Department of Finance

Research

The research activities of the Department of Finance comprise a wide spectrum of financial issues, including issues related to financial markets, securities pricing, risk management and corporate finance

 

Selected research publications* by current faculty members

Carry, Ralph Koijen Tobias Moskowitz, Lasse Heje Pedersen and Evert Vrugt, Journal of Financial Economics, forthcoming

Efficiently Inefficient Markets for Assets and Asset Management, Nicolae Garleanu and Lasse Heje Pedersen, The Journal of Finance, forthcoming

Generalized Recovery, Christian Skov Jensen, David Lando, and Lasse Heje Pedersen, Journal of Financial Economics, forthcoming

Size Matters, if You Control Your Junk, Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz, and Lasse Heje Pedersen, Journal of Financial Economics, forthcoming

Measuring Systemic Risk, Viral Acharya, Lasse Heje Pedersen, Thomas Philippon, and Matt Richardson, The Review of Financial Studies, 2017, vol. 30 (1), p. 2-47

Skill and Luck in Private Equity Performance, Arthur Korteweg and Morten Sorensen, Journal of Financial Economics, 2017, vol. 124 (3), p. 535-562

Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?, Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio, and Jun Uno, Journal of Financial Economics, 2016, vol. 122 (1), p. 86–115

Early Option Exercise: Never Say Never, Mads Vestergaard Jensen and Lasse Heje Pedersen, Journal of Financial Economics, 2016, vol. 121 (2), p. 278-299

Mortgage Risk and the Yield Curve, Aytek Malkhozov, Philippe Mueller, Andrea Vedolin, and Gyuri Venter, Review of Financial Studies, 2016, vol. 29 (5), p. 1220-1253

Heuristic Portfolio Trading Rules with Capital Gain Taxes, Marcel Fischer and Michael F. Gallmeyer, Journal of Financial Economics, 2016, vol. 119, pp. 611–625

End-of-the-year economic growth and time-varying expected returns, Stig V. Moeller and Jesper Rangvid, Journal of Financial Economics, 2015, vol. 115 (1), pp. 136-154

Valuing Private Equity, Morten Sorensen, Neng Wang, and Jinqiang Yang, Review of Financial Studies, 2014, vol. 27 (7), pp. 1977-2021

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

Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen, Journal of Financial Economics, 2014, vol. 111 (1), pp. 1-25

Dynamic Trading with Predictable Returns and Transaction Costs, Nicolae Garleanu and Lasse Heje Pedersen, Journal of Finance, 2013, vol. 68 (6), pp. 2309-2340

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

Optimal Life Cycle Portfolio Choice with Housing Market Cycles, Marcel Fischer and Michael Stamos, Review of Financial Studies, 2013, vol. 26 (9), pp. 2311-2352

Growth Options, Macroeconomic Conditions, and the Cross Section of Credit Risk, Marc Arnold, Alexander F. Wagner and Ramona Westermann, Journal of Financial Economics, 2013, vol. 107, pp. 350-385

Which CEO Characteristics and Abilities Matter?, Steven Kaplan, Mark Klebanov, and Morten Sorensen, 2012, Journal of Finance, vol. 67 (3), pp. 973–1007

Ability or finances as constraints to entrepreneurship? Evidence from survival rates in a natural experiment, Steffen Andersen and Kasper Meisner Nielsen, Review of Financial Studies, 2012, vol. 25 (2), pp. 3684-3710

Properties of Foreign Exchange Risk Premiums, Lucio Sarno, Paul Schneider and Christian Wagner, Journal of Financial Economics, vol. 105 (2), pp. 279-310, 2012

Time Series Momentum, Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen, Journal of Financial Economics, vol. 104(2), pp. 228-250, 2012. Featured in the Financial Times

Corporate bond liquidity before and after the onset of the subprime crisis, Jens Dick-Nielsen, Peter Feldhutter, and David Lando, Journal of Financial Economics, 2012, vol. 103, pp. 471-492

Stakes Matter in Ultimatum Games, Steffen Andersen, Seda Ertac, Uri Gneezy; Moshe Hoffman, and John A. List,  American Economic Review, 2011, vol. 101 (1)

Participation Constraints in the Stock Market: Evidence from Unexpected Inheritance Due to Sudden Death, Steffen Andersen, and Kasper Meisner Nielsen, Review of Financial Studies, 2011, vol. 24 (5), 1667-1697

Private Equity and Long-Run Investment: The Case of Innovation, Josh Lerner, Morten Sorensen, and Per Strömberg, 2011, Journal of Finance, vol. 66 (2), pp. 445–477

Margin-Based Asset Pricing and Deviations from the Law of One Price, Nicolae Garleanu, and Lasse H. Pedersen, Review of Financial Studies2011, vol. 24 (6), pp. 1980-2022. Michael Brennan Award Winner for the best paper in the Review of Financial Studies

Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies, Arthur Korteweg and Morten Sorensen, Review of Financial Studies, 2010, vol. 23 (10), pp. 3738–3772

Dynamic Asset Allocation with Stochastic Income and Interest Rates, Claus Munk and Carsten Sørensen, Journal of Financial Economics, 2010, vol. 96 (3), pp. 433-462

Market Liquidity and Funding Liquidity, Markus Brunnermeier, and Lasse H. Pedersen, Review of Financial Studies, 2009, vol. 22, pp. 2201-2238. Featured in The Economist and Barron’s

Demand-Based Option Pricing, Nicolae Garleanu, Lasse H. Pedersen, and Allen Poteshman, Review of Financial Studies, 2009, vol. 22 (10), pp. 4259-4299

Eliciting Risk and Time Preferences, Steffen Andersen, Glenn W. Harrison, Morten Igel Lau and Elisabeth E. Rutström, E. E., Econometrica, 2008, vol. 76 (3), 583–618

Do Women Supply more Public Goods than Men? Preliminary Experimental Evidence from Matrilineal and Patriarchal Societies, Steffen Andersen, Erwin Bulte, Uri Gneezy and John A. List, American Economic Review, 2008, P&P, vol. 98 (2), pp. 376-81

Decomposing Swap Spreads, Peter Feldhütter, and David Lando, Journal of Financial Economics, 2008, vol. 88, pp. 375-405. Winner of Award for Best Paper on Quantitative Investments at Western Finance Association’s 2006 meeting

Small trades and the cross-section of stock returns, Soeren Hvidkjaer, Review of Financial Studies, 2008, vol. 21, pp. 1123–1151

How Smart is Smart Money: A Two-Sided Matching Model of Venture Capital, Morten Sorensen, 2007, Journal of Finance, vol. 62, pp. 2725–2762

Slow Moving Capital, Mark Mitchell, Lasse Heje Pedersen, and Todd Pulvino, The American Economic Review, 2007, P&P, 97, pp. 215-220

Liquidity and Risk Management, Nicolae Garleanu, and Lasse Heje PedersenThe American Economic Review, 2007, P&P, 97, pp. 193-197

Valuation in Over-the-Counter Markets, Darrell Duffie, Nicolae Garleanu, and Lasse H. Pedersen, Review of Financial Studies, 2007, vol. 20, pp. 1865-1900

A trade-based analysis of momentum, Soeren Hvidkjaer, Review of Financial Studies, 2006, vol. 19, pp. 457–491

Output and Expected Returns, Jesper Rangvid, Journal of Financial Economics, 2006, vol. 81, pp. 595-624

Asset Pricing with Liquidity Risk, Viral Acharya, and Lasse H. Pedersen, Journal of Financial Economics, 2005, vol. 77, pp. 375-410. Fama/DFA First Prize for best paper on capital markets and asset pricing in the JFE 2005. NYSE Award for the best paper on equity trading, Western Finance Association 2003. Glucksman First-Place Award for best research paper in finance, NYU 2002-2003

Predatory Trading, Markus K. Brunnermeier and Lasse Heje Pedersen, Journal of Finance, 2005, vol. 60, pp. 1825-1863. Nominated for the Smith-Breeden Prize for best paper in The Journal of Finance, 2005.Barclays Global Investors Award for the best conference paper at the European Finance Association, 2003

Over-the-Counter Markets, Darrell Duffie, Nicolae Garleanu and Lasse H. Pedersen, Econometrica, 2005, vol. 73(6), pp. 1815-1847. Referenced by Nobel Prize Committee’s Scientific Background, 2010

The Cross-section of Expected Corporate Bond Returns: Betas or Characteristics?, William Gebhardt, Soeren Hvidkjaer and Bhaskaran Swaminathan, Journal of Financial Economics, 2005, vol. 75 (1), pp. 85 –114

Adverse Selection and the Required Return, Nicolae Garleanu and Lasse Heje Pedersen, Review of Financial Studies, 2004, vol. 17, pp. 643-665

Stock and Bond Market Interaction: Does Momentum Spill Over?, William Gebhardt, Soeren Hvidkjaer, and Bhaskaran Swaminathan, Journal of Financial Economics, 2004, vol. 75 (3), pp. 651–690

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, Darrell Duffie, Lasse H. Pedersen, and Ken Singleton, Journal of Finance, 2003, vol. 58, pp. 119-159. Nominated for the Smith-Breeden Prize for best paper in The Journal of Finance, 2003

Securities Lending, Shorting, and Pricing, Darrell Duffie, Nicolae Garleanu, and Lasse Heje Pedersen, Journal of Financial Economics, 2002, vol. 66, pp. 307-339. NYSE Award for best paper on equity trading, Western Finance Association, 2002

Is information risk a determinant of asset returns?, David Easley, Soeren Hvidkjaer, and Maureen O’Hara, Journal of Finance, 2002, vol. 57, pp. 2185–2221. This article received the Journal of Finance Smith Breeden Distinguished Paper Prize for 2002

An Empirical Investigation of Continuous-Time Equity Return, Torben G. Andersen, Luca Benzoni and Jesper Lund, Journal of Finance, 2002, vol. 57, pp. 1239-1384

Term structures of credit spreads with incomplete accounting information, Darrell Duffie and David Lando, Econometrica, 2001, vol. 69 (3), pp. 633-664

A Markov model for the term structure of credit risk spreads, Robert Jarrow, David Lando, and Stuart Turnbull, Review of Financial Studies, 1997, vol. 10, pp. 481-523

Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates, Kristian R. Miltersen, K. Sandmann, and D. Sondermann, Journal of Finance, 1997, vol. 52 (1), pp. 409 – 430

The Investment Decision of the Firm under Uncertainty and the allocative Efficiency of Capital Markets, Nielsen, N. C., Journal of Finance, 1976, vol. 31, pp. 587–602

 

*Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Econometrica, American Economic Review, Journal of Political Economy, Quarterly Journal of Economics.

 

Selected publications Finance

 

The page was last edited by: Department of Finance // 08/04/2017