Maik Schmeling

Goethe University Frankfurt - Department of Finance

House of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, Hessen 60323

Germany

http://sites.google.com/site/maikschmeling/

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

28

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24,313

SSRN CITATIONS
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Top 1,216

in Total Papers Citations

426

CROSSREF CITATIONS

582

Scholarly Papers (28)

1.
Downloads 5,002 ( 2,140)
Citation 106

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 4,417 (2,644)
Citation 5

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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

BIS Working Paper No. 366
Number of pages: 89 Posted: 13 Dec 2011
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 575 (60,250)
Citation 10

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Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

Number of pages: 90 Posted: 20 Jan 2012
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 10 (754,100)
Citation 33
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.
Downloads 3,240 ( 4,568)
Citation 187

Carry Trades and Global Foreign Exchange Volatility

Journal of Finance, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 93 Posted: 14 Feb 2009 Last Revised: 02 Mar 2011
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 3,222 (4,527)
Citation 11

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F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

Number of pages: 95 Posted: 28 Mar 2011
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 18 (687,123)
Citation 50
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carry trade, forward premium puzzle, liquidity, volatility

3.
Downloads 2,377 ( 7,596)
Citation 3

Short-term Momentum

The Review of Financial Studies, 2021
Number of pages: 68 Posted: 17 Apr 2018 Last Revised: 30 Jun 2021
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 2,377 (7,462)
Citation 3

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Momentum, Reversal, Trading Volume, Bounded rationality

Short-Term Momentum

Number of pages: 73 Posted: 01 Mar 2021
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
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4.
Downloads 2,287 ( 8,078)
Citation 10

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 1,464 (16,182)
Citation 8

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Currency value, macro fundamentals, real exchange rate, predictability

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 823 (37,452)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.
Downloads 1,810 ( 11,783)
Citation 4

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,810 (11,568)
Citation 6

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Exchange rates, currency risk premium, currency options, sovereign risk, CDS spreads.

Exchange Rates and Sovereign Risk

Number of pages: 125 Posted: 14 May 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
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6.
Downloads 1,719 ( 12,798)
Citation 20

Does Central Bank Tone Move Asset Prices?

Number of pages: 87 Posted: 14 Jul 2015 Last Revised: 24 Oct 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,718 (12,593)
Citation 22

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monetary policy, central bank communication, textual analysis, risk premia, stock returns, volatility risk, credit spreads

Does Central Bank Tone Move Asset Prices?

Number of pages: 88 Posted: 28 Jan 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1 (838,431)
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central bank communication, credit spreads, monetary policy, risk premia, Stock returns, textual analysis, volatility risk

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 909 (32,661)
Citation 2

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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

BIS Working Paper No. 374
Number of pages: 47 Posted: 07 Mar 2012
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 237 (164,604)
Citation 10

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Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

8.
Downloads 709 ( 46,498)
Citation 5

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 572 (60,662)
Citation 6

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Monetary policy shocks, Equity Premium, Fund Flows, Portfolio Rebalancing

The FOMC Risk Shift

SAFE Working Paper No. 302
Number of pages: 89 Posted: 27 Jan 2021
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 135 (270,799)
Citation 1

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Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures

The FOMC Risk Shift

Number of pages: 98 Posted: 07 Oct 2019
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 2 (825,076)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 48 Posted: 19 May 2011 Last Revised: 05 Apr 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 698 (46,830)
Citation 1

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Exchange rates, economic fundamentals, forecasting, present value model

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 47 Posted: 17 May 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 8 (771,326)
Citation 9
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economic fundamentals, Exchange rates, forecasting, present value model

10.
Downloads 671 ( 50,025)
Citation 25

Dividend Predictability Around the World

CREATES Research Paper No. 2010-03
Number of pages: 44 Posted: 26 Jan 2010 Last Revised: 02 Oct 2012
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 526 (67,453)
Citation 9

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Dividend Yield, Predictability, International Stock Markets, Value, Growth, Idiosyncratic Volatility

Dividend Predictability around the World

Number of pages: 44 Posted: 05 Mar 2010 Last Revised: 02 Oct 2012
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 145 (255,689)
Citation 19

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dividend yield, predictability, international stock markets, value, growth, idiosyncratic volatility

11.
Downloads 579 ( 60,385)
Citation 5

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 448 (82,144)
Citation 6

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

Global Asset Allocation Shifts

BIS Working Paper No. 497
Number of pages: 70 Posted: 01 Apr 2015
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 131 (277,056)

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

12.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 561 (62,907)
Citation 1

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Exchange rates, risk premium, order flow

13.

Systematic Intervention and Currency Risk Premia

Number of pages: 70 Posted: 13 Feb 2018 Last Revised: 08 Jan 2021
DIW Berlin, German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Kiel Institute for the World Economy
Downloads 401 (94,286)
Citation 4

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Foreign exchange intervention, Currency risk, Carry, Momentum, Value

14.

Expected Inflation, Expected Stock Returns, and Money Illusion: What Can We Learn from Survey Expectations?

SFB 649 Discussion Paper 2008-036
Number of pages: 42 Posted: 27 May 2008 Last Revised: 17 Jan 2010
Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 386 (98,556)
Citation 7

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Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability

15.

Dissecting Announcement Returns

Number of pages: 87 Posted: 13 Nov 2017 Last Revised: 31 Oct 2018
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 362 (105,945)
Citation 3

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Announcement premium, resolution of uncertainty, post-earnings announcement drift, PEAD, momentum, disagreement, underreaction, gradual information diffusion

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 223 (174,645)
Citation 16

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 20 May 2012 Last Revised: 17 Mar 2016
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 87 (367,726)
Citation 3

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

17.

Limit-Order Submission Strategies under Asymmetric Information

Number of pages: 42 Posted: 19 May 2010
Lukas Menkhoff, Carol L. Osler and Maik Schmeling
German Institute for Economic Research (DIW Berlin), Brandeis University - International Business School and Goethe University Frankfurt - Department of Finance
Downloads 246 (159,257)
Citation 3

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limit-order market, order submission, informed traders, market conditions

18.

Whose Trades Convey Information? Evidence from a Cross-Section of Traders

Number of pages: 46 Posted: 01 Mar 2007
Lukas Menkhoff and Maik Schmeling
German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 236 (165,758)
Citation 4

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Market microstructure, informed trading, trade size, foreign exchange

19.

What Moves Markets?

Number of pages: 68 Posted: 05 Oct 2021 Last Revised: 13 Oct 2021
Mark Kerssenfischer and Maik Schmeling
Deutsche Bundesbank and Goethe University Frankfurt - Department of Finance
Downloads 231 (169,938)

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Macroeconomic News; High-Frequency Identification; Event Database; Monetary Policy Shocks

20.

What do Professional Forecasters' Stock Market Expectations tell us about Herding, Information Extraction and Beauty Contests?

ZEW - Centre for European Economic Research Discussion Paper No. 09-042
Number of pages: 54 Posted: 20 Sep 2009 Last Revised: 22 Feb 2012
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 228 (171,352)
Citation 3

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

Number of pages: 48 Posted: 19 Feb 2008
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 113 (308,951)

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foreign exchange, microstructure, intervention, exchange rate

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

Number of pages: 52 Posted: 27 May 2009
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 105 (325,332)
Citation 2

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exchange rates, intervention, microstructure

22.

Monetary Policy Expectation Errors

Number of pages: 73 Posted: 08 Apr 2020 Last Revised: 13 Apr 2021
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Danmarks Nationalbank (central bank of Denmark)
Downloads 192 (200,954)

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Fed funds futures, overnight index swaps, forecast evaluation, expectation formation, monetary policy

23.

Capital Market Integration and Consumption Risk Sharing Over the Long Run

Number of pages: 57 Posted: 16 Jan 2014 Last Revised: 20 Jan 2016
Jesper Rangvid, Pedro Santa-Clara and Maik Schmeling
Copenhagen Business School, New University of Lisbon - Nova School of Business and Economics and Goethe University Frankfurt - Department of Finance
Downloads 171 (222,326)
Citation 4

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Market integration, Consumption risk sharing, International financial markets

24.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 168 (225,593)
Citation 6

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Bond Yields, Expectations Hypothesis, Time-Varying Risk Premia, Term Premia, Aggregate Uncertainty

25.

Trader See, Trader Do: How Do (Small) FX Traders React to Large Counterparties’ Trades?

Number of pages: 52 Posted: 30 Mar 2009 Last Revised: 25 Mar 2010
Lukas Menkhoff and Maik Schmeling
German Institute for Economic Research (DIW Berlin) and Goethe University Frankfurt - Department of Finance
Downloads 164 (230,312)
Citation 4

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Foreign exchange microstructure, order flow, informed traders, counterparty identity

26.

Long-run Consumption Risk and International Stock Returns: A Century of Evidence

Number of pages: 31 Posted: 29 Nov 2009 Last Revised: 30 Jan 2011
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 128 (280,768)

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International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data

27.

Foreign Exchange Intervention: A New Database

DIW Berlin Discussion Paper No. 1915
Number of pages: 62 Posted: 23 Nov 2020
German Institute for Economic Research (DIW Berlin), Kiel Institute for the World Economy, German Institute for Economic Research (DIW Berlin), affiliation not provided to SSRN and Goethe University Frankfurt - Department of Finance
Downloads 63 (436,410)

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Foreign exchange intervention, capital controls, macroprudential regulation, international capitalflows

28.

Currency Value

Number of pages: 56 Posted: 13 Jun 2016
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 2 (790,093)
Citation 9
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Currency value, macro fundamentals, predictability, real exchange rate