases

Number of pages: 58 Posted: 21 Feb 2010 Last Revised: 13 Nov 2011
Andreas Neuhierl, Anna Scherbina and Bernd Schlusche
Washington University in St. Louis - John M. Olin Business School, Brandeis University and Board of Governors of the Federal Reserve System
Downloads 3,133 (4,325)
Citation 10

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Corporate News, Event Study, Market Efficiency

2.
Downloads 1,706 ( 11,755)
Citation 56

Dissecting Characteristics Nonparametrically

Number of pages: 105 Posted: 11 Aug 2016 Last Revised: 05 Aug 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 1,141 (21,528)
Citation 1

Abstract:

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Cross Section of Returns, Anomalies, Expected Returns, Model Selection

Dissecting Characteristics Nonparametrically

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105 Posted: 20 Nov 2017 Last Revised: 27 Jul 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 182 (196,503)

Abstract:

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Cross Section of Returns, Anomalies, Expected Returns, Model Selection

Dissecting Characteristics Nonparametrically

CESifo Working Paper Series No. 6391
Number of pages: 68 Posted: 12 Apr 2017
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 156 (224,604)

Abstract:

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cross section of returns, anomalies, expected returns, model selection

Dissecting Characteristics Nonparametrically

CESifo Working Paper Series No. 7187
Number of pages: 107 Posted: 16 Oct 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 116 (283,509)
Citation 51

Abstract:

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cross section of returns, anomalies, expected returns, model selection

Dissecting Characteristics Nonparametrically

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-50
Number of pages: 106 Posted: 01 Aug 2018
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 83 (354,373)
Citation 2

Abstract:

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Cross Section of Returns, Anomalies, Expected Returns, Model Selection

Dissecting Characteristics Nonparametrically

NBER Working Paper No. w23227
Number of pages: 68 Posted: 19 Mar 2017
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 28 (574,182)

Abstract:

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3.

Data Snooping and Market-Timing Rule Performance

Number of pages: 52 Posted: 18 Feb 2009 Last Revised: 19 Jul 2013
Andreas Neuhierl and Bernd Schlusche
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 1,052 (24,718)
Citation 3

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Market Timing, Data Snooping, Multiple Testing, Reality Check, SPA Test, Stepwise Method

Monetary Policy Communication, Policy Slope, and the Stock Market

Chicago Booth Research Paper No. 17-16, Fama-Miller Working Paper
Number of pages: 89 Posted: 18 Mar 2016 Last Revised: 31 Jul 2019
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 361 (97,913)
Citation 5

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Policy Speeches, Macro News, Return Predictability, Expected Returns

Monetary Policy Slope and the Stock Market

Number of pages: 85 Posted: 10 Nov 2016 Last Revised: 20 Jan 2018
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 226 (160,564)
Citation 1

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Return Predictability, Policy Speeches, Expected Returns, Macro News

Monetary Policy and the Stock Market: Time-Series Evidence

CESifo Working Paper Series No. 6199
Number of pages: 89 Posted: 10 Jan 2017
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 136 (251,425)

Abstract:

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return predictability, policy speeches, expected returns, macro news

Monetary Policy and the Stock Market: Time-Series Evidence

NBER Working Paper No. w22831
Number of pages: 89 Posted: 14 Nov 2016
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 22 (615,617)

Abstract:

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5.
Downloads 698 ( 43,722)
Citation 1

Time Series Momentum around FOMC Meetings

Chicago Booth Research Paper No. 20-05, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-39
Number of pages: 50 Posted: 05 Sep 2017 Last Revised: 04 Feb 2021
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 372 (94,571)
Citation 2

Abstract:

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Return Drift, Monetary Policy, FOMC, Macro News

Monetary Momentum

CESifo Working Paper Series No. 6648
Number of pages: 57 Posted: 27 Sep 2017
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 314 (114,500)

Abstract:

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return drift, policy speeches, expected returns, macro news

Monetary Momentum

NBER Working Paper No. w24748
Number of pages: 59 Posted: 25 Jun 2018 Last Revised: 14 Feb 2021
Andreas Neuhierl and Michael Weber
Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 12 (692,055)

Abstract:

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6.

Arbitrage Portfolios

Review of Financial Studies, Forthcoming
Number of pages: 95 Posted: 31 Oct 2018 Last Revised: 07 Aug 2020
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Northwestern University and Washington University in St. Louis - John M. Olin Business School
Downloads 657 (47,452)
Citation 7

Abstract:

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Arbitrage, Alpha, Factor Model, Hedge, Principal Components

7.

Stock Option Predictability for the Cross-Section

Number of pages: 46 Posted: 08 Mar 2021 Last Revised: 12 Apr 2021
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 561 (58,459)

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Asset Pricing, Factor Models, High-dimensional Methods, Option-implied Risk

8.

Data Snooping in Equity Premium Prediction

Number of pages: 49 Posted: 22 May 2017 Last Revised: 11 Dec 2019
dichtl research & consulting GmbH, University of Hamburg, Washington University in St. Louis - John M. Olin Business School and University of Hamburg
Downloads 390 (90,268)
Citation 3

Abstract:

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Equity risk premium prediction, data snooping bias

9.

Attrition bias and inferences regarding earnings properties; evidence from Compustat data

Number of pages: 56 Posted: 21 Sep 2017 Last Revised: 19 Aug 2020
University of Notre Dame - Department of Accountancy, Tilburg University, University of Notre Dame and Washington University in St. Louis - John M. Olin Business School
Downloads 344 (104,117)
Citation 3

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earnings, forecasts

10.
Downloads 318 (113,613)
Citation 8

Estimating the Anomaly Base Rate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 20 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Chicago - Booth School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 263 (138,156)
Citation 4

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-135
Number of pages: 62 Posted: 21 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Chicago - Booth School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 49 (467,170)

Abstract:

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

NBER Working Paper No. w26493
Number of pages: 62 Posted: 27 Nov 2019 Last Revised: 09 Apr 2021
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Chicago - Booth School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 6 (740,454)
Citation 4
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11.

Liquidity Timing in Commodity Markets and the Impact of Financialization

Number of pages: 49 Posted: 29 Oct 2015 Last Revised: 06 Oct 2016
Andreas Neuhierl and Andrew Thompson
Washington University in St. Louis - John M. Olin Business School and Northwestern University
Downloads 295 (123,116)
Citation 2

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commodity markets, liquidity, momentum

12.

Frequency Dependent Risk

Number of pages: 67 Posted: 26 Oct 2018 Last Revised: 23 Apr 2020
Andreas Neuhierl and Rasmus Tangsgaard Varneskov
Washington University in St. Louis - John M. Olin Business School and Copenhagen Business School - Department of Finance
Downloads 131 (257,889)
Citation 4

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Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis

13.

On the Non-Existence of Conditional Value-at-Risk under Heavy Tails and Short Sales

OR Spectrum, Forthcoming
Posted: 25 Feb 2009 Last Revised: 02 Mar 2009
Gunter Bamberg and Andreas Neuhierl
University of Augsburg - Department of Statistics and Mathematical Economic Theory and Washington University in St. Louis - John M. Olin Business School

Abstract:

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Conditional value-at-risk, Value-at-risk, Heavy tails