Stig Vinther Møller

Aarhus University - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

13

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3,185

SSRN CITATIONS
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Top 17,815

in Total Papers Citations

43

CROSSREF CITATIONS

18

Scholarly Papers (13)

1.
Downloads 459 ( 77,338)
Citation 7

Housing Price Forecastability: A Factor Analysis

EFA 2012 Copenhagen Meetings Paper
Number of pages: 33 Posted: 24 May 2012 Last Revised: 20 Mar 2016
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 457 (77,017)
Citation 5

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House prices, Forecasting, Partial least squares, Principal components, Macroeconomic factors

Housing Price Forecastability: A Factor Analysis

Real Estate Economics, Vol. 46, Issue 3, pp. 582-611, 2018
Number of pages: 30 Posted: 20 Aug 2018
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 2 (800,157)
Citation 4
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2.

Cross-Sectional Consumption-Based Asset Pricing: A Reappraisal

Number of pages: 10 Posted: 03 Feb 2011 Last Revised: 09 Apr 2015
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 438 (81,690)
Citation 1

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Consumption-based model, beginning-of-period timing convention, size and value premiums

3.

Stock Return and Dividend Growth Predictability Across the Business Cycle

Number of pages: 57 Posted: 04 Oct 2013 Last Revised: 26 Jan 2015
Stig Vinther Møller and Magnus Sander
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 350 (105,752)

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asset pricing, dividend yield, stock return predictability, dividend growth predictability, present-value relation, bootstrap, business cycles

4.

Forecasting US Recessions: The Role of Sentiment

Number of pages: 46 Posted: 22 Feb 2013 Last Revised: 15 Sep 2014
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University, CREATES, DFI and Aarhus University - CREATES
Downloads 346 (107,142)
Citation 10

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business cycles, forecasting, factor analysis, probit model, sentiment variables

5.

Consumption Fluctuations and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 11 Jan 2018 Last Revised: 08 Aug 2019
Victoria Atanasov, Stig Vinther Møller and Richard Priestley
University of Mannheim, Aarhus University - CREATES and Norwegian Business School
Downloads 278 (136,570)
Citation 7

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consumption fluctuations, marginal utility, stock returns, predictability.

6.

Search and Predictability of Prices in the Housing Market

Number of pages: 63 Posted: 22 Mar 2021 Last Revised: 24 Jun 2021
Aarhus University - CREATES, Aarhus University - CREATES, Aarhus University - CREATES and UCSD
Downloads 222 (169,144)

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Internet search, housing markets, housing demand, forecasting, inelastic housing supply.

7.

A New Index of Housing Sentiment

Number of pages: 39 Posted: 11 Nov 2016 Last Revised: 31 Aug 2017
Lasse Bork, Stig Vinther Møller and Thomas Quistgaard Pedersen
Aalborg University - Department of Business and Management, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 215 (174,360)
Citation 4

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housing sentiment, house price forecastability, partial least squares, dynamic model averaging

8.

Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect

Number of pages: 52 Posted: 25 Feb 2015 Last Revised: 03 Sep 2015
Stig Vinther Møller and Jesper Rangvid
Aarhus University - CREATES and Copenhagen Business School
Downloads 203 (183,934)
Citation 8

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End-of-the-year global economic growth, expected returns, international business cycle, in-sample and out-of-sample international return forecasts

9.

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Number of pages: 33 Posted: 23 Jun 2008 Last Revised: 14 May 2011
Tom Engsted, Stuart Hyde and Stig Vinther Møller
University of Aarhus - CREATES, Alliance Manchester Business School - University of Manchester and Aarhus University - CREATES
Downloads 193 (192,595)
Citation 10

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Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability

10.

Forecasting House Prices in the 50 States Using Dynamic Model Averaging and Dynamic Model Selection

International Journal of Forecasting, Forthcoming
Number of pages: 44 Posted: 29 Jul 2014
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 175 (209,921)
Citation 2

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Forecasting housing markets, 50 states, Kalman filtering methods, Model change, Parameter shifts, Boom-bust cycle, Model averaging, Model selection

11.

An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns

International Journal of Finance and Economics, Vol. 15, No. 2, pp. 213-227, 2010
Number of pages: 27 Posted: 25 Jun 2008 Last Revised: 14 May 2011
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 117 (289,205)
Citation 1

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Consumption-based model, habit persistence, GMM, pricing error

12.

Negative House Price Co-Movements and US Recessions

Number of pages: 45 Posted: 14 Jun 2017 Last Revised: 23 May 2019
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University, CREATES, DFI and Aarhus University - CREATES
Downloads 99 (324,078)
Citation 1

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Housing, business cycles, negative returns, co-movements

13.

Countercyclical Expected Returns

Number of pages: 28 Posted: 10 Apr 2020
Stig Vinther Møller, Thomas Quistgaard Pedersen and Sigurd Steffensen
Aarhus University - CREATES, Aarhus University - CREATES and Danmarks Nationalbank (central bank of Denmark)
Downloads 90 (344,321)

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Survey data, rational expectations, extrapolative expectations