Allan Timmermann
28 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0002-1555-2268
Rady School of Management and Department of Economics, UCSD, 9500 Gilman Drive, La Jolla, CA 92037, USA
Publications
- Warp speed price moves: Jumps after earnings announcements — Journal of Financial Economics 2025 (name-matched, not ORCID-linked)
- Search and Predictability of Prices in the Housing Market — Management Science 2024
- Pockets of Predictability — The Journal of Finance 2023 (name-matched, not ORCID-linked)
- Have risk premia vanished? — Journal of Financial Economics 2022
- Picking funds with confidence — Journal of Financial Economics 2021 (name-matched, not ORCID-linked)
- Break Risk — The Review of Financial Studies 2021
- Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis — The Review of Financial Studies 2020
- Cash Flow News and Stock Price Dynamics — The Journal of Finance 2020
- Bond Return Predictability: Economic Value and Links to the Macroeconomy — Management Science 2019
- Runs on Money Market Mutual Funds — American Economic Review 2016
- Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics — Econometrica 2015
- Modeling Covariance Risk in Merton's ICAPM — The Review of Financial Studies 2015
- Forecasting stock returns under economic constraints — Journal of Financial Economics 2014
- Decentralized Investment Management: Evidence from the Pension Fund Industry — The Journal of Finance 2013
- Optimal Convergence Trade Strategies — The Review of Financial Studies 2013
- The cross section of conditional mutual fund performance in European stock markets — Journal of Financial Economics 2013 (name-matched, not ORCID-linked)
- Testing Dependence Among Serially Correlated Multicategory Variables — Journal of the American Statistical Association 2009
- International asset allocation under regime switching, skew, and kurtosis preferences — The Review of Financial Studies 2008
- Testing Forecast Optimality Under Unknown Loss — Journal of the American Statistical Association 2007
- Forecasting Time Series Subject to Multiple Structural Breaks — The Review of Economic Studies 2006
- Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis — The Journal of Finance 2006
- Estimation and Testing of Forecast Rationality under Flexible Loss — The Review of Economic Studies 2005 (name-matched, not ORCID-linked)
- Firm Size and Cyclical Variations in Stock Returns — The Journal of Finance 2000
- Data-Snooping, Technical Trading Rule Performance, and the Bootstrap — The Journal of Finance 1999
- Mutual Fund Performance: Evidence from the UK — Review of Finance 1998
- Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning — The Review of Economic Studies 1996
- Predictability of Stock Returns: Robustness and Economic Significance — The Journal of Finance 1995
- How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices — The Quarterly Journal of Economics 1993