Department of Finance

Donghyun Kang

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CV

 
Areas of Interest: Empirical Corporate Finance, Bankruptcy and Financial Distress
 

PhD dissertation: Essays in Bankruptcy and Financial Distress

This dissertation explores the impact of bankruptcy institutions on financial distress resolution through three independent chapters. The first chapter examines how wealth protection in personal bankruptcy affects serial entrepreneurship, finding that windfall wealth increases business reentry only for entrepreneurs without severe pre-bankruptcy losses, albeit with lower subsequent profits. The second chapter investigates the influence of judge characteristics on corporate bankruptcy outcomes, revealing that judges' backgrounds affect case outcomes and durations, particularly in marginal cases. The third chapter analyzes the effects of bankruptcy quarantines on managerial behavior, demonstrating that disqualifications reduce future business activity and bankruptcies but lead to increased family involvement in management and changes in the managerial labor pool.

Placement: Erasmus School of Economics

Kristoffer Halskov

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CV

Areas of Interest: Empirical Asset Pricing, Machine Learning, Climate Finance, Power Markets

PhD dissertation: Essays on Empirical Asset Pricing

This thesis explores the relationship between risk and return in financial markets through three independent chapters. The first chapter introduces a novel framework combining structural models and machine learning to enhance predictability and economic interpretability. The model outperforms benchmarks in predicting equity returns and (co)variances, highlighting the differing roles of systematic risk compensation and mispricing for expected equity returns. The second chapter demonstrates that machine learning models enhance the estimation of expected returns for merger arbitrage trades, improving both absolute and risk-adjusted returns. The final chapter analyzes the market for bonds tied to ESG targets. The findings reveal that investors pay a premium for these bonds, with yields 1-2 basis points lower, and that bond prices are strongly linked to potential penalties for missing ESG targets as basic financial theory would suggest.

Placement: Alipes Capital

Alessandro Spina

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CV

Areas of interest: Monetary Policy, Financial Intermediation, Empirical Asset Pricing

PhD dissertation: Essays in Financial Markets and Beliefs

This thesis examines the information in asset prices and how macroeconomic expectations are formed. Chapter 1 finds there is unique information contained in the loan spreads of syndicated loans. This information can improve forecasts of economic conditions. Chapter 2 studies how information can be slow to spread within an asset class. I show information takes time to diffuse within the syndicated loan market. Finally, in Chapter 3 I expand my focus to study how agents form expectations of macroeconomic variables. All three chapters document new empirical facts that deepen our understanding of financial markets and belief formation.

Placement: University of Technology Sydney

Andreas Brøgger

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CV

Areas of Interest: Sustainable Investing, ESG, Macro Finance, Asset Pricing, Corporate Finance

PhD dissertation: Financial Economics with Preferences and Frictions

This thesis explores how individuals’ preferences interact with frictions. Chapter 1 reveals that profit-seeking investors, driven by asymmetry in ESG mandates, invest in stocks with rising ESG ratings for higher returns. This contrasts with those having strong mandates, who are forced to own stocks with currently high ESG ratings. Chapter 2 explains in more detail how current ESG scores lead ESG-mandated investors to invest in stocks which go on to experience higher future emissions, rather than lower. As a solution, new assets called Emission Futures are introduced. Chapter 3 shows that the agency conflict between owners and managers of firms leads to increased demand for safe assets, such as treasuries, thereby raising their convenience yield.

Placement: Rotterdam School of Management

Theis Ingerslev Jensen

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CV

Areas of Interest: Empirical asset pricing, subjective expectations, machine learning

PhD dissertation: 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.

Placement: Yale School of Management

Nicolai Søgaard Laursen

PhD dissertation: Longevity risk in reinsurance and equity markets

This thesis centers on systematic longevity risk, which refers to the uncertainty of future survival rates for a group of individuals. The first chapter evaluates how an annuity provider can reduce the variability of a life annuity most efficiently by engaging in a mortality-linked security via two alternative hedging strategies, with and without basis risk. We find that eliminating basis risk is more cost-effective. The second chapter shows that an increase in unsystematic mortality raises one-year ahead real returns heterogeneously for portfolios sorted by industry and dividend-price ratios in the U.S stock market. In the third chapter, I show theoretically and empirically how longevity risk may help explain the value premium.

Placement: Jyske Bank

Jacek Piosik

PhD dissertation: Essays on Entrepreneurial Finance

This thesis investigates the role of human capital in the entrepreneurial economy through three empirical essays that leverage unique population data. Each chapter addresses a different research question, aiming to enhance our understanding of human traits that determine entrepreneurial outcomes and the expected impact of various policy measures. The first chapter explores the composition of skills in individuals' decisions to become entrepreneurs. The second chapter emphasizes the importance of accounting for human capital in self-selection into entrepreneurship when designing financial policies. The third chapter examines the impact of angel investors' human and social capital on value creation in the economy.

Placement: Venture Insights

Jakob Ahm Sørensen

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CV

Areas of Interest: Empirical asset pricing, macro-finance and corporate finance.

PhD dissertation: Essays on financial markets with frictions and belief distortions

The three essays of this thesis examine the role of frictions and belief distortions as determinants of asset prices and macroeconomic outcomes. Specifically, the first two chapters investigate how extrapolative beliefs can lead to a mispricing of risky assets and predictable financial crises, as investors become overoptimistic about the future state of the economy. The third chapter studies how the stable funding structure of insurance companies can account for their investments in illiquid corporate bonds, and how the liquidity premium on these corporate bonds in turn affect the pricing of insurance policies.

Placement: Bocconi University

Nicola Giommetti

CV

Areas of Interest: asset pricing, valuation, and portfolio allocation with illiquid assets.

PhD dissertation: Essays on Private Equity

This thesis studies private equity funds from an investor’s perspective. Private equity funds are illiquid investments with unobservable market returns, and I investigate how to estimate their historical risk-adjusted performance based on cash flows, and how to optimally allocate capital between private equity funds and publicly traded assets.

Placement: Not Announced

Kirsten Tangaa Nielsen

PhD dissertation: Essays on the Value of CEOs and Directors
 

The thesis consists of three essays investigating the importance of central corporate persons by examining the value contribution of CEOs and corporate directors to shareholders in publicly listed firms. Existing research has already established that these individuals demonstrate vast heterogeneity in terms of their abilities and characteristics, which in turn has been shown to lead to substantial cross-sectional variation in the value and performance of the firms they operate. Therefore, identifying the key characteristics of central corporate persons that drive shareholder value are of great interest to investors and corporate boards for succession planning purposes.

Placement: KOIKOS ApS

Søren Bundgaard Brøgger

PhD dissertation: Essays on Modern Derivatives Markets
 

I investigate the feedback effects that can arise when hedging flows from derivatives markets are large relative to the underlying market. I find that flows are efficiently absorbed when the underlying market is liquid (first chapter), but can distort the dynamics of the underlying asset(s) if not (second chapter). In the final chapter (with Jesper Andreasen), we show what happens to the value of cash if the zero lower bound on nominal rates is removed.

Placement: Saxo Bank

Alexander Kronies

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CV

PhD dissertation: Opportunities and Risks in Alternative Investments
 

This thesis concerns alternative investments in equity and energy markets. The first chapter (with Andreas Brøgger) documents that only some investors with skill earn high returns when investing sustainably. In the second chapter, I provide evidence that large wind turbines outperform their smaller peers as they yield higher cash flows per production unit. Finally, chapter three shows that the allocation of private capital to renewable energy projects is largely driven by subsidy structures and very specific risk exposures.

Placement: Cornerstone Research

Rasmus Jørgensen

PhD dissertation: Essays on Empirical Asset Pricing and Private Equity

The thesis applies methods from empirical asset pricing to study the payoffs of non-traded
assets, specifically private equity funds, relative to the payoffs of public market assets. Assessing
the risk and return characteristics of private equity funds presents unique challenges due to the
absence of quoted market prices and consequential lack of return data. This thesis addresses some
of these challenges.

Placement: ATP

Rikke Sejer Nielsen

Areas of Interest: Household Finance

PhD dissertation: Mortgage Decisions of Households: Consequences for Consumption and Savings

The mortgage decision is typically the most important financial decision of a household, as housing
often is the biggest household asset. Thus, mortgage choices regarding leverage, mortgage type,
mortgage rate type, etc. are essential for the wealth and welfare of the household, in the present
as well as in the future. In this PhD thesis, I study how the household’s mortgage choice affects its
other financial decisions regarding consumption, investment, pension savings, and other savings.
In particular, I investigate how the introduction of non-conventional interest-only (IO) mortgages
affects household consumption and savings. My research is based on a unique data set with detailed information on Danish households and their mortgages.

Placement: Syddansk Universitet