Center for Big Data in Finance (BIGFI)

Publications

PUBLICATIONS BY CENTER MEMBERS

2025

A modified wild bootstrap procedure for Laplace transforms of volatilityA modified wild bootstrap procedure for Laplace transforms of volatility. Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov, Economics Letters, Vol. 247. DOI: https://doi.org/10.1016/j.econlet.2025.112177

2024

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section? Andreas Neuhierl, Xiaoxiao Tang, Rasmus T. Varneskov, Guofu Zhou, Management Science, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.3795486

The Ostrich in Us: Selective Attention to Personal Finances. Arna Olafsson, Michaela Pagel, Review of Economics and Statistics (ReStat), forthcoming. Link: https://www.dropbox.com/scl/fi/3k6zqitvg3pnmtzq9f9yp/Checking_RESTAT_CA_v2.pdf?rlkey=op5cq5svqb2302hp5cgjskqpe&e=1&st=202srhse&dl=0

Equity Return Expectations and Portfolios: Evidence From Large Asset Managers. Magnus Dahlquist, Markus Ibert, Review of Financial Studies, Vol. 37, No. 6, p. 1887-1928. DOI: https://doi.org/10.1093/rfs/hhae008

Big Broad Banks: How Does Cross-selling Affect Lending?, Yingjie Qi, Review of Finance, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.3074343

How Integrated Are Credit and Equity Markets? Evidence from Index Options, Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle, Journal of Finance, Vol. 79, No. 2, p. 949-992. DOI: https://dx.doi.org/10.2139/ssrn.3634726

Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-Cost Loan Borrowers, Leandro Carvalho, Arna Olafsson, Daniel Silverman, Journal of Political Economy, 132(9), 3173-3213. DOI: https://doi.org/10.1086/730200

Pricing of Sustainability-Linked Bonds, Peter Feldhütter, Kristoffer Halskov and Arthur Krebbers, Journal of Financial Economics, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.4558861

Is Capital Structure Irrelevant with ESG Investors?, Peter Feldhütter, and Lasse Heje Pedersen, The Review of Financial Studies, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.4227547

The Co-holding Puzzle: New Evidence from Transaction-Level Data, John Gathergood, and Arna Olafsson, Review of Financial Studies, forthcoming. DOI: https://doi.org/10.1093/rfs/hhae016

Broken Promises, Competition, and Capital Allocation in the Mutual Fund Industry, Simona Abis, and Anton Lines, Journal of Financial Economics, Vol. 162, no.103948. DOI: https://doi.org/10.1016/j.jfineco.2024.103948

2023

Debt Dynamics and Credit Risk, Peter Feldhütter, and Stephen Schaefer, Journal of Financial Economics, Vol. 149(3), pp. 497-535. DOI: https://doi.org/10.1016/j.jfineco.2023.06.007

Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(5), pp. 2465-2518. DOI: https://doi.org/10.1111/jofi.13249

Principal Portfolios, Bryan Kelly, Semyon Malamud, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(1), pp. 347-387. DOI: https://doi.org/10.1111/jofi.13199

 

The page was last edited by: Department of Finance // 03/12/2025