Department of Finance

  • Denmark

Research Output 1998 2018

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Working paper
2018

Betting Against Correlation: Testing Theories of the Low-risk Effect

Asness, C. S., Frazzini, A., Gormsen, N. J. & Pedersen, L. H. 2018 London: Centre for Economic Policy Research, 65 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12686).

Research output: Working paperResearch

Deep Value

Asness, C. S., Liew, J. M., Pedersen, L. H. & Thapar, A. K. 2018 London: Centre for Economic Policy Research, 62 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12685).

Research output: Working paperResearch

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, N. & Pedersen, L. H. 2018 London: Centre for Economic Policy Research, 65 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12664).

Research output: Working paperResearch

Generalized Recovery

Lando, D., Pedersen, L. H. & Jensen, C. S. 2018 London: Centre for Economic Policy Research, 66 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12665).

Research output: Working paperResearch

Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach

Hounyo, U. & Tangsgaard Varneskov, R. 2018 Aarhus: Aarhus Universitet, 54 p.

Research output: Working paperResearchpeer-review

Open Access

Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds

Christoffersen, S. E. K., Keim, D. B., Musto, D. K. & Rzeznik, A. 2018 Toronto: Rotman School of Management, University of Toronto, 38 p. (Rotman School of Management Working Paper; No. 3137465).

Research output: Working paperResearch

Responses to Saving Commitments: Evidence from Mortgage Run-offs

Andersen, S., d’Astous, P., Martínez-Correa, J. & Shore, S. H. Apr 2018 Atlanta: CEAR, Georgia State University, 41 p. (Working paper / Center for Economic Analysis of Risk (CEAR); No. 2018-03).

Research output: Working paperResearchpeer-review

Open Access

Risk Everywhere: Modeling and Managing Volatility

Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H. 2018 London: Centre for Economic Policy Research, p. 57 (Centre for Economic Policy Research. Discussion Papers; No. DP12687).

Research output: Working paperResearch

Safe Haven CDS Premiums

Klingler, S. & Lando, D. 2018 London: Centre for Economic Policy Research, p. 85 (Centre for Economic Policy Research. Discussion Papers; No. DP12694).

Research output: Working paperResearch

Size Matters, if You Control Your Junk

Asness, C. S., Frazzini, A., Israel, R. & Pedersen, L. H. 2018 London: Centre for Economic Policy Research, 58 p. (Centre for Economic Policy Research. Discussion Papers; No. DP12684).

Research output: Working paperResearch

Testing Productivity Change, Frontier Shift, and Efficiency Change

Asmild, M., Kronborg, D. & Rønn-Nielsen, A. Jun 2018 Frederiksberg: Københavns Universitet, 23 p. (IFRO Working Paper; No. 2018/7).

Research output: Working paperResearch

The Retirement-Consumption Puzzle: New Evidence from Personal Finances

Olafsson, A. & Pagel, M. Mar 2018 Cambridge, MA: National Bureau of Economic Research (NBER), 51 p. (National Bureau of Economic Research. Working Paper Series; No. 24405).

Research output: Working paperResearch

2017

Are CEOs Different? Characteristics of Top Managers

Kaplan, S. N. & Sørensen, M. Sep 2017 Cambridge, MA: National Bureau of Economic Research (NBER), 53 p. (National Bureau of Economic Research. Working Paper Series; No. 23832).

Research output: Working paperResearch

Beta Risk in the Cross-section of Equities

Boloorforoosh, A., Christoffersen, P., Fournier, M. & Gourieroux, C. Mar 2017 www: SSRN: Social Science Research Network, 52 p. (Rotman School of Management Working Paper; No. 2926511).

Research output: Working paperResearch

FinTech Adoption Across Generations: Financial Fitness in the Information

Carlin, B., Olafsson, A. & Pagel, M. Sep 2017 Cambridge, MA: National Bureau of Economic Research (NBER), 42 p. (National Bureau of Economic Research. Working Paper Series; No. 23798).

Research output: Working paperResearch

Generalized Recovery

Jensen, C. S., Lando, D. & Pedersen, L. H. 2017 www: SSRN: Social Science Research Network, 63 p.

Research output: Working paperResearch

International Illiquidity

Malkhozov, A., Mueller, P., Vedolin, A. & Venter, G. Mar 2017 Washington D.C.: Board of Governors of the Federal Reserve System, 57 p. ( International Finance Discussion Papers ; No. 1201).

Research output: Working paperResearch

Open Access

Rainy Day Stocks

Gormsen, N. J. & Greenwood, R. Jan 2017 Boston: Harvard Business School, 45 p. (Harvard Business School Working Paper; No. 17-066).

Research output: Working paperResearch

Open Access

The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity

Olafsson, A. & Pagel, M. Oct 2017 Cambridge, MA: National Bureau of Economic Research (NBER), 46 p. (National Bureau of Economic Research. Working Paper Series; No. 23945). (Centre for Economic Policy Research. Discussion Papers; No. 12259).

Research output: Working paperResearch

2016

Are CEOs Different? Characteristics of Top Managers

Kaplan, S. N. & Sørensen, M. Feb 2016 New York: Columbia Business School, 50 p. (Columbia Business School Research Papers Series; No. 16-27).

Research output: Working paperResearch

Open Access

Beta Risk in the Cross-section of Stocks and Options

Boloorforoosh, A., Christoffersen, P., Fournier, M. & Gourieroux, C. Oct 2016 Montreal: Institut de la Finance Structurée et des Instruments Dérivés de Montréal, 67 p. (IFSID Working Paper; No. 16-09).

Research output: Working paperResearch

Open Access

Once Bitten, Twice Shy: The Role of Inertia and Personal Experiences in Risk Taking

Andersen, S., Hanspal, T. & Meisner Nielsen, K. 2016 London: Centre for Economic Policy Research, 54 p. (Centre for Economic Policy Research. Discussion Papers; No. 11504).

Research output: Working paperResearch

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Babaoglu, K., Christoffersen, P., Heston, S. L. & Jacobs, K. Nov 2016 www: SSRN: Social Science Research Network, 53 p. (Rotman School of Management Working Paper; No. 2690888). (Robert H. Smith School of Business Research Paper; No. RHS 2690888).

Research output: Working paperResearch

Predictors and Portfolios Over the Life Cycle

Kraft, H., Munk, C. & Weiss, F. 2016 Tilburg: Netspar, 59 p. (Netspar Discussion Paper; No. 01/2016-010). (SAFE Working Paper; No. 139).

Research output: Working paperResearch

Open Access

The Factor Structure in Equity Options

Christoffersen, P., Fournier, M. & Jacobs, K. 2016 www: SSRN: Social Science Research Network, 88 p. (Rotman School of Management Working Paper; No. 2224270).

Research output: Working paperResearch

Time-varying Crash Risk: The Role of Stock Market Liquidity

Christoffersen, P., Feunoua, B., Jeon, Y. & Ornthanalai, C. Jul 2016 Ottowa, ON: Bank of Canada, 53 p. (Staff Working Paper / Bank of Canada; No. 2016-35).

Research output: Working paperResearch

Open Access

What is the Expected Return on a Stock?

Martin, I. & Wagner, C. Nov 2016 London: The London School of Economics and Political Science, LSE, 69 p. (Financial Markets Group Discussion Paper ; No. 760).

Research output: Working paperResearch

Why do Investors Buy Sovereign Default Insurance?

Augustin, . P., Sokolovski, V., Subrahmanyam, M. G. & Tomio, D. 2016 Frankfurt am Main: Johann Wolfgang Goethe-Universität, 67 p. (CFS Working Papers; No. 540).

Research output: Working paperResearch

Open Access
2015

Debt Covenant Renegotiation and Investment

Arnold, M. & Westermann, R. 2015 St. Gallen: Universität St. Gallen, 48 p. (SOF Working Paper; No. 2015/14).

Research output: Working paperResearch

Open Access

Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?

Acharya, V. V., Imbierowicz, B., Steffen, S. & Teichmann, D. 15 Nov 2015 www: SSRN: Social Science Research Network, 58 p.

Research output: Working paperResearch

Early Option Exercise: Never Say Never

Heje Pedersen, L. & Jensen, M. V. Dec 2015 London: Centre for Economic Policy Research, 64 p. (Centre for Economic Policy Research. Discussion Papers; No. 11019).

Research output: Working paperResearch

Efficiently Inefficient Markets for Assets and Assets Management

Garleanu, N. & Heje Pedersen, L. Sep 2015 Cambridge, MA: National Bureau of Economic Research (NBER), 54 p. (National Bureau of Economic Research. Working Paper Series; No. 21563).

Research output: Working paperResearch

Equity Portfolio Management Using Option Price Information

Christoffersen, P. & Pan, X. N. 2015 Aarhus: Aarhus Universitetsforlag, 29 p. (Creates Research Paper; No. 2015-5). (Rotman School of Management Working Paper; No. 2419587).

Research output: Working paperResearch

Open Access

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

Kraft, H., Munk, C. & Wagner, S. 2015 Frankfurt am Main: Johann Wolfgang Goethe-Universität, 60 p. (SAFE Working Paper; No. 85).

Research output: Working paperResearch

Open Access

Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market

Andersen, S., Campbell, J. Y., Meisner Nielsen, K. & Ramadorai, T. 2015 Cambridge, MA: National Bureau of Economic Research (NBER), 52 p. (National Bureau of Economic Research. Working Paper Series; No. 21386).

Research output: Working paperResearch

Oil Volatility Risk and Expected Stock Returns

Christoffersen, P. & Pan, X. N. 2015 Aarhus: Aarhus Universitetsforlag, 54 p. (Creates Research Paper; No. 2015-6). (Rotman School of Management Working Paper; No. 2399677).

Research output: Working paperResearch

Open Access

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Christoffersen, P., Fournier, M., Jacobs, K. & Karoui, M. 2015 Aarhus: Aarhus Universitetsforlag, 54 p. (Creates Research Paper; No. 2015-54).

Research output: Working paperResearch

Open Access

Option Valuation with Observable Volatility and Jump Dynamics

Christoffersen, P., Feunoua, B. & Jeon, Y. 2015 Aarhus: Aarhus Universitetsforlag, 47 p. (Creates Research Paper; No. 2015-7). (Rotman School of Management Working Paper; No. 2494379). (Staff Working Paper / Bank of Canada; No. 2015-39).

Research output: Working paperResearch

Open Access
2014

Consumption and Wage Humps in a Life-cycle Model with Education

Kraft, H., Munk, C., Seifried, F. T. & Steffensen, M. 2014 Frankfurt am Main: Johann Wolfgang Goethe-Universität, 46 p. (SAFE Working Paper; No. 53).

Research output: Working paperResearch

Factor Structure in Commodity Futures Return and Volatility

Christoffersen, P., Lunde, A. & Olesen, K. V. 2014 Aarhus: Aarhus Universitetsforlag, 59 p. (Creates Research Paper; No. 2014-31). (Rotman School of Management Working Paper; No. 2495779 ).

Research output: Working paperResearch

Open Access

Illiquidity Premia in the Equity Options Market

Christoffersen, P., Goyenko, R., Jacobs, K. & Karoui, M. 4 Jul 2014 SSRN: Social Science Research Network, 59 p.

Research output: Working paperResearch

Paying for Payments: Free Payments and Optimal Interchange Fees

Korsgaard, S. Jun 2014 Frankfurt am Main: European Central Bank, 38 p. (European Central Bank. Working Papers (Online); No. 1682).

Research output: Working paperResearch

2013

Buffett's Alpha

Frazzini, A., Kabiller, D. & Heje Pedersen, L. Nov 2013 Cambridge, MA: National Bureau of Economic Research (NBER), 45 p. (National Bureau of Economic Research. Working Paper Series; No. 19681).

Research output: Working paperResearch

Carry

Koijen, R. S. J., Moskowitz, T. J., Heje Pedersen, L. & Vrugt, E. B. Aug 2013 Cambridge, MA: National Bureau of Economic Research (NBER), 63 p. (National Bureau of Economic Research. Working Paper Series; No. 19325).

Research output: Working paperResearch

Consumption Habits and Humps

Kraft, H., Munk, C., Seifried, F. T. & Wagner, S. 2013 Frankfurt am Main: Johann Wolfgang Goethe-Universität, 33 p. (SAFE Working Paper; No. 15).

Research output: Working paperResearch

Factor Covariances Predict Factor Returns

Barradale, N. J. & Hvidkjær, S. 2013 Frederiksberg: Copenhagen Business School [wp], 47 p.

Research output: Working paperResearch

Leading Indicators of Distress in Danish Banks in the Period 2008-12

Buchholst, B. V. & Rangvid, J. Sep 2013 København: Danmarks Nationalbank, 37 p. (Danmarks Nationalbank. Working Papers (Online); No. 85).

Research output: Working paperResearch

Sovereign Risk and Currently Returns

Della Corte, P., Sarno, L., Schmeling, M. & Wagner, C. 2013 www: SSRN: Social Science Research Network, 54 p.

Research output: Working paperResearch