Alan Moreira

University of Rochester - Simon Business School

Assistant Professor

Rochester, NY 14627

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 2,429

SSRN RANKINGS

Top 2,429

in Total Papers Downloads

18,378

SSRN CITATIONS
Rank 3,092

SSRN RANKINGS

Top 3,092

in Total Papers Citations

343

CROSSREF CITATIONS

92

Scholarly Papers (10)

1.
Downloads 9,370 ( 723)
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 9,269 (729)
Citation 17

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Volatility Managed Portfolios

Number of pages: 57 Posted: 02 May 2016 Last Revised: 06 Sep 2021
Alan Moreira and Tyler Muir
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 101 (333,930)
Citation 56

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2.
Downloads 2,066 ( 9,497)
Citation 77

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 2,006 (9,795)
Citation 2

Abstract:

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

The Macroeconomics of Shadow Banking

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 60 (453,383)
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: 28 Aug 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 1,915 (10,850)
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 1,574 (14,745)
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 1,091 (25,602)
Citation 16

Abstract:

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6.
Downloads 858 ( 35,865)
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 842 (36,246)
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

Number of pages: 58 Posted: 03 Dec 2019 Last Revised: 19 Nov 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 16 (703,168)

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7.
Downloads 667 ( 50,399)
Citation 6

Liquidity and Volatility

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 08 Mar 2018 Last Revised: 19 Oct 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 654 (51,078)
Citation 4

Abstract:

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liquidity, volatility, reversals, VIX, variance premium

Liquidity and Volatility

Number of pages: 73 Posted: 19 Oct 2020 Last Revised: 24 Nov 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 13 (728,368)
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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 641 (53,155)
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 111 (311,134)
Citation 4

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

Number of pages: 53 Posted: 18 May 2020 Last Revised: 19 Nov 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 85 (369,806)
Citation 5

Abstract:

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