PhD defence: Theis Ingerslev Jensen

In order to obtain the PhD degree, Theis Ingerslev Jensen has submitted his thesis entitled:

Essays on Empirical Asset Pricing

This thesis studies the relationship between risk and return in the stock market. The first chapter finds that analysts expect to earn a much higher return from investing in risky stocks relative to safe ones, but, nevertheless, the realized return difference is close to zero. The second chapter asks whether there is a replication crisis in finance and finds that the papers we try to replicate are robust to changes in the original methodology, various statistical considerations, and can be replicated out-of-sample in stock markets around the world. The third chapter shows how to use machine learning to build a portfolio that optimally balances risk, return, and trading costs.

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

Secondary Supervisors:

Professor David Lando
Institut for Finansiering
Copenhagen Business School

Assessment Committee:

Professor Jens Dick-Nielsen (Chair)
Department of Finance
Copenhagen Business School

Associate Professor Andrea Vedolin
Questrom School of Business
Boston University

Associate Professor Christian Heyderdahl-Larsen
Kelley School of Business
Indiana University

Thesis:
The thesis will be available from research.cbs.dk

Reception:
The CBS PhD School will host a reception, which will take place immediately after the defence in FUHU.