PhD defence: Sven Klingler

In order to obtain the PhD degree, Sven Klingler submitted his thesis entitled: Essays on Asset Pricing with Financial Frictions

Fredag, 30 juni, 2017 - 10:30 to 12:00

The common theme of this thesis, which consists of three essays, is the effect of funding frictions on asset prices. The first essay (co-authored with David Lando) shows how financial regulation creates a demand for credit default swap (CDS) contracts on safe sovereigns. The second essay (co-authored with Suresh Sundaresan) provides evidence that underfunded pension plans, which face funding constraints because they are restricted from using direct leverage, have a demand for long-dated interest rate swaps. The third essay uses deviations from the covered interest rate parity (CIP) as a proxy for market-wide funding conditions and shows that hedge funds with higher exposure to that risk underperform funds with lower exposure.

Primary Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School
 
Secondary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School
 
Assessment Committee:
Professor Peter Ove Christensen
Department of Finance
Copenhagen Business School
 
Professor Stephen M. Schaefer
London Business School
 
Assistant professor Andrea Vedolin
Department of Finance
London School of Economics
 
Thesis:
The thesis is available here
 
Reception:
The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in Rotunden at Solbjerg Plads 3.

Sidst opdateret: Sekretariat for Ledelse og Kommunikation // 02/09/2020