Michael F. Gallmeyer

University of Virginia (UVA) - McIntire School of Commerce

Professor of Commerce, Finance

P.O. Box 400173

Charlottesville, VA 22904-4173

United States

http://www.commerce.virginia.edu/faculty_research/facultydirectory/Pages/Gallmeyer.aspx

SCHOLARLY PAPERS

23

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10,279

SSRN CITATIONS
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Top 4,617

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127

CROSSREF CITATIONS

160

Scholarly Papers (23)

1.

CEO Optimism and Forced Turnover

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 08 Oct 2008 Last Revised: 18 Oct 2011
University of Cincinnati - Department of Finance - Real Estate, University of Virginia (UVA) - McIntire School of Commerce, Texas A&M University - Department of Finance, University of South Florida and Winthrop University
Downloads 1,540 (13,810)
Citation 31

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optimism, turnover, behavioral finance, governance

2.

Financial Leverage Does Not Cause the Leverage Effect

AFA 2007 Chicago Meetings Paper
Number of pages: 45 Posted: 14 Mar 2006
Abdullah C. Aydemir, Michael F. Gallmeyer and Burton Hollifield
Lehman Brothers, University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,099 (23,134)
Citation 12

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stock volatility, leverage effect, corporate debt, general equilibrium

3.
Downloads 1,073 ( 23,940)
Citation 18

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics (JFE), December 2016, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 139 Posted: 26 Mar 2012 Last Revised: 11 Aug 2020
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 1,073 (23,538)
Citation 18

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Inflation disagreement, real and nominal yields, yield volatilities, cross-sectional consumption growth volatility, speculative trade

Disagreement About Inflation and the Yield Curve

Banco de Espana Working Paper No. 1532
Posted: 22 Nov 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department

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inflation disagreement, relative entropy, real and nominal yields, yield volatilities, break-even inflation, inflation risk premium, cross-sectional consumption growth volatility, trading on inflation

4.

Capital Market Equilibrium with Differential Taxation

Number of pages: 34 Posted: 11 Aug 1998
Suleyman Basak and Michael F. Gallmeyer
London Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 1,048 (24,825)
Citation 2

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An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 41 Posted: 22 Mar 2002
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 782 (36,924)
Citation 46

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heterogeneous beliefs, learning, short-sale constraints, general equilibrium, stock price, stock volatility

An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy

Review of Finance, Vol. 12, Issue 2, pp. 323-364, 2008
Posted: 14 Jul 2008
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business

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D51, G11, G12, G14

6.

Demand Discovery and Asset Pricing

AFA 2005 Philadelphia Meetings
Number of pages: 63 Posted: 08 Jun 2004
Michael F. Gallmeyer, Duane J. Seppi and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 695 (44,001)
Citation 15

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Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

7.

Currency Price, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

Rodney L. White Center for Financial Research Working Paper Series 9-98
Number of pages: 29 Posted: 06 May 1998
Suleyman Basak and Michael F. Gallmeyer
London Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 632 (49,876)
Citation 6

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8.

Credit Conditions and Stock Return Predictability

Number of pages: 53 Posted: 19 Mar 2010 Last Revised: 26 Oct 2015
Sudheer Chava, Michael F. Gallmeyer and Heungju Park
Georgia Institute of Technology - Scheller College of Business, University of Virginia (UVA) - McIntire School of Commerce and Sungkyunkwan University - SKK Business School
Downloads 544 (60,432)
Citation 7

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Stock predictability, credit supply, macroeconomics, survey data

9.

Portfolio Tax Trading with Carry-Over Losses

EFA 2008 Athens Meetings Paper, McCombs Research Paper Series No. IROM-02-08
Number of pages: 78 Posted: 04 Mar 2008 Last Revised: 25 Jun 2015
BI - Norwegian Business School, University of Virginia (UVA) - McIntire School of Commerce, Georgia State University-Robinson College of Business, University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Downloads 541 (60,846)
Citation 24

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portfolio choice, capital gain taxation, limited use of capital losses, carry-over losses

Tax Management Strategies with Multiple Risky Assets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 22 Mar 2002
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 343 (103,803)
Citation 12

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Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

Posted: 29 Nov 2004
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business

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Portfolio Choice, Capital Gain Taxation, Short Sales

11.

Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales

McCombs School of Business Finance Working Paper
Number of pages: 47 Posted: 25 Jun 2001
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 284 (128,151)

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Taxes, Multiple Assets, Short Sales, Capital Gains, Portfolio Selection, CRRA, Shorting the box

12.

Arbitrage and the Tax Code

Number of pages: 44 Posted: 23 Jul 2003 Last Revised: 25 Jul 2010
Michael F. Gallmeyer and Sanjay Srivastava
University of Virginia (UVA) - McIntire School of Commerce and Georgia State University-Robinson College of Business
Downloads 276 (132,054)
Citation 5

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capital gain taxation, no arbitrage, tax arbitrage

13.

Aggregate Tail Risk and Expected Returns

Number of pages: 40 Posted: 14 Nov 2014 Last Revised: 23 Jun 2016
David A. Chapman and Michael F. Gallmeyer
McIntire School, University of Virginia and University of Virginia (UVA) - McIntire School of Commerce
Downloads 266 (137,274)
Citation 4

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tail risk, disaster risk, expected returns

14.

Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 17 Feb 2006 Last Revised: 31 Aug 2010
Stephan Dieckmann and Michael F. Gallmeyer
University of Pennsylvania - Finance Department and University of Virginia (UVA) - McIntire School of Commerce
Downloads 260 (140,463)
Citation 4

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Rare Event Risk, Debt Contract, Emerging Market, Exchange Economy, Jump-Diffusion Model, Heterogeneous Beliefs, Incomplete Market

15.

Heuristic Portfolio Trading Rules with Capital Gain Taxes

Journal of Financial Economics 119(3), 611-625, 2016
Number of pages: 33 Posted: 07 Nov 2012 Last Revised: 07 Apr 2016
Marcel Fischer and Michael F. Gallmeyer
Copenhagen Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 211 (171,810)
Citation 1

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portfolio choice, capital gain taxation, limited use of capital losses, heuristic trading rules

16.

Term Premium Dynamics and the Taylor Rule

EFA 2009 Bergen Meetings Paper
Number of pages: 38 Posted: 17 Feb 2009
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, University of Michigan, Stephen M. Ross School of Business and New York University (NYU)
Downloads 195 (184,789)
Citation 16

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Affine term structure, general equilibrium, time-varying term premiums, monetary policy

17.

Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs

Number of pages: 53 Posted: 06 Jul 2015 Last Revised: 27 Aug 2015
Michael F. Gallmeyer, Hogyu Jhang and Hwagyun Kim
University of Virginia (UVA) - McIntire School of Commerce, Georgia Institute of Technology and Texas A&M University - Mays Business School
Downloads 190 (189,231)
Citation 3

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idiosyncratic cash-flow risk, heterogeneous beliefs, general equilibrium, cross-section of stock returns, habit formation, the value premium

18.

Taxable and Tax-Deferred Investing with the Limited Use of Losses

Review of Finance 21(5), 1847-1873 (2016)
Number of pages: 32 Posted: 19 May 2013 Last Revised: 29 Sep 2017
Marcel Fischer and Michael F. Gallmeyer
Copenhagen Business School and University of Virginia (UVA) - McIntire School of Commerce
Downloads 111 (291,081)
Citation 6

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portfolio choice, limited use of capital losses, tax-deferred investing, asset location

19.

Decoding the Pricing of Uncertainty Shocks

Number of pages: 72 Posted: 30 Nov 2020
Zhanhui Chen, Michael F. Gallmeyer and Baek-Chun Kim
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Virginia (UVA) - McIntire School of Commerce and Nanyang Business School
Downloads 88 (339,080)
Citation 1

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macro uncertainty, micro uncertainty, expected investment growth factor

20.

Taylor Rules, Mccallum Rules and the Term Structure of Interest Rates

NBER Working Paper No. w11276
Number of pages: 33 Posted: 01 Jun 2005
Michael F. Gallmeyer, Burton Hollifield and Stanley E. Zin
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 49 (459,204)
Citation 4

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21.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007 Last Revised: 12 Mar 2021
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, affiliation not provided to SSRN and Carnegie Mellon University
Downloads 42 (488,747)
Citation 5

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22.

Beliefs About Inflation and the Term Structure of Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 12 Jun 2012
Texas A&M University - Mays Business School - Finance Department, University of Virginia (UVA) - McIntire School of Commerce, Indiana University - Kelley School of Business - Department of Finance and BI - Norwegian Business School
Downloads 10 (680,856)

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23.

The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents

Posted: 12 Nov 2004
Michael F. Gallmeyer and Stephan Dieckmann
University of Virginia (UVA) - McIntire School of Commerce and University of Pennsylvania - Finance Department

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General Equilibrium, Pure Exchange Economy, Jump-Diffusion Model, Heterogeneous Agents, Excess Uncertainty, Insurance