Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 2,431

SSRN RANKINGS

Top 2,431

in Total Papers Downloads

17,368

SSRN CITATIONS
Rank 3,237

SSRN RANKINGS

Top 3,237

in Total Papers Citations

330

CROSSREF CITATIONS

89

Scholarly Papers (10)

1.
Downloads 9,161 ( 702)
Citation 78

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 9,068 (708)
Citation 18

Abstract:

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Volatility Managed Portfolios

NBER Working Paper No. w22208
Number of pages: 57 Posted: 02 May 2016
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 93 (339,922)
Citation 55

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2.
Downloads 2,053 ( 9,145)
Citation 74

The Macroeconomics of Shadow Banking

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 16 Aug 2013 Last Revised: 05 Jan 2017
Alan Moreira and Alexi Savov
University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 1,996 (9,381)
Citation 2

Abstract:

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Financial intermediation, liquidity transformation, shadow banking, unconventional monetary policy

The Macroeconomics of Shadow Banking

NBER Working Paper No. w20335
Number of pages: 56 Posted: 28 Jul 2014
Alan Moreira and Alexi Savov
University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 57 (448,974)
Citation 47

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3.

When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response

Number of pages: 69 Posted: 04 May 2020 Last Revised: 07 Jul 2020
Valentin Haddad, Alan Moreira and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,520 (14,768)
Citation 9

Abstract:

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COVID-19, Bond Markets, Financial Crisis, Liquidity, CDS-Bond Basis, ETF Arbitrage, Federal Reserve

4.

Hedging Risk Factors

Number of pages: 83 Posted: 24 Mar 2018 Last Revised: 28 Sep 2019
Bernard Herskovic, Alan Moreira and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,467 (15,636)
Citation 7

Abstract:

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Risk and Return, Equity Premium, Hedging, Asset Pricing Models, Factor Models

5.

Should Long-Term Investors Time Volatility?

Number of pages: 61 Posted: 03 Dec 2016 Last Revised: 16 Jan 2018
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,061 (25,398)
Citation 15

Abstract:

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6.
Downloads 669 ( 48,163)
Citation 1

Text Selection

Number of pages: 57 Posted: 10 Dec 2019
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 662 (48,152)
Citation 1

Abstract:

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Text analysis, machine learning, selection model, high dimension forecast, multinomial regression, hurdle, zero inflation, partisanship, intermediary capital

Text Selection

NBER Working Paper No. w26517
Number of pages: 58 Posted: 03 Dec 2019 Last Revised: 16 Jun 2021
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 7 (754,915)

Abstract:

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7.
Downloads 629 ( 52,205)
Citation 6

Liquidity and Volatility

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 72 Posted: 08 Mar 2018 Last Revised: 19 Feb 2021
Itamar Drechsler, Alan Moreira and Alexi Savov
Wharton School, Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 618 (52,781)
Citation 4

Abstract:

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liquidity, volatility, reversals, VIX, variance premium

Liquidity and Volatility

NBER Working Paper No. w27959
Number of pages: 73 Posted: 19 Oct 2020 Last Revised: 24 May 2021
Itamar Drechsler, Alan Moreira and Alexi Savov
Wharton School, Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 11 (721,229)
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8.

News Implied Volatility and Disaster Concerns

Journal of Financial Economics (JFE), Vol. 123, No. 1, 2017
Number of pages: 63 Posted: 21 Jan 2014 Last Revised: 10 Jan 2017
Asaf Manela and Alan Moreira
Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 618 (53,454)
Citation 59

Abstract:

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Text-based analysis, implied volatility, rare disasters, equity premium, return predictability, machine learning

9.

Capital Immobility and the Reach for Yield

Number of pages: 50 Posted: 23 Oct 2014 Last Revised: 13 Nov 2015
Alan Moreira
University of Rochester - Simon Business School
Downloads 110 (301,888)
Citation 3

Abstract:

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financial intermediation, reaching for yield, slow-moving capital

10.

When Selling Becomes Viral: Disruptions in Debt Markets in the Covid-19 Crisis and the Fed's Response

NBER Working Paper No. w27168
Number of pages: 53 Posted: 18 May 2020 Last Revised: 27 Jun 2021
Valentin Haddad, Alan Moreira and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 80 (369,758)
Citation 5

Abstract:

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