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Center for Financial Frictions
Publications
FRIC Publication List
Publications 2022
Articles
Brøgger, S. B. (2022). Dynamic Risk Management and Asset Comovement. Journal of Empirical Finance.
DOI: 10.1016/j.jempfin.2022.01.003
Christoffersen, S. E. K., Keim, D., Musto, D., Rzeznik, A. (2022). Passive-Aggressive Trading: The Supply and Demand of Liquidity by Institutional Traders. Review of Finance.
DOI: https://doi.org/10.1093/rof/rfac008
Frazzini, A., Pedersen, L. H. (2022). Embedded Leverage. The Review of Asset Pricing Studies.
DOI: https://doi.org/10.1093/rapstu/raab022
Friewald, N., Nagler, F., Wagner, C. (2022). Debt Refinancing and Equity Returns. Journal of Empirical Finance.
DOI: https://doi.org/10.1016/j.jempfin.2022.01.003
Greenwood, R., Hanson, S., Shleifer, A., Sørensen, J. A. (2022). Predictable Financial Crises (forthcoming).
OA: https://www.hbs.edu/faculty/Publication%20Files/20-130_56074edc-f438-49c2-aaa4-11d8f6237b7f.pdf
Jensen, T. I., Kelly, B., Pedersen, L. H. (2022). Is There a Replication Crisis in Finance? (Forthcoming)
DOI: https://doi.org/10.3386/w28432
Kelly, B., Malamud, S., Pedersen, L. H. (2022). Principal Portfolios. Review of Finance.
DOI: https://doi.org/10.1093/rof/rfac008
Paper presented on a forum or a conference
Dick-Nielsen, J., Gyntelberg, J., Thimsen, C. (2022). The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts. Paper presented at The 80th Annual Meeting of American Finance Association. AFA 2020, San Diego, California, United States.
OA: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2020&paper_id=1321
PhD dissertations
Brøgger, S. B. (2021). Essays on Modern Derivatives Markets, Copenhagen Business School
Knox, B. (2021). Essays on Financial Markets and Monetary Policy, Copenhagen Business School
Articles
Asness, C. S., Liew, J. M., Pedersen, L. H., Thapar, A. K. (2021). Deep Value. The Journal of Portfolio Management.
DOI: https://doi.org/10.3905/JPM.2021.1.215
Berg, T., Reisinger, M., Streitz, D. (2021). Spillover Effects in Empirical Corporate Finance. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2021.04.039
Berger, D. W., Milbradt, K., Tourre, F., Vavra, J. (2021). Mortgage Prepayment and Path-dependent Effects of Monetary Policy. American Economic Review.
DOI: https://doi.org/10.1257/aer.20181857
Brøgger, S. B. (2021). The Market Impact of Predictable Flows: Evidence from leveraged VIX products. Journal of Banking & Finance.
DOI: 10.1016/j.jbankfin.2021.106280
Buraschi, A., Piatti, I., Whelan, P. (2021). Subjective Bond Returns and Belief Aggregation. Review of Financial Studies.
DOI: https://doi.org/10.1093/rfs/hhab115
Buraschi, A., Whelan, P. (2021). Speculation, Sentiment, and Interest Rates. Management Science.
DOI: https://doi.org/10.1287/mnsc.2021.3956
Cieslak, A., Vissing-Jorgensen, A. (2021). The Economics of the Fed Put. The Review of Financial Studies.
DOI: https://doi.org/10.1093/rfs/hhaa116
Corte, P. D., Sarno, L., Schmeling, M., Wagner, C. (2021). Exchange Rates and Sovereign Risk. Management Science.
DOI: https://doi.org/10.1287/mnsc.2021.4115
Di Tillio, A., Ottaviani, M., Sørensen, P. N. (2021). Strategic Sample Selection. Econometrica.
DOI: https://doi.org/10.3982/ECTA17288
Dick-Nielsen, J., Nielsen, M. N., von Rüden, S. L. (2021). The Value of Bond Underwriter Relationships. Journal of Corporate Finance.
DOI: https://doi.org/10.1016/j.jcorpfin.2021.101930
Fabozzi, F. J., Klingler, S., Mølgaard, P., Nielsen, M. S. (2021). Active Loan Trading. Journal of Financial Intermediation.
DOI: https://doi.org/10.1016/j.jfi.2020.100868
Gârleanu, N., Pedersen, L. H. (2021). Active and Passive Investing. The Review of Asset Pricing Studies.
DOI: https://doi.org/10.1093/rapstu/raab020
Geelen T., Hajda, J., Morellec, E. (2021). Can Corporate Debt Foster Innovation and Growth? Review of Financial Studies.
DOI: https://doi.org/10.1093/rfs/hhab129
Leombroni, M., Vedolin, A., Venter, G., Whelan, P. (2021). Central Bank Communication and the Yield Curve. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2021.04.036
Pedersen, L. H., Babu, A., Levine, A. (2021). Enhanced Portfolio Optimization. Financial Analysts Journal.
DOI: https://doi.org/10.1080/0015198X.2020.1854543
Pedersen, L. H., Fitzgibbons, S., Pomorski, L. (2021). Responsible Investing. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2020.11.001
Smith, L., Sørensen, P. N., Tian, J. (2021). Informational Herding, Optimal Experimentation, and Contrarianism. Review of Economic Studies.
DOI: https://doi.org/10.1093/restud/rdab001
Saidi, F., Streitz, D. (2021). Bank Concentration and Product Market Competition. Review of Financial Studies.
DOI: https://doi.org/10.1093/rfs/hhab005
Articles
Adam, T., Burg V., Scheinert, T., and Streitz. D. (2020). Managerial Biases and Debt Contract Design: The Case of Syndicated Loans. Management Science.
DOI: http://dx.doi.org/10.2139/ssrn.2075955
Asness, C. S., Frazzini, A., Gormsen, N. J., and Pedersen, L. H. (2020). Betting against correlation: Testing theories of the low-risk. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2019.07.003
Acharya, V. V., Imbierowicz, B., Steffen, S., Teichmann, D. (2020). Does the Lack of Financial Stability Impair the Transmission of Monetary Policy? Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2020.06.011
Alquist, R., Frazzini, A., Ilmanen, A., Pedersen, L. H. (2020). Fact and Fiction about Low-Risk Investing. Journal of Portfolio Management.
DOI: https://doi.org/10.3905/jpm.2020.1.146
Babu, A., Levine, A., Ooi, Y., H., Pedersen, L. H., Stamelos, E. (2020). Trends Everywhere. Journal of Investment Management (Forthcoming).
DOI: https://dx.doi.org/10.2139/ssrn.3386035
Bertsch, C., Hull, I., Qi, Y., Zhang, X. (2020). Bank Misconduct and Online Lending. Journal of Banking & Finance.
DOI: https://doi.org/10.1016/j.jbankfin.2020.105822
Collin-Dufresne, P., Junge, B., Trolle, A. B. (2020). Market Structure and Transaction Costs of Index CDSs. Journal of Finance.
DOI: https://doi.org/10.1111/jofi.12953
Dick-Nielsen, J., Gyntelberg, J. (2020). Highly Liquid Mortgage Bonds using the Match Funding Principle. Quarterly Journal of Finance.
DOI: https://doi.org/10.1142/S2010139220500019
Eisenthal-Berkovitz, Y., Feldhütter, P., and Vig, V. (2020). Leveraged Buyouts and Bond Credit Spreads. Journal of Financial Economics, forthcoming.
DOI: http://dx.doi.org/10.2139/ssrn.2827116
Feldhütter, P., Eisenthal-Berkovitz, Y., Vig, V. (2020). Leveraged Buyouts and Bond Credit Spreads. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2019.07.007
Ghent, A. C., Miltersen, K., Tourus, W. N. (2020). Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products. Real Estate Economics.
DOI: https://doi.org/10.1111/1540-6229.12257
Lando, D. (2020). Credit Default Swaps. Annual Review of Financial Economics.
DOI: https://doi.org/10.1146/annurev-financial-012820-013740
Schneider, P., Wagner, C., Zechner, J. (2020). Low‐risk Anomalies? The Journal of Finance.
DOI: https://doi.org/10.1111/jofi.12910
Paper presented on a forum or a conference
Vissing-Jorgensen, A. (2020). Informal Central Bank Communication. Paper presented at ECB Forum on Central Banking 2020, Sintra, Portugal (forthcoming).
DOI: https://doi.org/10.3386/w28276
Articles
Acharya, V. V., Pedersen, L. H., (2019). Economics with Market Liquidity Risk. Critical Finance Review.
DOI: https://doi.org/10.1561/104.00000083
Asness, C. S., Frazzini, A., and Pedersen, L. H. (2019). Quality Minus Junk. Review of Accounting Studies.
DOI: https://doi.org/10.1007/s11142-018-9470-2
Berg, J., Lando, D. (2019). Finanstilsynets organisering. Finans/Invest.
OA: https://research-api.cbs.dk/ws/portalfiles/portal/59650550/david_lando_et_al_finanstilsynets_organisering_publishersversion.pdf
Cieslak, A., Morse, A., Vissing-Jorgensen, A. (2019). Stock Returns over the FOMC Cycle. Journal of Finance.
DOI: https://doi.org/10.1111/jofi.12818
Dick-Nielsen, J., Gyntelberg, J., Thimsen, C. (2019). Bankers kapitalomkostninger: Hvad koster mere egenkapital for en bank? Finans/Invest.
OA: https://research-api.cbs.dk/ws/portalfiles/portal/59650690/jens_dick_nielsen_et_al_bankers_kapitalomkostninger_publishersversion.pdf
Dick-Nielsen, J., Rossi, M. (2019). The Cost of Immediacy for Corporate Bonds. Review of Financial Studies.
DOI: https://doi.org/10.1093/rfs/hhy080
Grosse-Rueschkamp, B., Steffen, S., Streitz, D. (2019). A Capital Structure Channel of Monetary Policy. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2019.03.006
Ghent, A. C., Miltersen, K. R. and Torous, W. N. (2019). Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products. Real Estate Economics.
DOI: https://doi.org/10.1111/1540-6229.12257
Jensen, C. S., Lando, D., Pedersen, L. H., (2019). Generalized Recovery. Journal of Financial Economics.
DOI: https://doi.org/10.1016/j.jfineco.2018.12.003
Klingler, S., and Sundaresan, S. M. (2019). An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans. Journal of Finance.
DOI: https://doi.org/10.1111/jofi.12750
Martin, I., and Wagner, C. (2019). What is the Expected Return on a Stock? Journal of Finance.
DOI: https://doi.org/10.1111/jofi.12778
Paper presented on a forum or a conference
Vissing-Jorgensen, A. (2019). Central Banking with Many Voices: The Communications Arms Race. Paper presented at XXIII Annual Conference of the Central Bank of Chile, Santiago, Chile.
OA: http://faculty.haas.berkeley.edu/vissing/cacophony.pdf
PhD dissertations
Daetz, S. L. (2018). Essays on Financial Frictions in Lending Markets. PhD Dissertation, Copenhagen Business School.
Gormsen, N. J. (2018). Essays on Empirical Asset Pricing. PhD Dissertation, Copenhagen Business School.
Jensen, C. S. (2018). Essays on Asset Pricing, Copenhagen Business School.
Mølgaard, P. (2018). Essays on Corporate Loans and Credit Risk, PhD Dissertation, Copenhagen Business School.
Nielsen, A. B. (2018). Essays on Foreign Exchange and Credit Risk. PhD Dissertation, Copenhagen Business School.
Articles
Asness, C. S., Frazzini, A., Israel, R., Moskowitz, T. J., and Pedersen, L. H. (2018). Size Matters, if You Control Your Junk. Journal of Financial Economics, 129(3), 479-509.
DOI: 10.1016/j.jfineco.2018.05.006
Bollerslev, T., Hood, B., Huss, J., and Pedersen, L. H. (2018). Risk Everywhere: Modeling and Managing Volatility. The Review of Financial Studies, 31(7), 2729-2773.
DOI: https://doi.org/10.1093/rfs/hhy041
Brøgger, S. B. (2018). Bitcoin futures: En indledende analyse. Finans/Invest, 1, 14-19.
DOI: https://research.cbs.dk/files/56079615/s_ren_bundgaard_br_gger_bitcoin_f...
Brøgger, S. B. (2018). Afledte VIX-produkter: Logrer halen med hunden? Finans/Invest, 3, 28-35.
OA: https://research.cbs.dk/files/57343990/s_ren_bundgaard_br_gger_afledte_v...
Feldhütter, P., Heyerdahl-Larsen, C., and Illeditsch, P. (2018). Risk Premia and Volatilities in a Nonlinear Term Structure Model. Review of Finance, 22(1), 337–380.
DOI: https://doi.org/10.1093/rof/rfw052
Feldhütter, P., and Schaefer, S. (2018). The myth of the credit spread puzzle. The Review of Financial Studies, 31(8), 2897-2942.
DOI: 10.1093/rfs/hhy032
Frazzini, A., Kabiller, D., and Pedersen, L. H. (2018). Buffett's Alpha. Financial Analysts Journal, 74(4), 35-55.
DOI: https://doi.org/10.2469/faj.v74.n4.3
Garleanu, N. and Pedersen, L. H. (2018). Efficiently Inefficient Markets for Assets and Asset Management. The Journal of Finance, 73(4), 1663-1712.
OA: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=12664#
Imbierowicz, B., Kragh, J., and Rangvid, J. (2018). Time-varying capital requirements and disclosure rules. Effects on capitalization and lending decisions. Journal of Money, Credit and Banking, 50(4), 573-602.
DOI: 10.1111/jmcb.12506
Klingler, S., and Lando, D. (2018). Safe Haven CDS Premiums. The Review of Financial Studies, 31(5), 1855-1895.
DOI/OA: https://doi.org/10.1093/rfs/hhy021
Koijen, R., Moskowitz, T. J., Pedersen, L. H., and Vrugt, E. (2018). Carry. Journal of Financial Economics, 127 (2), 197-225.
DOI: https://doi.org/10.1016/j.jfineco.2017.11.002
Krishnamurthy, A., Nagel, S., and Vissing-Jørgensen, A. (2018). ECB Policies Involving Government Bond Purchases: Impact and Channels. Review of Finance, 22(1), 1–44.
DOI: https://doi.org/10.1093/rof/rfx053
Pedersen, L. H. (2018). Sharpening the Arithmetic of Active Management. Financial Analysts Journal, 74 (1), 21-36.
DOI: https://www.cfapubs.org/doi/full/10.2469/faj.v74.n1.4
Westermann, R. (2018). Measuring Agency Costs over the Business Cycle, Management Science.
DOI: https://doi.org/10.1287/mnsc.2017.2813
PhD dissertations
Klingler, S. (2017). Essays on Asset Pricing with Financial Frictions, PhD Dissertation, Copenhagen Business School.
Tomio, D. (2017). Essays on Arbitrage and Market Liquidity, PhD Dissertation, Copenhagen Business School.
Articles
Acharya, V., Pedersen, L. H., Philippon, T., and Richardson, M. (2017). Measuring Systemic Risk. The Review of Financial Studies, 30(1), 2-47.
DOI/OA: https://doi.org/10.1093/rfs/hhw088
Bechmann, K. L., and Pedersen, L. H. (2017). Aktiv kontra passiv forvaltning. Finans/Invest, 3, 2-4.
OA: https://research.cbs.dk/files/56079370/ken_l_bechmann_aktiv_kontra_passi...
Bechmann, K. L. and Nielsen, M. S. (2017). Investeringer i fossile selskaber og strandede aktiver. Finans/Invest, 2, 15-22.
OA: https://research.cbs.dk/files/46437660/ken_bechmann_investeringer_i_foss...
Brøgger, S. B. (2017). 50 Shades of Discounting: Diskontering af derivatbetalinger i teori og praksis. Finans/Invest, 4, 18-23.
OA: https://research.cbs.dk/files/56079347/s_ren_bundgaard_br_gger_50_shades...
Berg, T., Saunders, A., Steffen, S., Streitz, D. (2017). Mind the Gap. The Review of Financial Studies, 30(3), 948-987.
DOI: https://doi.org/10.1093/rfs/hhw097
Christoffersen, S., and Simutin, M. (2017). On the Demand for High-Beta Stocks: Evidence from Mutual Funds. The Review of Financial Studies, 30(8), 2596-2620.
DOI: http://dx.doi.org/10.2139/ssrn.2022266
Christoffersen S., and Xu, H. (2017). Investor Attrition and Fund Flows in Mutual Funds. Journal of Financial and Quantitative Analysis, 52 (3), 867-893.
DOI: http://dx.doi.org/10.2139/ssrn.2417091
Dahlquist, M., Vicente Martinez, J., and Söderlind, P. (2017). Individual Investor Activity and Performance. The Review of Financial Studies, 30(3), 866–899.
DOI: https://doi.org/10.1093/rfs/hhw093
Di Tillio, A., Ottaviani, M., and Sørensen, P. N. (2017). Persuasion Bias in Science Can Economics Help? Economic Journal, 127 (605), F266-F304.
DOI: https://doi.org/10.1111/ecoj.12515
Dick-Nielsen, J. (2017). Manglende likviditet i obligationsmarkederne? Finans/Invest, 1, 25-29.
DOI/OA:http://research.cbs.dk/files/45753090/jens_dick_nielsen_manglende_likvid...
Freudenberg, F., Imbierowicz, B., Saunders, A., and Steffen, S. (2017). Covenant Violations and Dynamic Loan Contracting. Journal of Corporate Finance, 45, 540-565.
DOI: https://doi.org/10.1016/j.jcorpfin.2017.05.009
Hurst, B., Ooi, Y. H., and Pedersen, L. H. (2017). A Century of Evidence on Trend-Following Investing. The Journal of Portfolio Management, 44(1), 15-29.
DOI: https://doi.org/10.3905/jpm.2017.44.1.015
Jensen, T. L., Lando, D., and Medhat, M. (2017). Cyclicality and Firm Size in Private Firm Defaults. International Journal of Central Banking, 13(4), 97-145.
DOI/OA: http://www.ijcb.org/journal/ijcb17q4a4.pdf
Book and book chapters
Buraschi, A, and Whelan, P. (2016). Bond Markets and Monetary Policy. In: Handbook of Fixed-income Securities. Pietro Veronesi (ed.), Wiley, 77-92.
Buraschi, A, and Whelan, P. (2016). Bond Markets and Unconventional Monetary Policy. In Handbook of Fixed-income Securities. Pietro Veronesi (ed.), Wiley, 93-116.
Dick-Nielsen, J. and Lando, D. (2016). Corporate bonds. In Handbook of Fixed-Income Securities, Pietro Veronesi (ed.),Wiley, ch. 22, 541-560.
PhD dissertation
Jensen, M. R. (2016). Interbank Markets and Frictions. PhD Dissertation, Copenhagen Business School.
Jensen, M. V. (2016). Financial Frictions - Implications for Early Option Exercise and Realized Volatility. PhD Dissertation, Copenhagen Business School..
Korsgaard, S. (2016). Payments and Central Bank Policy. PhD Dissertation, Copenhagen Business School.
Articles
Bach, C., and Christensen, P. O. (2016). Consumption-based equity valuation. Review of Accounting Studies, 21(4), 1149–1202. DOI: https://doi.org/10.1007/s11142-016-9358-y
OA:http://research.cbs.dk/files/46753138/peter_ove_christensen_consumption_...
Berger, A. N., Imbierowicz, B., and Rauch, C. (2016). The Roles of Corporate Governance in Bank Failures During the Recent Financial Crisis. Journal of Money, Credit and Banking, 48(4), 729–770.
DOI: https://doi.org/10.1111/jmcb.12316
Bechmann, K. L., Nielsen, M. S.: ”Formidlingsprovision og performance af danske investeringsfonde”
OA: https://research.cbs.dk/files/44759323/ken_l_bechmann_formidlingsprovisi...
Christensen, P. O., and Rangvid, J. (2016). Hvad hvis Nykredit gør som RD?: Markedsstruktur i dansk realkredit. Finans/Invest, 3, 24-32.
OA: http://research.cbs.dk/files/45014816/peter_ove_christensen_hvad_hvis_ny...
Christensen, P.O., and Rangvid J. (2016). Postyret om Nykredit. Finans/Invest, 4 (2), 33-39.
DOI/OA:http://research.cbs.dk/files/44774100/peter_ove_christensen_postyret_om_...
Garleanu, N., and Pedersen, L. H. (2016). Dynamic Portfolio Choice with Frictions. Journal of Economic Theory, 165 (9), 487-516.
DOI/OA: http://dx.doi.org/10.1016/j.jet.2016.06.001
Jensen, M. V., and Pedersen, L. H. (2016). Early Option Exercise: Never Say Never. Journal of Financial Economics, 121 (2), 278-299.
DOI/OA: https://doi.org/10.1016/j.jfineco.2016.05.008
Lando, D., Kallestrup, R., and Murgoci, A. (2016). Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads. Journal of Empirical Finance, 38 (A), 374-393. DOI/OA:
http://dx.doi.org/10.1016/j.jempfin.2016.01.004
Levine, A., and Pedersen, L. H. (2016). Which Trend is Your Friend? Financial Analysts Journal, 72 (3), 51-66.
DOI: http://dx.doi.org/10.2139/ssrn.2603731
Malkhozov, A., Mueller, P., Vedolin, A., and Venter, G. (2016). Mortgage Risk and the Yield Curve. Review of Financial Studies, 29 (5), 1220-1253. DOI: http://dx.doi.org/10.2139/ssrn.2235592
OA:http://research.cbs.dk/files/44774063/gyuri_venter_mortgage_risk_postpri...
Pelizzon, L., Subrahmanyam, M. G., Tomio, D., and Uno, J. (2016). Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? Journal of Financial Economics, 122(1), 86-115.
DOI: https://doi.org/10.1016/j.jfineco.2016.06.001
Sarno, L., Schneider, P., and Wagner, C. (2016). The Economic Value of Predicting Bond Risk Premia. Journal of Empirical Finance, 37, 247-267.
DOI: doi:10.1016/j.jempfin.2016.02.001
Sørensen, P. N. (2016). Nobelprisen i økonomi 2016: Oliver Hart og Bengt Holmström. Finans/Invest, 6, 25-27.
DOI/OA:http://research.cbs.dk/files/46298521/peter_norman_s_rensen_nobelprisen_...
Book
Pedersen, L. H. (2015). Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined. Princeton, NJ: Princeton University Press.
PhD dissertation
Medhat, M. (2015). Measuring and Pricing the Risk of Corporate Failures. PhD Dissertation, Copenhagen Business School.
Articles
Jessen, C., and Lando, D. (2015). Robustness of Distance-to-Default. Journal of Banking & Finance, 50 (1), 493–505.
DOI: http://dx.doi.org/10.1016/j.jbankfin.2014.05.016
OA:http://research.cbs.dk/files/45546791/david_lando_robustness_of_distance...
Karnaukh, N., Ranaldo, A., and Söderlind, P. (2015). Understanding FX Liquidity. The Review of Financial Studies, 28 (11), 3073-3108.
DOI: https://doi.org/10.1093/rfs/hhv029
Krishnamurthy, A. and Vissing-Jørgensen, A. (2015). The Impact of Treasury Supply on Financial Sector Lending and Stability. Journal of Financial Economics, 118 (3), 571-600.
DOI: http://dx.doi.org/10.1016/j.jfineco.2015.08.012
Ottaviani, M. and Sørensen, P. N. (2015). Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal. American Economic Review, 105(1), 1-34.
DOI: http://dx.doi.org/10.1257/aer.20120881
OA:http://research.cbs.dk/files/46758902/peter_norman_s_rensen_price_reacti...
Park, A. and K. Malinova (2015). Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality. Journal of Finance, 70 (2), 509-536.
DOI: https://doi.org/10.1111/jofi.12230
Book chapter
Geanakoplos, J. and Pedersen, L. H. (2014). Monitoring Leverage. In Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy (Eds.), University of Chicago Press, Chicago, Il. Ch. 8, 113-127.
Articles
Asness, C., Frazzini, A., and Pedersen, L. H. (2014). Low-Risk Investing Without Industry Bets. Financial Analysts Journal, 70 (4), 24–41.
OA: https://research.cbs.dk/en/publications/low-risk-investing-without-indus...
Björk, T. and Murgoci, A. (2014). A Theory of Markovian Time-inconsistent Stochastic Control in Discrete Time. Finance and Stochastics, 18(3), 545-592.
DOI: http://link.springer.com/article/10.1007%2Fs00780-014-0234-y
Björk, T., Murgoci, A., and Zhou, X. Y. (2014). Mean–variance portfolio optimization with state-dependent risk aversion. Mathematical Finance, 24 (1), 1-24.
DOI: http://dx.doi.org/10.1111/j.1467-9965.2011.00515.x
OA: http://openarchive.cbs.dk/handle/10398/9097
Christensen, P. O., Flor, C. R., Lando, D., and Miltersen, K. R. (2014). Dynamic Capital Structure with Callable Debt and Debt Renegotiations. Journal of Corporate Finance, 29, 644–661.
DOI: http://dx.doi.org/10.1016/j.jcorpfin.2013.09.001
OA: http://openarchive.cbs.dk/handle/10398/9101
Christoffersen, S., Musto, D. and Wermers, R. (2014). Investor Flows to asset managers: Causes and consequences. Annual Review of Financial Economics, 6, 289-310.
DOI: 10.1146/annurev-financial-110613-034339
Frazzini, A. and Pedersen, L. H. (2014). Betting Against Beta. Journal of Financial Economics, 111(1), 1-25.
DOI/OA: http://dx.doi.org/10.1016/j.jfineco.2013.10.005
Garfagnini, U., Ottaviani, M., and Sørensen, P. N. (2014). Accept or reject: An organizational perspective. International Journal of Industrial Organization, 34(1), 66-74.
DOI: http://dx.doi.org/10.1016/j.ijindorg.2014.03.004
OA:http://research.cbs.dk/files/46753920/peter_norman_s_rensen_accept_or_re...
Hochberg, Y. V., Ljungqvist, A., and Vissing-Jørgensen, A. (2014). Informational Holdup and Performance Persistence in Venture Capital. Review of Financial Studies, 27(1), 102-152.
DOI/OA: https://doi.org/10.1093/rfs/hht046
Jessen, C. (2014). Constant Proportion Portfolio Insurance: Discrete-Time Trading and Gap Risk Coverage. Journal of Derivatives, 21(3), 36-53.
DOI/OA: http://jod.iijournals.com/content/21/3/36
Lucas, D., and Vissing-Jørgensen, A. (2014). Comments and Discussion. Brookings Papers on Economic Activity, 205-227.
DOI: https://www.jstor.org/stable/23936275?seq=1#metadata_info_tab_contents
Malinova K., and Park, A. (2014). The Impact of Competition and Information on Intraday Trading. Journal of Banking and Finance, 44, 55-71.(PR)
DOI: http://dx.doi.org/10.1016/j.jbankfin.2014.03.026
Friewald, N., Wagner, C., and Zechner, J. (2014). The Cross-Section of Credit Risk Premia and Equity Returns. Journal of Finance, 69(6), 2419–2469.
DOI: DOI: 10.1111/jofi.12143
OA:http://research.cbs.dk/files/46753041/christian_wagner_the_cross_section...
Book and book chapters
Acharya, V. V., Pedersen, L. H., Philippon, T., and Richardson, M. (2013). How to Calculate Systemic Risk Surcharges. In Quantifying Systemic Risk, Haubrich, J. G., and Lo, A. W. (Eds), 175-212. Chicago: University of Chicago Press, Cambridge, Massachusetts, USA.
Acharya, V. V., Pedersen, L. H., Philippon, T., and Richardson, M. (2013). Taxing Systemic Risk. In Managing and Measuring Risk: Emerging Global Standards and Regulation After the Financial Crisis, Roggi, O., and Altman, E. (Eds), 99-122 (World Scientific Series in Finance, 5). Singapore: World Scientific Publishing Co Pte Ltd.
Amihud, Y., Mendelson, H., and Pedersen, L. H. (2013). Market Liquidity: Asset Pricing, Risk, and Crises.Cambridge: Cambridge University Press.
Lando, D. (2013). Some Lessons from CDO Markets on Mathematical Models. In Global Asset Management – Strategies, Risks, Processes, and Technologies, Pinedo, M., and Walter, I. (Eds), 74-92. Palgrave Macmillan.
Marinovic, I., Ottaviani, M., and Sørensen, P. N. (2013). Forecasters’ Objectives and Strategies. In Handbook of Economic Forecasting, Elliott, G., and Timmermann, A. (Eds), 2B, 689–720. North-Holland, Handbooks in Economics.
Articles
Arnold, M., Wagner, A. F., and Westermann, R. (2013). Growth Options, Macroeconomic Conditions, and the Cross Section of Credit Risk. Journal of Financial Economics, 107(2), 350–385.
DOI: http://dx.doi.org/10.1016/j.jfineco.2012.08.017
OA: http://research.cbs.dk/files/46280088/ramona_westermann_growth_options_p...
Asness, C., Moskowitz, T., and Pedersen, L. H. (2013). Value and Momentum Everywhere. Journal of Finance, 68 (3), 929-985. Featured in the New York Times and Marketwatch.
DOI: http://dx.doi.org/10.1111/jofi.12021
OA:http://research.cbs.dk/files/44523827/lasse_heje_pedersen_value_and_mome...
Asness, C., Frazzini, A., Pedersen, L. H.: “Will My Risk Parity Strategy Outperform?”
DOI: https://doi.org/10.2469/faj.v69.n2.8
Christoffersen, S., Evans, R., and Musto, D. K. (2013). What do consumers’ fund flows maximize? Evidence from their brokers’ incentives. Journal of Finance, 68(1), 201-235.
DOI: http://dx.doi.org/10.1111/j.1540-6261.2012.01798.x
OA:http://research.cbs.dk/files/44523810/susan_kristoffersen_what_do_consum...
Fatum, R., Pedersen, J., and Sørensen, P. N. (2013). The Intraday Effects of Central Bank Intervention on Exchange Rate Spreads. Journal of International Money and Finance, 33, 103–117.
DOI: http://dx.doi.org/10.1016/j.jimonfin.2012.10.006
OA: http://openarchive.cbs.dk/handle/10398/9103
Garleanu, N., and Pedersen, L. H. (2013). Dynamic Trading with Predictable Returns and Transaction Costs. The Journal of Finance, 68(6), 2309-2340.
DOI/OA: http://dx.doi.org/10.1111/jofi.12080
Hurst, B., Ooi, Y. H., and Pedersen, L. H. (2013). Demystifying Managed Futures. Journal of Investment Management, 11(3), 42-58.
DOI/OA: https://www.aqr.com/library/journal-articles/demystifying-managed-futures
Jessen, C., and Poulsen, R. (2013). Empirical Performance of Models for Barrier Option Valuation. Quantitative Finance, 13(1), 1-11.
DOI: http://dx.doi.org/10.1080/14697688.2012.723820
OA: http://openarchive.cbs.dk/handle/10398/9179
Klingler, S., Kim, Y. S., Rachev, S. T., and Fabozzi, F. J. (2013). Option Pricing with Time-changed Lévy Processes. Applied Financial Economics, 23(15), 1231-1238.
DOI: http://dx.doi.org/10.1080/09603107.2013.807024
OA: http://openarchive.cbs.dk/handle/10398/9104
Lando, D., Medhat, M., Nielsen, M. S., Nielsen, S. F. (2013). Additive intensity regression models in corporate default analysis. Journal of Financial Econometrics, 11(3), 443—485.
DOI: http://dx.doi.org/10.1093/jjfinec/nbs018
OA: http://openarchive.cbs.dk/handle/10398/9100
Murgoci, A. (2013). Vulnerable Derivatives and Good Deal Bounds: A Structural Model. Applied Mathematical Finance, 20(3), 246-263.
DOI: http://dx.doi.org/10.1080/1350486X.2012.681964
OA: http://hdl.handle.net/10398/8899
Conference proceedings
Krishnamurthy, A. and Vissing-Jørgensen, A. (2013). The Ins and Outs of LSAPs. Kansas City Federal Reserve Symposium on Global Dimensions of Unconventional Monetary Policy.
OA: http://kansascityfed.org/publicat/sympos/2013/2013Krishnamurthy.pdf
Articles
Asness, C., Frazzini, A., and Pedersen, L. H. (2012). Leverage Aversion and Risk Parity. Financial Analysts Journal, 68 (1), 47-59.
DOI: http://dx.doi.org/10.2469/faj.v68.n1.1
OA: http://www.cfapubs.org/doi/pdf/10.2469/faj.v68.n1.1
Cont, R., and Jessen, C. (2012). Constant Proportion Debt Obligations (CPDOs) : Modeling and risk analysis. Quantitative Finance, 12(8), 1199-1218.
DOI: http://dx.doi.org/10.1080/14697688.2012.690885
OA: http://openarchive.cbs.dk/handle/10398/8890
Dick-Nielsen, J., Feldhütter, P., and Lando, D. (2012). Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics, 103, 471-492.
DOI/OA: http://dx.doi.org/10.1016/j.jfineco.2011.10.009
OA: http://openarchive.cbs.dk/handle/10398/8864
Feldhütter, P., and Nielsen, M. S. (2012). Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets. Journal of Financial Econometrics, 10(2), 292-324.
DOI: http://dx.doi.org/10.1093/jjfinec/nbr011
OA:http://openarchive.cbs.dk/bitstream/handle/10398/9102/mads_stenbo_nilese...
Krishnamurthy, A., and Vissing-Jørgensen, A. (2012). The Aggregate Demand for Treasury Debt. Journal of Political Economy, 120(2), 233-267.
DOI: http://www.jstor.org/stable/10.1086/666526
OA: http://openarchive.cbs.dk/handle/10398/8882
Krishnamurthy, A., and Vissing-Jørgensen, A. (2012). The Effects of Quantitative Easing on Long-term Interest Rates. Brookings Papers on Economic Activity. (The Fall 2011 issue is in practice published in 2012 – the volume date refers to the conference held prior to the writing of the final versions of the papers).
OA: https://www.brookings.edu/wp-content/uploads/2016/07/2011b_bpea_krishnam...
Moskowitz, T., Ooi, Y. H., and Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics, 104(2), 228-250.
DOI/OA : http://dx.doi.org/10.1016/j.jfineco.2011.11.003
Sarno, L., Schneider, P., and Wagner, C. (2012). Properties of Foreign Exchange Risk Premiums. Journal of Financial Economics, 105(2), 279–310.
DOI: doi:10.1016/j.jfineco.2012.01.005
OA: http://openarchive.cbs.dk/handle/10398/9098
Wagner, C. (2012). Risk-premia, Carry-trade Dynamics, and Economic Value of Currency Speculation. Journal of International Money and Finance, 31(5), 1195–1219.
DOI: doi:10.1016/j.jimonfin.2012.01.013
OA: http://openarchive.cbs.dk/handle/10398/9099
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Email: fric@cbs.dk