PhD Defense: Kristoffer Halskov

In order to obtain the PhD degree, Kristoffer Halskov has submitted his thesis entitled:

Essays on Empirical Asset Pricing

This thesis explores the relationship between risk and return in financial markets through three independent chapters. The first chapter introduces a novel framework combining structural models and machine learning to enhance predictability and economic interpretability. The model outperforms benchmarks in predicting equity returns and (co)variances, highlighting the differing roles of systematic risk compensation and mispricing for expected equity returns. The second chapter demonstrates that machine learning models enhance the estimation of expected returns for merger arbitrage trades, improving both absolute and risk-adjusted returns. The final chapter analyzes the market for bonds tied to ESG targets. The findings reveal that investors pay a premium for these bonds, with yields 1-2 basis points lower, and that bond prices are strongly linked to potential penalties for missing ESG targets as basic financial theory would suggest.

The thesis will be available from research.cbs.dk

Primary Supervisor:
Professor Peter Feldhütter
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Kristian Miltersen (Chair)
Department of Finance
Copenhagen Business School

Associate Professor Florian Christoph Nagler
Department of Finance
Bocconi University

Professor Nicole Branger
Finance Center Muenster
Muenster School of Business and Economics, University of Muenster

Date: 04 September 2024
Time: 13:00-15:00
Online: Teams 
*Please note that the microphone and camera of all spectators must be turned off.

Location: Solbjerg Plads
Room: SP214
Reception: Rotunden (2nd floor above canteen)

*The CBS PhD School will host a reception, which will take place immediately after the defence.