Center for Financial Frictions

FRIC PhD student Benjamin Knox defended his dissertation Essays on Financial Markets and Monetary Policy in June 7, 2021.

The Department of Finance and Center for Financial Frictions hosted an online information meeting on March 11, 2021 about all aspects of pursuing a PhD in Finance - what it takes, how to succeed and what to do with the degree afterwards.

The program from the meeting can be found here.

FRIC PhD student Søren Bundgaard Brøgger defended his thesis entitled: Essays on Modern Derivatives Markets on January 29, 2021.

The thesis consists of three selfcontained essays, which can be read independently. The first essay investigates how the rebalancing of leveraged volatility products impacts the underlying volatility (VIX) futures market. The second essay demonstrates how dynamic hedging of derivatives portfolios that depend on several underlyings can induce a non-fundamental correlation between the underlying asset returns, even in the absence of any fundamental correlation. The third essay uses option valuation techniques to derive the value of cash in the absence of a zero lower bound on nominal interest rates.

Primary Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Assistant Professor Fabrice Tourre
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Anders Bjerre Trolle (Chair)
Department of Finance
Copenhagen Business School 

Associate Professor Katya Malinova
Finance and Business Economis
DeGroote School of Business, McMaster University

Professor Angela Ranaldo
Swiss Institute of Banking & Finance
University of St. Gallen 

Thesis:
The thesis is available here

FRIC PhD student Thomas Kjær Poulsen defended his thesis entitled: Essays on Asset Pricing with Financial Frictions on June 12, 2019.

The thesis consists of three self-contained essays, which study how financial frictions influence the pricing of equities, corporate bonds, and transaction costs. The first essay analyzes how risks related to firms’ debt structures explain a substantial fraction of the investment premium. The second essay investigates why debt dispersion affects yield spreads on corporate bonds. The third essay examines the cross-section of bid-ask spreads in the corporate bond market.

Primary Supervisor:
Professor Kristian Miltersen
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Associate Professor Jens Dick-Nielsen
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Ramona Westermann  (Chair)
Department of Finance
Copenhagen Business School 

Professor Nils Friewald
Department of Finance
Norwegian School of Economics

Professor Rainer Jankowitsch
Institute for Finance, Banking and Insurance
Vienna University of Economics and Business 

Thesis:
The thesis is available here

 

FRIC PhD student Pia Mølgaard defended her dissertation Essays on Corporate Loans and Credit Risk on September 20, 2018.

The thesis consists of three self-contained essays. The first essay investigates the trading pattern of managers of collateralized loan obligations (CLO) and how it affects the performance of the CLO. The second essay investigates how post issuance ratings and prices of corporate loans depends on the relationship the firm has with its bank connection. The third essay investigates how microstructural noise components in asset prices affect test results of the lead-lag relationship between corporate bond and CDS spreads. 

Primary Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School

Secondary Supervisors:
Associate Professor Jens Dick-Nielsen
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Ramona Westermann (Chair)
Department of Finance
Copenhagen Business School

Associate Professor Tobias Berg
Frankfurt School of Finance & Management

Associate Professor Paul Hanouna
Department of Finance
Villanova University

Thesis:
The thesis is available here

FRIC PhD student Christian Skov Jensen defended his dissertation Essays on Asset Pricing on August 14, 2018.

 

FRIC PhD student Stine Louise Daetz defended her dissertation Essays on Financial Frictions in Lending Markets on August 13, 2018.

FRIC PhD student Andreas Bang Nielsen defended his dissertation Essays on Foreign Exchange and Credit Risk on June 28, 2018.

The thesis consists of three self-contained essays. The first chapter develops a model that explains how currency denomination may cause differences in prices of credit risky securities on the same issuer.
The model is estimated to Eurozone sovereign credit default swaps denominated in euro and U.S. dollar. The second essay develops a method for calculating forward-looking risk exposures to currency factors and empirically examines their performance compared to risk exposures estimated from historical data. The final essay investigates empirically whether exposure to systematic currency risk explains the cross-section of currency volatility excess returns.

Primary Supervisor:
Professor David Lando
Department of Finance
University of Copenhagen
 
Secondary Supervisor:
Professor MSO Christian Wagner
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Carsten Sørensen (chair)
Department of Finance
Copenhagen Business School
 
Associate Professor Pasquale Della Corte
Department of Finance
Imperial College Business School, Imperial College London
 
Assistant Professor Irina Zviadadze
Stockholm School of Economics
 
Thesis:
The thesis is available here
 
 

FRIC PhD student Niels Joachim Gormsen defended his dissertation Essays on Empirical Asset Pricing on June 15, 2018.

The thesis concerns the empirical relation between risk and return in equities. It studies why the expected return on stocks as a whole varies over time and why there are predictable cross-sectional differences in the return on individual stocks. The thesis consists of three chapters which can be read independently.

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

Secondary Supervisors:
Professor Kristian Miltersen
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Linda Sandris Larsen (Chair)
Department of Finance
Copenhagen Business School
 
Associate Professor Dong Lou
Department of Finance
London School of Economics
 
Professor Tom Engsted
Institut for Økonomi
Aarhus Universitet

Thesis:
The thesis is available here
 

The Department of Finance and Center for Financial Frictions hosted an information meeting on March 13, 2018 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here

The Nordic Finance Network (NFN), Center for Financial Frictions and the Department of Finance at CBS organized the 11th PhD in Nordic Finance workshop on May 30-31, 2017 in Copenhagen.

Keynote speaker
This year's keynote speaker is Professor Ralph Koijen, NYU Stern School of Business. Non-registered participants are welcome to attend the keynote talk, which takes place Tuesday May 30 from 17.00-18.00 - see more about the public lecture with Ralph Koijen here.

Program
The program for the PhD Nordic Finance Workshop 2017 is available here.Please note that this is only for registered participants.

Further information about the workshop can be found on the website of NFN: http://nfn.aalto.fi/workshops.htm

FRIC PhD student Davide Tomio defended his dissertation Essays on Arbitrage and Market Liquidity on May 11, 2017.

This dissertation consists of three essays aimed at understanding what drives market liquidity and the mispricing between securities connected by arbitrage. The first sets the stage by investigating how credit risk affects bond market liquidity. The second essays considers the market liquidity of an asset together with that of a second asset, to which the first is connected by an arbitrage relationship. The third essay considers how the liquidity spills over between two securities connected by arbitrage, focusing on the propagation of a liquidity shock and show how a large buying pressure exerted by an exceptional trader (a central bank) affects the pricing relation between two securities and how the illiquidity arising in one market is transferred to the other.

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

Secondary Supervisor:
Professor Søren Hvidkjær
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Ulf Nielsson
Department of Finance
Copenhagen Business School

Associate Professor Katya Malinova
Department of Economics
University of Toronto

Associate Professor Michael Halling
Department of Finance
Stockholm School of Economics

Thesis:
The thesis is available here

The Department of Finance and Center for Financial Frictions hosted an information meeting on March 7, 2017 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here

FRIC PhD student Mads Vestergaard Jensen defended his dissertation Financial Frictions - Implications for Early Option Exercise and Realized Volatility on Friday November 18, 2016 at 2 pm.

The first chapter (with Lasse Heje Pedersen) shows that the classic rule that one should never exercise a call option early breaks down when frictions are severe enough. The second chapter documents that underlying stocks underperform after early exercise, consistent with private information leading to early exercise. The final chapter (with Christian Skov Jensen) finds that, consistent with an increase in differences of opinion, a positive demand shift for shorting a stock predicts higher volatility for the affected stock.

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

Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Claus Munk (Chair)
Department of Finance
Copenhagen Business School

Professor Nicole Branger
Muenster School of Business and Economics
University of Muenster

Professor Bent Jesper Christensen
Institut for Økonomi
Aarhus Universitet

Thesis:
The thesis is available here

 

FRIC PhD student Mikael Reimer Jensen defended his thesis Interbank Markets and Frictions on November 17, 2016 at 1 pm.

The thesis consists of three chapters. The first chapter examines how banks’ liquidity position shapes outcomes in the money market. The second chapter investigates the decomposition of interbank rates into credit and liquidity risk. Finally, the third chapter explores how the classical no-arbitrage pricing framework can be extended by assuming that the underlying asset can be used in a repo transaction.

Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Jens Dick-Nielsen (Chair)
Department of Finance
Copenhagen Business School

Senior Economist Marie Hoerova
Financial Research
European Central Bank

Associate Professor Thomas Kokholm
Department of Economics
Aarhus University
 
The thesis is available here

The Department of Finance and Center for Financial Frictions hosted an information meeting on April 25, 2016 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here

The Department of Finance and Center for Financial Frictions hosted an information meeting on December 10, 2015 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here
 

Efficiently Inefficient - How Smart Money Invests and Market Prices Are Determined is a new book by Prof. Lasse Heje Pedersen.

Join us for an open lecture where Lasse Heje Pedersen tells about his meetings with investment gurus such as George Soros, John Paulson, and Ken Griffin, and how his research and experience developed into this new book. The book is being taught at Copenhagen Business School as well as global universities such as Harvard, UCLA, Berkeley, Wharton and NYU.

After the lecture, there will be the possibility to buy a copy of the new book at a special rate and get it signed by the author.

PROGRAM - October 2, 2015
in SPs07
15.30-16.00 Open Lecture
16.00-17.00 Book Signing
 

The Department of Finance is pleased to announce that managing director at Nykredit Bank Jesper Berg is appointed adjunct professor of finance at CBS.

The inaugural lecture took place on August 28, 2015 at 14.30-16.30, SpS05
The fall of Bagehot - An inductive approach to understanding monetary policy implementation

Abstract:
The lecture will to provide an introduction to monetary policy implementation and the challenges posed by the financial crisis. Monetary policy implementation is normally about setting a short term interest rate. This apparently simple task is complicated by additional objectives, e.g. in relation to the structure of the money market, as well as the necessity to decide on a number of parameters, such as collateral, timing, counterparties and quantitative restrictions on the supply of liquidity. The apparent attempt to both control quantities and prices (rates) is one of the more mind bugling aspects of monetary policy implementation. The financial crisis has demanded great flexibility in relation to the setting of parameters, and one of the consequences has been that the distinction between monetary policy lending and the lender of last resort role of central banks in the spirit of Bagehot has become blurred. Central banks have also moved beyond setting a short term rate as financial markets became disconnected.

See the slide here: jesper_bergtiltraedelsesforelaesning.pdf
 

FRIC PhD Mamdouh Medhat defended his dissertation: Measuring and Pricing the Risk of Corporate Failures on May 27, 2015. Mamdouh Medhat accepted an offer from Cass Business School, City University London as Assistant Professor.

Measuring and Pricing the Risk of Corporate Failures
This PhD dissertation consists of three chapters. The first presents an additive regression framework that allows the estimation and analysis of time-varying effects on default probabilities. The second studies the validity of an assumption in the Basel accords stating that the default probabilities of smaller firms are less cyclical. The third argues that firms' cash holdings can help rationalize the low returns to distressed equity.
 
Supervisor
Professor David Lando
Department of Finance
Copenhagen Business School
 
Secondary supervisor
Professor Søren Feodor Nielsen
Department of Finance
Copenhagen Business School
 
Assessment Committee
Professor Lasse Heje Pedersen (Chair)
Department of Finance
Copenhagen Business School

Associate Professor Johan Hombert
Finance Department
HEC Paris

Economist Diana Bonfim
Economics and Research Department
Banco de Portugal

The thesis is available here

From June 22-26, 2014 FRIC participated in the Science in the City Festival in the Carlsberg City.Here you were able to explore the FRIC Tapestry, FRIC Lounge and hear David Lando's talk on why regulation cannot curtail crises.

The FRIC Tapestry is a 20 meters long account (in Danish) of the financial crisis. The tapestry shows a timeline of the crisis and explains 6 key concepts that will help you understand the mechanics of a financial crisis. You can find the tapestry at frictapet.cbs.dk and learn more about the evolution of the crisis from the beginning and until today.

The FRIC Lounge focused on the key concepts of a financial crisis. Here you could find posters on 4 subjects and listen to 4 videos (in Danish) where David Lando talks about frictions, American call options, liquidity and more. Find the  FRIC posters here and the videos here.

On Saturday, June 21, 2014, Center leader David Lando gave a talk on why regulation cannot curtail crises. In his talk, David Lando shed light on how the financial world have always sought to steer clear of regulation in creative ways, and how the seemingly best solution for one crisis became the foundation for the next. Download David Lando's slides here: David Lando_Regulering

If you would like to see more pictures from the Festival, please take a look here: FRIC at the Science in the City Festival.

The Nordic Finance Network (NFN), Center for Financial Frictions and the Department of Finance at CBS organized the second Finance workshop for young scholars from Nordic universities on November 21-22, 2013 in Copenhagen.

Programme

Thursday November 21, 2013
11.00-11.45	Product Market Predatory Threats and Contractual Constraints of Debt*Xunhua Su (NTNU) Einar C. Kjenstadt (Simon.Rochester) Xuan Tian (IU)Discussant: Mikko Leppämäki (Aalto)
11.45-12.30	Measuring Agency Costs over the Business Cycle*Ramona Westermann (CBS)Discussant: Jøril Mæland (NHH)
12.30-13.30	Lunch at Solbjerg Plads, Rotunden
13.30-14.15	The Transmission of Liquidity Shocks to the Real Economy*Özlem Dursun-de Neef (AU)Discussant: Charlotte Østergaard (BI)
14.15-15.00	Term-Structure of Consumption Risk Premia in the Cross-Section of Currency Returns*Irina Zviadadze (SSE)Discussant: Christian Wagner (CBS)
15.00-15.45	Rational Speculators, Contrarians and Excess Volatility*Matthijs Lof (university of Helsinki and HECER)Discussant: Paul Ehling (BI)
15.45-16.15	Coffee
16.15-17.00	Investment in Relationship-Specific Assets: Does Finance Matter?*Martin Strieborny (Lund) Madina Kukenova (International Trade Centre, Switzerland)Discussant: Hamid Boustanifar (BI)
17.00-17.45	Factor Covariances Predict Factor Returns*Nigel Barradale (CBS) Søren Hvidkjær (CBS)Discussant: Ulf von Lilienfeld-Toal (HHS)
18.00-	Dinner at Solbjerg Plads, Rotunden

Friday November 22, 2013
8.15-9.00	From Funding Liquidity to Market Liquidity: Evidence from Danish Bond Markets*Jens Dick-Nielsen (CBS) Jacob Gyntelberg (Bank for International Settlements, Basel) Jesper Lund (CBS)Discussant: Siri Valseth (UIS)
9.00-9.45	The Effect of Investment Constraints on Hedge Fund Investor Returns*Juha Joenväärä (University of Oulu and Imperial) Robert Kosowski (Imperial and Oxford) Pekka Tolonen (University of Oulu)Discussant: Niklas Kohl (CBS)
9.45-10.00	Coffee
10.00-10.45	A Classical Moment-Based Approach with Bayesian Properties: Econometric Theory and Empirical Evidence from Asset Pricing*Benjamin Holcblat (BI, Oslo)Discussant: Jesper Lund (CBS)
11.00-12.15	Finance Seminar with Terry Hendershott, Haas School of Business, University of California, BerkeleyAsset Price Dynamics with Limited AttentionSolbjerg Plads, SPs03 Ernst & Young Aud.
12.15-13.15	Lunch at Solbjerg Plads, Rotunden 2.floor

Venue
CBS, Kilen Ks71, Kilevej 14 A/B, 2000 Frederiksberg

Invited speakers:
Annette Vissing-Jørgensen, Northwestern University (Visiting UC Berkeley)
Adair Morse, University of Chicago (Visiting UC Berkeley)
Susan Christoffersen, University of Toronto
Peter Christoffersen, University of Toronto
David Lando, CBS
Lasse Heje Pedersen, CBS

See the program here: Program Mini Symposium