Portrait of Professor Maik Schmeling

Professor Maik Schmeling

Professor of Finance

Bayes Business School, Faculty of Finance

Contact

Visit Maik Schmeling

Room BR5055, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Dr Maik Schmeling is a Visiting Professor of Finance at Bayes Business School, a Research Fellow at the Centre for Economic Policy Research (CEPR) and a full-time Professor of Finance at Goethe University Frankfurt.

His research interests are in empirical asset pricing, international finance, macro finance, and investments. His research has been published in journals such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and the Journal of International Economics.

Fellowships

  • Research Fellow, Bank for International Settlements, Dec 2016
  • Research Fellow, Center for Economic Policy Research (CEPR), Nov 2016 – present

Expertise

Primary topics

  • Asset Pricing
  • Finance
  • Financial Economics
  • Financial Markets
  • International Finance
  • International Financial Markets

Additional topics

  • Fixed-Income Investments
  • International Economics
  • Portfolio Choice

Research

Research topics

Currency risk premia

Monetary policy and asset prices

Information events and asset prices

Textual Analysis in Finance

Research students

1st supervisor

  • Robin Tietz, Research Student
  • Shangqi Han, Research Student

Publications

Journal articles (31)

  1. Kerssenfischer, M. and Schmeling, M. (2024). What moves markets? Journal of Monetary Economics. doi:10.1016/j.jmoneco.2024.103560.
  2. Schmeling, M. and Wagner, C. (2024). Does Central Bank Tone Move Asset Prices? Journal of Financial and Quantitative Analysis pp. 1–48. doi:10.1017/s0022109024000073.

    [publisher’s website]

  3. Fratzscher, M., Heidland, T., Menkhoff, L., Sarno, L. and Schmeling, M. (2023). Foreign Exchange Intervention: A New Database. IMF Economic Review, 71(4), pp. 852–884. doi:10.1057/s41308-022-00190-8.

    [publisher’s website]

  4. Schmeling, M., Schrimpf, A. and Steffensen, S.A.M. (2022). Monetary policy expectation errors. Journal of Financial Economics, 146(3), pp. 841–858. doi:10.1016/j.jfineco.2022.09.005.

    [publisher’s website]

  5. Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2022). Exchange Rates and Sovereign Risk. Management Science, 68(8), pp. 5591–5617. doi:10.1287/mnsc.2021.4115.

    [publisher’s website]

  6. Medhat, M. and Schmeling, M. (2022). Short-term Momentum. The Review of Financial Studies, 35(3), pp. 1480–1526. doi:10.1093/rfs/hhab055.

    [publisher’s website]

  7. Kroencke, T.A., Schmeling, M. and Schrimpf, A. (2021). The FOMC Risk Shift. Journal of Monetary Economics, 120, pp. 21–39. doi:10.1016/j.jmoneco.2021.02.003.

    [publisher’s website]

  8. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2017). Currency Value. Review of Financial Studies, 30(2), pp. 416–441. doi:10.1093/rfs/hhw067.

    [publisher’s website]

  9. Rangvid, J., Santa-Clara, P. and Schmeling, M. (2016). Capital market integration and consumption risk sharing over the long run. Journal of International Economics, 103, pp. 27–43. doi:10.1016/j.jinteco.2016.08.001.

    [publisher’s website]

  10. MENKHOFF, L., SARNO, L., SCHMELING, M. and SCHRIMPF, A. (2016). Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. The Journal of Finance, 71(2), pp. 601–634. doi:10.1111/jofi.12378.

    [publisher’s website]

  11. Rangvid, J., Schmeling, M. and Schrimpf, A. (2014). Dividend Predictability Around the World. Journal of Financial and Quantitative Analysis, 49(5-6), pp. 1255–1277. doi:10.1017/s0022109014000477.

    [publisher’s website]

  12. SARNO, L. and SCHMELING, M. (2014). Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective. Journal of Money, Credit and Banking, 46(2-3), pp. 267–292. doi:10.1111/jmcb.12106.

    [publisher’s website]

  13. Rangvid, J., Schmeling, M. and Schrimpf, A. (2014). Dividend predictability around the world. Journal of Financial and Quantitative Analysis, 46(4), pp. 1255–1277. doi:10.1017/S0022109014000477.
  14. Menkhoff, L., Schmeling, M. and Schmidt, U. (2013). Overconfidence, experience, and professionalism: An experimental study. Journal of Economic Behavior & Organization, 86, pp. 92–101. doi:10.1016/j.jebo.2012.12.022.

    [publisher’s website]

  15. Dick, C.D., Schmeling, M. and Schrimpf, A. (2013). Macro-expectations, aggregate uncertainty, and expected term premia. European Economic Review, 58, pp. 58–80. doi:10.1016/j.euroecorev.2012.11.005.
  16. Breitung, J. and Schmeling, M. (2013). Quantifying survey expectations: What’s wrong with the probability approach? International Journal of Forecasting, 29(1), pp. 142–154. doi:10.1016/j.ijforecast.2012.07.005.

    [publisher’s website]

  17. Rangvid, J., Schmeling, M. and Schrimpf, A. (2013). What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests? Journal of Empirical Finance, 20, pp. 109–129. doi:10.1016/j.jempfin.2012.11.004.

    [publisher’s website]

  18. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660–684. doi:10.1016/j.jfineco.2012.06.009.
  19. Christiansen, C., Schmeling, M. and Schrimpf, A. (2012). A comprehensive look at financial volatility prediction by economic variables. Journal of Applied Econometrics, 27(6), pp. 956–977. doi:10.1002/jae.2298.

    [publisher’s website]

  20. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), pp. 681–718. doi:10.1111/j.1540-6261.2012.01728.x.
  21. Schmeling, M. (2011). Consumption, money and excess returns. Applied Economics, 43(20), pp. 2559–2563. doi:10.1080/00036840903299730.

    [publisher’s website]

  22. Schmeling, M. and Schrimpf, A. (2011). Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? European Economic Review, 55(5), pp. 702–719. doi:10.1016/j.euroecorev.2010.09.003.

    [publisher’s website]

  23. Menkhoff, L., Schmeling, M. and Schmidt, U. (2010). Are All Professional Investors Sophisticated? German Economic Review, 11(4), pp. 418–440. doi:10.1111/j.1468-0475.2009.00497.x.

    [publisher’s website]

  24. Menkhoff, L., Osler, C.L. and Schmeling, M. (2010). Limit-order submission strategies under asymmetric information. Journal of Banking & Finance, 34(11), pp. 2665–2677. doi:10.1016/j.jbankfin.2010.05.007.

    [publisher’s website]

  25. Menkhoff, L. and Schmeling, M. (2010). Trader see, trader do: How do (small) FX traders react to large counterparties’ trades? Journal of International Money and Finance, 29(7), pp. 1283–1302. doi:10.1016/j.jimonfin.2010.04.001.

    [publisher’s website]

  26. Menkhoff, L. and Schmeling, M. (2010). Whose trades convey information? Evidence from a cross-section of traders. Journal of Financial Markets, 13(1), pp. 101–128. doi:10.1016/j.finmar.2009.08.001.

    [publisher’s website]

  27. Melvin, M., Menkhoff, L. and Schmeling, M. (2009). Exchange rate management in emerging markets: Intervention via an electronic limit order book. Journal of International Economics, 79(1), pp. 54–63. doi:10.1016/j.jinteco.2009.06.008.

    [publisher’s website]

  28. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), pp. 394–408. doi:10.1016/j.jempfin.2009.01.002.

    [publisher’s website]

  29. Menkhoff, L. and Schmeling, M. (2008). Local information in foreign exchange markets. Journal of International Money and Finance, 27(8), pp. 1383–1406. doi:10.1016/j.jimonfin.2007.10.003.

    [publisher’s website]

  30. Schmeling, M. (2007). Institutional and individual sentiment: Smart money and noise trader risk? International Journal of Forecasting, 23(1), pp. 127–145. doi:10.1016/j.ijforecast.2006.09.002.

    [publisher’s website]

  31. Menkhoff, L. and Schmeling, M. (2006). A prospect-theoretical interpretation of momentum returns. Economics Letters, 93(3), pp. 360–366. doi:10.1016/j.econlet.2006.06.011.

    [publisher’s website]

Working papers (4)

  1. Kroencke, T.A., Schmeling, M. and Schrimpf, A. (2021). The FOMC Risk Shift.
  2. Kroencke, T.M., Schmeling, M. and Schrimpf, A. (2015). Global Asset Allocation Shifts. Bank for International Settlements
  3. Schmeling, M. and Wagner, C. Does Central Bank Tone Move Asset Prices? Elsevier BV
  4. Medhat, M. and Schmeling, M. Dissecting Announcement Returns.

Professional activities

Consultancy (4)

  1. Bank for International Settlements (Public Sector) (Dec 2016)
    Research Fellowship
  2. International Monetary Fund (Public Sector) (Apr 2016)
    Technical Advisor
  3. Deutsche Bundesbank (Public Sector) (May 2014 – Apr 2015)
    External Visiting Researcher
  4. Bank for International Settlements (Public Sector) (Jan 2013)
    Visiting Researcher

Events/conferences (17)

  1. WFA. (Conference) Park City, Utah (2017).
    Paper: Does Central Bank Tone Move Asset Prices?
    Author: Schmeling M
    Co-authors: C Wagner
  2. SFS Cavalcade. (Conference) Toronto (2017).
    Paper: Does Central Bank Tone Move Asset Prices?
    Author: Schmeling M
    Co-authors: C Wagner
  3. AEA (2016, San Francisco). (Conference) San Francisco (2016).
    Paper: Currency value
    Author: Menkhoff L
  4. 2015 Annual Conference in International Finance. (Conference) Copenhagen (2015). Organising Committee.
  5. EFA (2015, Vienna). (Conference) Vienna (2015).
    Paper: Does Central Bank Tone Move Asset Prices
    Author: Schmeling M
  6. AFA (2015, Boston). (Conference) Boston, United States (2015).
    Paper: Survey Expectations of Returns and Asset Pricing Puzzles
    Author: Koijen RSJ
  7. 2014 Annual Conference in International Finance. (Conference) London (2014). Organising Committee.
  8. EFA. (Conference) (2014).
    Paper: Currency Value
    Author: Menkhoff L.
    Co-authors: L. Sarno, M. Schmeling, A. Schrimpf
  9. EFA Annual Meeting. (Conference) Cambridge (2013). Chair.
  10. European Finance Association Meetings. (Conference) Cambridge (2013).
    Paper: Information flows
    Author: Menkhoff L.
    Co-authors: Sarno, Schmeling, Schrimpf
  11. American Economic Association Meetings. (Conference) San Diego (2013).
    Paper: Information flows
    Author: Menkhoff L
    Co-authors: Sarno, Schmeling, Schrimpf
  12. EFA Annual Meeting. (Conference) Copenhagen (2012). Chair.
  13. CEPR Summer Symposium. (Workshop) Gerzensee (2012).
    Paper: Information flows
    Author: Menkhoff L
    Co-authors: Sarno, Schmeling, Schrimpf
  14. European Finance Association Meetings. (Conference) Stockholm (2011).
    Paper: A Comprehensive Look at Volatility Predicton By Economic Variables
    Author: Christiansen C
    Co-authors: Schmeling, Schrimpf
  15. European Finance Association Meetings. (Conference) Stockholm (2011).
    Paper: Dividend Predictability Around The World
    Author: Rangvid J
    Co-authors: Schmeling, Schrimpf
  16. European Finance Association Meetings. (Conference) Bergen (2009).
    Paper: Carry Trades and Global Foreign Exchange Volatility
    Author: Menkhoff L
    Co-authors: Sarno, Schmeling, Schrimpf
  17. American Economic Association Meetings. (Conference) San Francisco (2009).
    Paper: Exchange rate management in emerging markets
    Author: Melvin M
    Co-authors: Menkhoff, Schmeling

Media appearances (9)

  1. Why the dollar is still the most widely used currency in the world. (2013) The Clinic Online (website).
  2. Debilitado, pero el más usado. (2013) La Prensa.
  3. Por qué el dólar sigue siendo la moneda más usada del mundo. (2013) Terra.
  4. Why the dollar is still the most widely used currency in the world. (2013) El National.
  5. Do you know why the dollar is still the most widely used currency in the world? (2013) Notitarde.com (website).
  6. Why the dollar is still the most widely used currency in the world. (2013) BBC Mundo.
  7. Por qué el dólar sigue siendo la moneda más usada del mundo. (2013) Yahoo! Finance Spain (website).
  8. Why the dollar is still the most widely used currency in the world. (2013) Yahoo! Finance Mexico (website).
  9. Why the dollar is still the most widely used currency in the world. (2013) Ecuavisa (television).