Center for Financial Frictions

FRIC Publications

If you would like to know more about FRIC publications and the research that we do, you can find our full publication list here.

FRIC Publication List

Below you can find all the publications published since the FRIC Center began its activities in April 2012.

Publications 2016 (forthcoming)

Book and book chapters
Corporate bonds, Jens Dick-Nielsen and David Lando, in Handbook of Fixed-Income Securities,  Pietro Veronesi (ed.), 2016, ch. 22, Wiley.
Link: http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1118709195.html

Articles
Investor Attrition and Fund Flows in Mutual Funds, Susan E. K. Christoffersen, and Haoyu Xu, Journal of Financial and Quantitative Analysis
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2417091

Measuring Systemic Risk, Viral Acharya, Lasse Heje Pedersen, Thomas Philippon, and Matt Richardson, The Review of Financial Studies
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.1573171

The Roles of Corporate Governance in Bank Failures During the Recent Financial Crisis, Allen N. Berger, Björn Imbierowicz, Christian Rauch, Journal of Money, Credit and Banking
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2021799

Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?, Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno, Journal of Financial Economics
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2587786

Early Option Exercise: Never Say Never, Mads Vestergaard Jensen and Lasse Heje Pedersen, Journal of Financial Economics
(PR) (CO) (OA)
DOI/OA: http://dx.doi.org/10.2139/ssrn.2665629

Which Trend is Your Friend?, Ari Levine and Lasse Heje Pedersen, Financial Analysts Journal
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2603731

Mortgage Risk and the Yield Curve, Aytek Malkhozov, Philippe Mueller, Andrea Vedolin, and Gyuri Venter, Review of Financial Studies, (first published online January 21, 2016)
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2235592

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads, David Lando, René Kallestrup and Agatha MurgociJournal of Empirical Finance
(PR) (CO) (OA)
DOI/OA: http://dx.doi.org/10.1016/j.jempfin.2016.01.004

 

Publications 2015

Books and book chapters
Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Lasse Heje Pedersen, Princeton, NJ: Princeton University Press, 2015, pp. 348.

PhD dissertation
Measuring and Pricing the Risk of Corporate Failures, Mamdouh Medhat, PhD Dissertation, Copenhagen Business School, 2015, pp. 162.
(OA)
OA: http://openarchive.cbs.dk/bitstream/handle/10398/9137/Mamdouh_Medhat.pdf?sequence=1

Articles
The Impact of Treasury Supply on Financial Sector Lending and Stability, Arvind Krishnamurthy and Annette Vissing-Jørgensen, Journal of Financial Economics, 2015, vol. 118, issue 3, pages 571-600
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2688957

Understanding FX Liquidity, Nina Karnaukh, Angelo Ranaldo, and Paul Söderlind, Forthcoming in The Review of Financial Studies (February 23, 2015)
(PR) (CO)
DOI: http://dx.doi.org/10.2139/ssrn.2329738

Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal, Marco Ottaviani and Peter Norman Sørensen, American Economic Review, vol. 105(1), pp. 1-34.
(PR) (CO)
DOI: http://dx.doi.org/10.1257/aer.20120881

Robustness of Distance-to-Default, Cathrine Jessen, David Lando, Journal of Banking & Finance, 2015, vol. 50 (1), pp. 493–505
(PR) (CO)
DOI: 10.1016/j.jbankfin.2014.05.016

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality, Andreas Park and Katya Malinova, Journal of Finance, 2015, vol. 70 (2), pp. 509-536
(PR) (CO)
DOI: DOI: 10.1111/jofi.12230

 

Publications 2014

Book and book chapters
Monitoring Leverage, John Geanakoplos and Lasse Heje Pedersen, 2014, ch. 8, 113-127, Risk Topography: Systemic Risk and Macro Modeling, ed. Brunnermeier and Krishnamurthy, University of Chicago Press, Chicago, Il. (CO)

Articles
A Theory of Markovian Time-inconsistent Stochastic Control in Discrete Time, Tomas Björk and Agatha Murgoci, Finance and Stochastics, Vol. 18, No. 3, 2014, p. 545-592.
(PR) (CO)
DOI: http://link.springer.com/article/10.1007%2Fs00780-014-0234-y

Accept or reject: An organizational perspective, Umberto Garfagnini, Marco Ottaviani, and Peter Norman Sørensen, International Journal of Industrial Organization, Vol. 34, No. 1, 2014, p. 66-74.
(PR)(CO)
DOI: http://dx.doi.org/10.1016/j.ijindorg.2014.03.004

Betting Against Beta, Andrea Frazzini and Lasse Heje PedersenJournal of Financial Economics, 2014, Vol. 111 (1), pp. 1-25.
(PR)(CO) (OA)
DOI/OA: http://dx.doi.org/10.1016/j.jfineco.2013.10.005

Constant Proportion Portfolio Insurance: Discrete-Time Trading and Gap Risk Coverage, Cathrine Jessen, Journal of Derivatives, 2014, Vol. 21 (3), pp. 36-53.
(PR) (OA)
DOI/OA: http://www.iijournals.com/doi/abs/10.3905/jod.2014.21.3.036

Comment on "Effects of Unconventional Monetary Policy on Financial Institution Risk-Taking", by Gabriel Chodorow-Reich, Deborah Lucas and Annette Vissing-Jørgensen, Brookings Papers on Economic Activity, Spring 2014, pp. 205-227
(PR) (CO)(OA)
DOI/OA: http://www.jstor.org/stable/23936275               

Dynamic Capital Structure with Callable Debt and Debt Renegotiations, Peter Ove Christensen, Christian Riis Flor, David Lando and Kristian R. Miltersen, Journal of Corporate Finance, 2014, Vol. 29, pp. 644–661.
(PR)(CO) (OA)
DOI: http://dx.doi.org/10.1016/j.jcorpfin.2013.09.001
OA: http://openarchive.cbs.dk/handle/10398/9101

Informational Holdup and Performance Persistence in Venture Capital, Yael V. Hochberg, Alexander Ljungqvist and Annette Vissing-Jørgensen, Review of Financial Studies, 2014, vol. 27(1), pp. 102-152.
(PR)(CO) (OA)
DOI/OA: http://dx.doi.org/10.1093/rfs/hht046

Investor Flows to asset managers: Causes and consequences, Susan Christoffersen, David Musto and Russ Wermers, Annual Review of Financial Economics, 2014, Vol 6 pp. 289-310.
(PR)(CO)
DOI: 10.1146/annurev-financial-110613-034339

Low-Risk Investing Without Industry Bets, Cliff Asness, Andrea Frazzini and Lasse Heje Pedersen, Financial Analysts Journal, 2014, vol. 70 (4), pp. 24–41.
(PR) (CO) (OA)
DOI/OA: http://dx.doi.org/10.2139/ssrn.2259244

The Cross-Section of Credit Risk Premia and Equity Returns, Nils Friewald, Christian Wagner and Josef Zechner, Journal of Finance, 2014, Vol. 69 (6), pp. 2419–2469.
(PR) (CO)
DOI: DOI: 10.1111/jofi.12143

The Impact of Competition and Information on Intraday Trading, Katya Malinova and Andreas Park Journal of Banking and Finance, July 2014, 44, 55-71
(PR) (CO)
DOI: http://dx.doi.org/10.1016/j.jbankfin.2014.03.026

 

Publications 2013

Book and book chapters
Forecasters' Objectives and Strategies, Iván Marinovic, Marco Ottaviani and Peter Normann Sørensen, in G Elliott & A Timmermann (Eds), Handbook of Economic Forecasting, 2013, Vol. 2B, pp. 689–720. North-Holland, Handbooks in Economics
(CO)

How to Calculate Systemic Risk Surcharges, Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon, Matthew Richardson in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo. (Eds), 2013, pp. 175-212. Chicago: University of Chicago Press, Quantifying Systemic Risk, Cambridge, Massachusetts, USA.
(CO)

Market Liquidity: Asset Pricing, Risk, and Crises, Yakov Amihud, Haim Mendelson, and Lasse Heje Pedersen, Cambridge University Press, 2013.
(CO)(PR)

Some Lessons from CDO Markets on Mathematical Models, David Lando in Global Asset Management – Strategies, Risks, Processes, and Technologies, Michael Pinedo and Ingo Walter (Eds), 2013, pp. 74-92. Palgrave Macmillan.
(CO)

Taxing Systemic Risk, Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson in Managing and Measuring Risk: Emerging Global Standards and Regulation After the Financial Crisis, Oliviero Roggi, Edward Altman (Eds), Singapore: World Scientific Publishing Co Pte Ltd 2013, pp. 99-122 (World Scientific Series in Finance, Vol. 5)
(CO)

Articles
Additive intensity regression models in corporate default analysis, David Lando, Mamdouh Medhat, Mads Stenbo Nielsen, Søren Feodor Nielsen, Journal of Financial Econometrics, 2013, Vol. 11, No. 3, pp. 443—485.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1093/jjfinec/nbs018
OA: http://openarchive.cbs.dk/handle/10398/9100

Demystifying Managed Futures, Brian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen, in Journal of Investment Management, 2013, vol. 11, No. 3, pp. 42-58.
(PR)(CO) (OA)
DOI/OA: https://www.aqr.com/library/journal-articles/demystifying-managed-futures

Dynamic Trading with Predictable Returns and Transaction Costs, Nicolae Garleanu and Lasse Heje Pedersen, The Journal of Finance, 2013, vol. 68(6), pp. 2309-2340.
(PR)(CO) (OA)
DOI/OA: http://dx.doi.org/10.1111/jofi.12080

Empirical Performance of Models for Barrier Option Valuation, Cathrine Jessen and Rolf Poulsen, Quantitative Finance, 2013, Vol. 13(1), pp. 1-11.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1080/14697688.2012.723820
OA: http://openarchive.cbs.dk/handle/10398/9179

Growth Options, Macroeconomic Conditions, and the Cross Section of Credit Risk, Marc Arnold, Alexander F. Wagner, Ramona Westermann, Journal of Financial Economics, 2013, Vol. 107(2), pp. 350–385.
(PR) (CO)
DOI: http://dx.doi.org/10.1016/j.jfineco.2012.08.017

Option Pricing with Time-changed Lévy Processes, Sven Klingler, Young Shin Kim, Svetlozar T. Rachev, Frank J. Fabozzi, Applied Financial Economics, 2013, Vol. 23, No. 15, pp. 1231-1238.
(PR)(CO) (OA)
DOI: http://dx.doi.org/10.1080/09603107.2013.807024
OA: http://openarchive.cbs.dk/handle/10398/9104

The Intraday Effects of Central Bank Intervention on Exchange Rate Spreads, Rasmus Fatum, Jesper Pedersen and Peter Norman Sørensen, Journal of International Money and Finance, 2013, Vol. 33, pp. 103–117.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1016/j.jimonfin.2012.10.006
OA: http://openarchive.cbs.dk/handle/10398/9103

Value and Momentum Everywhere, Cliff Asness, Tobias Moskowitz and Lasse Heje Pedersen, Journal of Finance, 2013, vol. 68 (3), pp. 929-985. Featured in the New York Times and Marketwatch.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1111/jofi.12021
OA:http://research.cbs.dk/files/44523827/lasse_heje_pedersen_value_and_momentum_postprint.pdf

Vulnerable Derivatives and Good Deal Bounds: A Structural Model, Agatha Murgoci,  Applied Mathematical Finance, 2013, Vol. 20(3), pp. 246-263.
(PR) (OA)
DOI: http://dx.doi.org/10.1080/1350486X.2012.681964
OA: http://hdl.handle.net/10398/8899

What do consumers’ fund flows maximize? Evidence from their brokers’ incentives, Susan Christoffersen, Richard Evans, and David K. Musto, Journal of Finance, 2013, vol. 68(1), pp. 201-235. First published online: 11 January 2013
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1111/j.1540-6261.2012.01798.x
OA:http://research.cbs.dk/files/44523810/susan_kristoffersen_what_do_consumers_postprint.pdf

Conference proceedings
The Ins and Outs of LSAPs, Arvind Krishnamurthy and Annette Vissing-Jørgensen, Kansas City Federal Reserve Symposium on Global Dimensions of Unconventional Monetary Policy, 2013,
(PR) (CO) (OA)
OA: http://kansascityfed.org/publicat/sympos/2013/2013Krishnamurthy.pdf

 

Publications 2012

Articles
Constant Proportion Debt Obligations (CPDOs) : Modeling and risk analysis, Rama Cont and Cathrine Jessen, Quantitative Finance, 2012, Vol. 12(8), pp. 1199-1218.
(PR) (CO) (OA)
DOI:  http://dx.doi.org/10.1080/14697688.2012.690885
OA: http://openarchive.cbs.dk/handle/10398/8890

Corporate bond liquidity before and after the onset of the subprime crisis,  Jens Dick-Nielsen, Peter Feldhütter, David Lando, Journal of Financial Economics, 2012, vol. 103, pp. 471-492.
(PR) (CO) (OA)
DOI/OA: http://dx.doi.org/10.1016/j.jfineco.2011.10.009
OA: http://openarchive.cbs.dk/handle/10398/8864

Leverage Aversion and Risk Parity, Clifford Asness, Andrea Frazzini, Lasse Heje Pedersen, Financial Analysts Journal, 2012, Vol. 68 (1), pp. 47-59.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.2469/faj.v68.n1.1
OA: http://www.cfapubs.org/doi/pdf/10.2469/faj.v68.n1.1

Mean–variance portfolio optimization with state-dependent risk aversion, Thomas Björk, Agatha Murgoci, and Xun Yu Zhou, Mathematical Finance, 2014, Vol. 24 (1), pp. 1-24. Available online 3 February 2012
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1111/j.1467-9965.2011.00515.x
OA: http://openarchive.cbs.dk/handle/10398/9097

Properties of Foreign Exchange Risk Premiums, Lucio Sarno, Paul Schneider, Christian Wagner, Journal of Financial Economics, 2012, Vol. 105(2), pp. 279–310. Available online 28 January 2012
(PR) (CO) (OA)
DOI: doi:10.1016/j.jfineco.2012.01.005
OA: http://openarchive.cbs.dk/handle/10398/9098

Risk-premia, Carry-trade Dynamics, and Economic Value of Currency Speculation, Christian Wagner, Journal of International Money and Finance, 2012, Vol. 31(5), pp. 1195–1219.
(PR) (OA)
DOI: doi:10.1016/j.jimonfin.2012.01.013
OA: http://openarchive.cbs.dk/handle/10398/9099

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets, Peter Feldhütter and Mads Stenbo Nielsen, Journal of Financial Econometrics, 2012, Vol. 10(2), pp. 292-324.
(PR) (CO) (OA)
DOI: http://dx.doi.org/10.1093/jjfinec/nbr011
OA: http://openarchive.cbs.dk/handle/10398/9102

The Aggregate Demand for Treasury Debt, Arvind Krishnamurthy and Annette Vissing-Jørgensen, Journal of Political Economy, 2012.
(PR) (CO) (OA)
DOI: http://www.jstor.org/stable/10.1086/666526
OA: http://openarchive.cbs.dk/handle/10398/8882

The Effects of Quantitative Easing on Long-term Interest Rates, Arvind Krishnamurthy and Annette Vissing-Jørgensen, Brookings Papers on Economic Activity, Fall 2011. (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).
(PR) (CO) (OA)
OA: https://www.brookings.edu/wp-content/uploads/2016/07/2011b_bpea_krishnamurthy.pdf

Time Series Momentum, Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen, Journal of Financial Economics, 2012, vol. 104(2), pp. 228-250. Featured in the Financial Times.
(PR) (CO) (OA)
DOI/OA: http://dx.doi.org/10.1016/j.jfineco.2011.11.003

 

Abbreviations

(PR)= Peer-Reviewed
(CO)= Co-authored
(OA)= Open Access
 

The page was last edited by: Center for Financial Frictions // 12/09/2016

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Center for Financial Frictions (FRIC)
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Email: fric@cbs.dk