Christian Wagner : Citation Profile


Are you Christian Wagner?

7

H index

5

i10 index

262

Citations

RESEARCH PRODUCTION:

6

Articles

7

Papers

RESEARCH ACTIVITY:

   8 years (2008 - 2016). See details.
   Cites by year: 32
   Journals where Christian Wagner has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 3 (1.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa220
   Updated: 2021-06-12    RAS profile: 2021-01-05    
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Relations with other researchers


Works with:

Schneider, Paul (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Wagner.

Is cited by:

Martin, Ian (15)

Schrimpf, Andreas (10)

Sarno, Lucio (9)

Schmeling, Maik (7)

Verdelhan, Adrien (5)

Menkhoff, Lukas (5)

Kremens, Lukas (4)

Chernov, Mikhail (4)

Pettenuzzo, Davide (4)

Vithessonthi, Chaiporn (4)

Lin, Hai (4)

Cites to:

Hodrick, Robert (21)

Sarno, Lucio (20)

Engel, Charles (16)

Bekaert, Geert (16)

Campbell, John (15)

Verdelhan, Adrien (13)

Gabaix, Xavier (8)

Burnside, Craig (8)

Bilson, John (8)

Schneider, Paul (8)

Rebelo, Sergio (8)

Main data


Where Christian Wagner has published?


Journals with more than one article published# docs
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany2

Recent works citing Christian Wagner (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2021Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:111:y:2021:p:361-65.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: Papers. RePEc:arx:papers:2005.08929.

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2021New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G. In: Papers. RePEc:arx:papers:2101.12306.

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2021Is the ex?ante equity risk premium always positive? Evidence from a new conditional expectations model. (2021). faff, robert ; Hoang, Khoa. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:95-124.

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2021Using abnormal analyst coverage to unlock new evidence on stock price crash risk. (2021). faff, robert ; Hoang, Khoa ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1557-1588.

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2020Declining Labor and Capital Shares. (2020). Barkai, Simcha. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2421-2463.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2021Supplementary Paper Series for the Assessment (1): The Effects of the Bank of Japans ETF Purchases on Risk Premia in the Stock Markets. (2021). Kitamura, Tomiyuki ; Hiraki, Kazuhiro ; Adachi, KO. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e03.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Inflated credit ratings, regulatory arbitrage and capital requirements: Do investors strategically allocate bond portfolios?. (2020). van der Kroft, Bram ; Boermans, Martijn . In: DNB Working Papers. RePEc:dnb:dnbwpp:673.

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2020How news affects sectoral stock prices through earnings expectations and risk premia. (2020). Hvid, Anna Kirstine ; Kristiansen, Kristian. In: Working Paper Series. RePEc:ecb:ecbwps:20202493.

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2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2021Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120.

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2020The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020Measuring banks’ liquidity risk: An option-pricing approach. (2020). Zhang, Jinqing ; Bian, Yun ; He, Liang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302778.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2020Betting against correlation: Testing theories of the low-risk effect. (2020). Pedersen, Lasse Heje ; Gormsen, Niels Joachim ; Frazzini, Andrea ; Asness, Cliff. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:629-652.

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2020The conditional expected market return. (2020). Loudis, Johnathan ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:752-786.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Herding by corporates in the US and the Eurozone through different market conditions. (2021). Vioto, Davide ; Tunaru, Radu ; Duygun, Meryem. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302679.

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2021Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve. (2021). Niu, Linlin ; Lin, Mucai. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302503.

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2021The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x.

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2020Balancing-market design and opportunity cost: The Swiss case. (2020). Schillinger, Moritz. In: Utilities Policy. RePEc:eee:juipol:v:64:y:2020:i:c:s0957178720300400.

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2021Aggregate expected investment growth and stock market returns. (2021). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:618-638.

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2020The sources of pricing factors underlying the cross-section of currency returns. (2020). Lin, Chien-Hsiu ; Chen, Chih-Nan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:250-265.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: EIEF Working Papers Series. RePEc:eie:wpaper:2008.

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2020The Law of One Price in Equity Volatility Markets. (2020). Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:89214.

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2020Credit Spreads, Business Conditions, and Expected Corporate Bond Returns. (2020). Wu, Chunchi ; Wang, Junbo ; Tao, Xinyuan ; Lin, Hai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:20-:d:311789.

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2020Volatility-Adjusted 60/40 versus 100—New Risk Investing Paradigm. (2020). Ajakh, Ahmad ; Liew, Jim Kyung-Soo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:190-:d:401634.

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2020Distressed Stocks in Distressed Times. (2020). Misirli, Efdal Ulas ; Eisdorfer, Assaf. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2452-2473.

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2020Dynamic Prudential Regulation. (2020). Yang, Baozhong ; Subramanian, Ajay. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:7:p:3183-3210.

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2020The Effect of Reporting Streaks on Ex Ante Uncertainty. (2020). Riedl, Edward J ; Papadakis, George ; Neururer, Thaddeus . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3771-3787.

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2021Information Content of Aggregate Implied Volatility Spread. (2021). Li, Gang ; Han, Bing. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1249-1269.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2020Financial econometrics, mathematics, statistics, and financial technology: an overall view. (2020). Lee, Chengfew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-020-00883-z.

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2020Recovering Investor Expectations from Demand for Index Funds. (2020). Yang, Hanbin ; MacKay, Alexander ; Egan, Mark L. In: NBER Working Papers. RePEc:nbr:nberwo:26608.

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2020The Economics of the Fed Put. (2020). Vissing-Jorgensen, Annette ; Cieslak, Anna. In: NBER Working Papers. RePEc:nbr:nberwo:26894.

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2020The Variance Risk Premium in Equilibrium Models. (2020). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: NBER Working Papers. RePEc:nbr:nberwo:27108.

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2020A Liberalization Spillover: From Equities to Loans. (2020). Wei, Shang-Jin ; Zhou, Yifan ; Liu, Xin. In: NBER Working Papers. RePEc:nbr:nberwo:27305.

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2020What Explains the COVID-19 Stock Market?. (2020). Ludvigson, Sydney ; Greenwald, Daniel ; Cox, Josue. In: NBER Working Papers. RePEc:nbr:nberwo:27784.

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2020Credit Risk and the Transmission of Interest Rate Shocks. (2020). Yamarthy, Ram ; Palazzo, Berardino. In: Working Papers. RePEc:ofr:wpaper:20-05.

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2021CAPM-Based Company (Mis)valuations. (2021). Goldstein, Itay ; Thesmar, David ; Otto, Clemens A ; Olivier, Jacques ; Dessaint, Olivier. In: Review of Financial Studies. RePEc:oup:rfinst:v:34:y:2021:i:1:p:1-66..

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: CSEF Working Papers. RePEc:sef:csefwp:563.

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2020Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil. (2020). Caldeira, Joo F. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01629-0.

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2020Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets. (2020). Guo, Wenliang. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:3:f:10_3_4.

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2020Commodity Futures Return Predictability and Intertemporal Asset Pricing. (2020). Eyiah-Donkor, Emmanuel ; Cotter, John ; Pot, Valerio. In: Working Papers. RePEc:ucd:wpaper:202011.

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2020The (in)stability of stock returns and monetary policy interdependence in the US. (2020). Magnusson, Leandro ; Carlevaro, Emiliano A. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:20-27.

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2020Earnings announcement timing, uncertainty, and volatility risk premiums. (2020). Neururer, Thaddeus ; Adams, Tom. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1603-1630.

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2020Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792.

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2020Volatility term structures in commodity markets. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:527-555.

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2021The FOMC risk shift. (2021). Schmeling, Maik ; Kroencke, Tim-Alexander ; Schrimpf, Andreas. In: SAFE Working Paper Series. RePEc:zbw:safewp:302.

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2021Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: SAFE Working Paper Series. RePEc:zbw:safewp:312.

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2020Diverging roads: Theory-based vs. machine learning-implied stock risk premia. (2020). Sönksen, Jantje ; Grammig, Joachim ; Sonksen, Jantje ; Schlag, Christian ; Hanenberg, Constantin. In: University of Tübingen Working Papers in Business and Economics. RePEc:zbw:tuewef:130.

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Works by Christian Wagner:


YearTitleTypeCited
2014The Cross-Section of Credit Risk Premia and Equity Returns In: Journal of Finance.
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article39
2016What is the Expected Return on a Stock? In: CEPR Discussion Papers.
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paper79
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
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paper67
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 67
article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 67
paper
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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article21
2009Reforming minute reserve policy in Germany: A step towards efficient markets? In: Energy Policy.
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article8
2010Trading the forward bias: Are there limits to speculation? In: Journal of International Money and Finance.
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article27
2012Risk-premia, carry-trade dynamics, and economic value of currency speculation In: Journal of International Money and Finance.
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article4
2009Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2008Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets In: Working Papers.
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paper3
2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
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paper5
2016Low risk anomalies? In: CFS Working Paper Series.
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paper9

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