Andreas Neuhierl : Citation Profile

Purdue University

8

H index

6

i10 index

408

Citations

RESEARCH PRODUCTION:

11

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2011 - 2025). See details.
   Cites by year: 29
   Journals where Andreas Neuhierl has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 7 (1.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne394
   Updated: 2026-06-06    RAS profile: 2025-08-07    
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Relations with other researchers

Works with:

Weber, Michael (3)

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

Is cited by:

Weber, Michael (11)

Scaillet, Olivier (7)

Talavera, Oleksandr (7)

michaely, roni (6)

Baruník, Jozef (5)

Pham, Tho (5)

Gorodnichenko, Yuriy (5)

Schrimpf, Andreas (5)

Nagel, Stefan (5)

Pelger, Markus (5)

Kozak, Serhiy (4)

Cites to:

Weber, Michael (24)

Campbell, John (23)

French, Kenneth (21)

Swanson, Eric (16)

Fama, Eugene (13)

Lettau, Martin (13)

Cochrane, John (13)

Gürkaynak, Refet (12)

Zhou, Guofu (9)

Harvey, Campbell (9)

Scaillet, Olivier (8)

Main data

Where Andreas Neuhierl has published?

Journals with more than one article published# docs
The Review of Financial Studies3
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc5
CESifo Working Paper Series / CESifo4
Papers / arXiv.org2

Recent works citing Andreas Neuhierl (2026 and 2025)

YearTitle of citing document
2025Market-Wide Predictable Price Pressure. (2025). Hartzmark, Samuel M ; Solomon, David H. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:9:p:3171-3213.

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2025Crypto Listens: Asymmetric Reactions to Text-based Signals in Central Bank Communications. (2025). Kaplan, Samuel ; Polyzos, Efstathios ; Tercero-Lucas, David. In: Working Papers. RePEc:aoz:wpaper:365.

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2026Deep Learning, Predictability, and Optimal Portfolio Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2025The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2025Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information. (2025). Zheng, Zeyu ; Zhou, Chunyang ; Hua, Cheng. In: Papers. RePEc:arx:papers:2501.17992.

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2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

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2025NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks. (2025). Wang, Shunyao ; Cheng, Ming. In: Papers. RePEc:arx:papers:2505.06864.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Fan, Qingliang ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2506.19586.

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2026A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

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2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi. In: Papers. RePEc:arx:papers:2509.04812.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Inferential Theory for Pricing Errors with Latent Factors and Firm Characteristics. (2025). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2511.03076.

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2025Low-Rank Estimation of Nonlinear Panel Data Models. (2025). Yao, Kan. In: Papers. RePEc:arx:papers:2511.21948.

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2025Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals. (2025). Lamptey, William ; Deep, Gagan. In: Papers. RePEc:arx:papers:2512.12924.

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2026Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model. (2025). Jeong, Younwoo ; Kim, Changeun ; Jang, Bong-Gyu. In: Papers. RePEc:arx:papers:2512.16251.

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2025Alpha-R1: Alpha Screening with LLM Reasoning via Reinforcement Learning. (2025). Zhao, LI ; Li, Jing ; Jiang, Daxin ; Hua, Cheng ; Bai, Zuo ; Sun, Ruohan. In: Papers. RePEc:arx:papers:2512.23515.

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2025The Nonstationarity-Complexity Tradeoff in Return Prediction. (2025). Zou, Jiacheng ; Huang, Chengpiao ; Sidaoui, Antonio J ; Capponi, Agostino ; Wang, Kaizheng. In: Papers. RePEc:arx:papers:2512.23596.

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2026MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks. (2026). Lim, Byung Hwa ; Koo, Hyeng Keun ; Kim, Hyun-Gyoon ; Jeong, Seungwon ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2601.17773.

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2026Priced risk in corporate bonds. (2026). Mueller, Philippe ; Robotti, Cesare ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.05699.

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2026Post-Screening Portfolio Selection. (2026). Tanaka, Shinya ; Uematsu, Yoshimasa. In: Papers. RePEc:arx:papers:2604.17593.

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2026Realized Regularized Regressions. (2026). Yu, Shifan ; Kolokolov, Aleksey. In: Papers. RePEc:arx:papers:2604.23023.

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2025Money Talks: How Foreign and Domestic Monetary Policy Communications Move Financial Markets. (2025). Zhang, Xu ; Sekkel, Rodrigo ; Stern, Henry. In: Staff Working Papers. RePEc:bca:bocawp:25-33.

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2025When does Monetary Policy Matter? Policy Stance vs. Term Premium News. (2025). Herbert, Sylvrie ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:1017.

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2025The Signaling Effects of Tightening and Easing Monetary Policy. (2025). Hubert, Paul ; Portier, Rose. In: Working papers. RePEc:bfr:banfra:999.

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2025Cross‐asset time‐series momentum strategy: A new perspective. (2025). Singh, Tarlok ; Park, Jung Chul ; Xu, Dezhong ; Li, Bin. In: Accounting and Finance. RePEc:bla:acctfi:v:65:y:2025:i:3:p:2387-2419.

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2025Agnostic Fundamental Analysis via Machine Learning. (2025). Long, Zhen ; Li, Bin. In: Accounting and Finance. RePEc:bla:acctfi:v:65:y:2025:i:3:p:2678-2700.

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2025SPEAKING OF INFLATION: THE INFLUENCE OF FED SPEECHES ON EXPECTATIONS. (2025). Melosi, Leonardo ; Larsen, Vegard H ; Meggiorini, Greta ; Granziera, Eleonora. In: Working Papers. RePEc:bny:wpaper:0142.

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2025Competition and the Strategic Disclosure of Innovation: Theory and Evidence from Patent Applications. (2025). Ganglmair, Bernhard ; Angenendt, David. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_664.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Li, S ; Ge, S ; Avramov, D ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2512.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Xu, R ; Fan, Q. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2562.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Linton, O B ; Ge, S ; Avramov, D. In: Janeway Institute Working Papers. RePEc:cam:camjip:2506.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Xu, R ; Fan, Q. In: Janeway Institute Working Papers. RePEc:cam:camjip:2524.

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2026Firm Heterogeneity and Aggregate Fluctuations. (2026). Pollio, Luigi ; Pesce, Simone ; Errico, Marco. In: Research Technical Papers. RePEc:cbi:wpaper:06/rt/26.

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2025Speaking of Inflation: The Influence of Fed Speeches on Expectations. (2025). Granziera, Eleonora ; Larsen, Vegard H ; Melosi, Leonardo ; Meggiorini, Greta. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11992.

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2025The Returns of US Capital Market in the First Days of Purchase Transactions Associated to the Halloween Strategies. (2025). Dumitriu, Ramona ; Stefanescu, Razvan. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2025:i:2:p:265-272.

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2025Persistent Anomalies and Nonstandard Errors. (2025). Prignon, Christophe ; Coqueret, Guillaume. In: HEC Research Papers Series. RePEc:ebg:heccah:1578.

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2025Nonlinearities and heterogeneity in firms response to aggregate fluctuations: what can we learn from machine learning?. (2025). Errico, Marco ; Pesce, Simone ; Pollio, Luigi. In: Working Paper Series. RePEc:ecb:ecbwps:20253107.

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2025Granular information and sectoral movements. (2025). Jiang, Hao ; Li, Sophia Zhengzi ; Yuan, Peixuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100.

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2025Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors. (2025). Zhang, Yang ; Qian, Yihe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000634.

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2025A correlation-robust shrinkage estimator: Oracle inequality and an application on out-of-sample factor selection. (2025). Sun, Chuanping. In: Economics Letters. RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003179.

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2025Model complexity and the performance of global versus regional models. (2025). Kalsbach, Tobias ; Chen, Minghui ; Hanauer, Matthias X. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525004781.

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2025Conditional spectral methods. (2025). Bandi, Federico M ; Su, Yinan. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002082.

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2025Mind your language: Market responses to central bank speeches. (2025). Neely, Christopher ; Yang, Xiye ; Ahrens, Maximilian ; Erdemlioglu, Deniz ; McMahon, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002720.

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2025Inference for large dimensional factor models under general missing data patterns. (2025). Su, Liangjun ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000764.

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2025A unified duration-based explanation of the value, profitability, and investment anomalies. (2025). Li, Tao ; Chen, Shan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000672.

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2025Economic aggregation of return signals in global markets. (2025). Dong, Mengmeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000854.

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2025In the shadows of opacity: Firm information quality and latent factor model performance. (2025). Zhang, Guanglong ; Wang, Chuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000572.

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2025Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model. (2025). Kwon, Tae Yeon. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014351.

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2025A data-driven prediction method for multi-period portfolio optimization using the real options approach. (2025). Arasteh, Abdollah. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006634.

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2025Can registration system reform mitigate asset mispricing?. (2025). Cao, Xinrui ; Zeng, Xianpeng. In: Finance Research Letters. RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325009420.

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2025Characteristics-based reversals: Exploiting the gap between predicted and realized returns. (2025). Ko, Seongdeok. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pc:s1544612325013388.

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2025Nonparametric identification of factors for the cross-section of Latin American stock returns. (2025). Zuluaga-Rendn, Simn ; Agudelo, Diego A. In: Global Finance Journal. RePEc:eee:glofin:v:68:y:2025:i:c:s1044028325000997.

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2025Accounting vs technical information: what matters more for stock return predictability?. (2025). Cakici, Nusret ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:104:y:2025:i:c:s1042443125000976.

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2025Forecasting stock market return with anomalies: Evidence from China. (2025). Wang, Zhuo ; Wu, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1278-1295.

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2025Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China. (2025). Fan, Jiacheng ; Lin, Jianhao ; Zhang, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002851.

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2025A factor model for the cross-section of country equity risk premia. (2025). Fieberg, Christian ; Cakici, Nusret ; Zaremba, Adam ; Liedtke, Gerrit. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002875.

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2026Psychological anchoring effect and cross section of cryptocurrency returns. (2026). Yan, Shu ; Jia, yuecheng ; Zhao, Jiangyu ; Zhang, Hongyu ; Simkins, Betty. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:182:y:2026:i:c:s0378426625002122.

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2025Fed information effects: Evidence from the equity term structure. (2025). Golez, Benjamin ; Matthies, Ben. In: Journal of Financial Economics. RePEc:eee:jfinec:v:165:y:2025:i:c:s0304405x24002113.

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2025Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327.

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2025Why do portfolio choice models predict inelastic demand?. (2025). Davis, Carter ; Kargar, Mahyar ; Li, Jiacui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001047.

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2025Machine learning from a “Universe” of signals: The role of feature engineering. (2025). Zheng, Lingling ; Li, Bin ; Rossi, Alberto G ; Yan, Xuemin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001461.

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2025Taking sides on return predictability. (2025). Pontiff, Jeffrey ; McLean, David R ; Reilly, Christopher. In: Journal of Financial Economics. RePEc:eee:jfinec:v:173:y:2025:i:c:s0304405x25001667.

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2025Central bank communication of uncertainty. (2025). Penalver, Adrian ; Hanifi, Rayane ; Fadda, Pietro ; Istrefi, Klodiana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001202.

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2026Taming the global factor zoo. (2026). Han, Yufeng ; Zhu, Yifeng ; Chen, Jian ; Tang, Guohao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002013.

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2025SFQRA: Scaled factor-augmented quantile regression with aggregation in conditional mean forecasting. (2025). Yang, Qing ; Chen, YU ; Hao, Yifan ; Shu, Lei. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:207:y:2025:i:c:s0047259x2400112x.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2025Latent factor models for the Chinese commodity futures markets. (2025). Liu, Yanchu ; Zhou, Heyang ; Yang, Haisheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25002276.

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2025Can machines learn Chinese mutual funds?. (2025). Gao, Zhiwei ; Wu, Haoran ; Nie, Boyang ; Zhao, Binru. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25002720.

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2025Machine learning in the Australian equity market. (2025). Song, Yiliao ; Hu, Xiaolu ; Zhong, Angel. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25002756.

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2025Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Promotional Press Releases and Investor Processing Costs. (2025). Watkins, Jessica C ; Rawson, Caleb ; Twedt, Brady J. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:6:p:4795-4824.

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2025The Loan Fee Anomaly: A Short Seller’s Best Ideas. (2025). Ringgenberg, Matthew ; Evans, Richard B ; Engelberg, Joseph E ; Leonard, Greg ; Reed, Adam V. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:7:p:5529-5551.

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2025Do t -Statistic Hurdles Need to Be Raised?. (2025). Chen, Andrew Y. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:7:p:5830-5848.

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2025Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2.

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2025Extending the demand system approach to asset pricing. (2025). Gehrig, Thomas ; Westerkamp, Arne ; Sgner, Leopold. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:1:d:10.1007_s11408-024-00463-4.

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2026Taste for characteristics or risk factor aversion? Evidence from institutional demand. (2026). Lawrenz, Jochen ; Insam, Franz ; Bank, Matthias. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:40:y:2026:i:1:d:10.1007_s11408-025-00480-x.

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2026Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Through an Explainable Machine Learning Approach. (2026). Price, Mckay S ; Nagl, Maximilian ; Jenett, Hendrik ; Schaefers, Wolfgang. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:72:y:2026:i:1:d:10.1007_s11146-025-10016-9.

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2026Predicting option prices from their price history via machine learning. (2026). Weiss, Gregor ; Irresberger, Felix ; Fritzsch, Simon. In: Review of Derivatives Research. RePEc:kap:revdev:v:29:y:2026:i:1:d:10.1007_s11147-026-09228-9.

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2025Does Fed communication affect uncertainty and risk aversion?. (2025). Chau, Frankie ; Deesomsak, Rataporn ; Shaikh, Raja. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:2:d:10.1007_s11156-024-01318-9.

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2025Forecasting stock returns with sum-of-the-parts methodology: international evidence. (2025). Noman, Abdullah ; Naka, Atsuyuki ; Athari, Mahtab. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:1:d:10.1057_s41260-024-00380-1.

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2025Performance Misattributions. (2025). Bagnara, Matteo ; Vaucher, Benoit. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:7:d:10.1057_s41260-025-00431-1.

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2025Lessons for Monetary Policy Communication: Communication, Getting Through and Expectation Formation. (2025). McMahon, Michael. In: RBA Annual Conference Papers. RePEc:rba:rbaacp:acp2024-01.

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2025Identification, Estimation and Inference in High-Frequency Event Study Regressions. (2025). McCloskey, Adam ; Casini, Alessandro. In: CEIS Research Paper. RePEc:rtv:ceisrp:608.

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2025The Effects of FED Monetary Policy Changes on Tourism & Hospitality Stock Returns: Evidence from France. (2025). Barut, Pinar ; Katircioglu, Salih. In: SAGE Open. RePEc:sae:sagope:v:15:y:2025:i:2:p:21582440251336506.

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2026Role of Artificial Intelligence in Finance: Selective Literature Review and Implications for Asias Financial Stability. (2026). PARK, DONGHYUN ; Tian, Shu ; Ziang, Ziang Qiu ; Zhang, Yang. In: Working Papers. RePEc:sea:wpaper:wp61.

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2025Enhancing Markowitzs portfolio selection paradigm with machine learning. (2025). de Prado, Marcos Lpez ; Simonian, Joseph ; Fabozzi, Francesco A. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06257-1.

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2025Optimal asset allocation and nonlinear return predictability from the dividend-price ratio. (2025). Timmermann, Allan ; Pedersen, Thomas Quistgaard ; Sarkar, Anindo ; Ghezzi, Fabrizio. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06332-7.

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2025Forecast combinations for benchmarks of long-term stock returns using machine learning methods. (2025). Scholz, Michael. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-04880-4.

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2026Stock price reaction to patent related news: a study of indian manufacturing sector. (2026). Dharni, Khushdeep ; Kaur, Tavneet. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:53:y:2026:i:1:d:10.1007_s40622-026-00461-7.

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2025The role of technical chart patterns in the early Bitcoin market: intraday evidence from the Mt.Gox transaction dataset. (2025). Rink, Kevin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00763-2.

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2025The ECB press conference statement: deriving a new sentiment indicator for the euro area. (2025). Siklos, Pierre L ; Kanelis, Dimitrios. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:652-664.

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2025Market Efficiency and Equity Risk Premium Predictability. (2025). da Silva, Ricardo Franceli ; Santos, Leandro Dos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3064-3091.

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2025The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229.

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2026The Impact of Social Media Activities on Stock Price Informativeness. (2026). Boateng, Agyenim ; Hu, Wansu ; Fulgence, Samuel ; Kwabi, Frank ; Iyiola, Bolaji. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:31:y:2026:i:1:p:502-529.

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More than 100 citations found, this list is not complete...

Works by Andreas Neuhierl:

YearTitleTypeCited
2026Benign Overfitting in Economic Forecasting via Noise Regularization In: Papers.
[Full Text][Citation analysis]		paper1
2025The Uncertainty of Machine Learning Predictions in Asset Pricing In: Papers.
[Full Text][Citation analysis]		paper0
2020Monetary Momentum In: Working Papers.
[Full Text][Citation analysis]		paper2
2017Monetary Momentum.(2017) In: CESifo Working Paper Series.
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This paper has nother version. Agregated cites: 2		paper
2018Monetary Momentum.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2012Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails In: German Economic Review.
[Full Text][Citation analysis]		article1
2012Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails.(2012) In: German Economic Review.
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This paper has nother version. Agregated cites: 1		article
2016Monetary Policy and the Stock Market: Time-Series Evidence In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper17
2016Monetary Policy and the Stock Market: Time-Series Evidence.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2017Monetary Policy and the Stock Market: Time Series Evidence.(2017) In: 2017 Meeting Papers.
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This paper has nother version. Agregated cites: 17		paper
2017Dissecting Characteristics Nonparametrically In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper233
2018Dissecting Characteristics Nonparametrically.(2018) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 233		paper
2017Dissecting Characteristics Nonparametrically.(2017) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 233		paper
2020Dissecting Characteristics Nonparametrically.(2020) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 233		article
2013Market Reaction to Corporate Press Releases In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article39
2021Data snooping in equity premium prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2021Estimating the anomaly base rate In: Journal of Financial Economics.
[Full Text][Citation analysis]		article16
2019Estimating The Anomaly Base Rate.(2019) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2021Frequency dependent risk In: Journal of Financial Economics.
[Full Text][Citation analysis]		article9
2019Monetary policy communication, policy slope, and the stock market In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article53
2018Casino game markets In: Chapters.
[Full Text][Citation analysis]		chapter1
2022Missing Data in Asset Pricing Panels In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2025Missing Data in Asset Pricing Panels.(2025) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2011Data Snooping and Market-Timing Rule Performance In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2021Arbitrage Portfolios In: The Review of Financial Studies.
[Full Text][Citation analysis]		article15
2022Option characteristics as cross-sectional predictors In: LawFin Working Paper Series.
[Full Text][Citation analysis]		paper1

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