PhD defence: Sven Klingler

In order to obtain the PhD degree, Sven Klingler submitted his thesis entitled: Essays on Asset Pricing with Financial Frictions

Fredag, 30 juni, 2017 - 10:30 to 12:00

The common theme of this thesis, which consists of three essays, is the effect of funding frictions on asset prices. The first essay (co-authored with David Lando) shows how financial regulation creates a demand for credit default swap (CDS) contracts on safe sovereigns. The second essay (co-authored with Suresh Sundaresan) provides evidence that underfunded pension plans, which face funding constraints because they are restricted from using direct leverage, have a demand for long-dated interest rate swaps. The third essay uses deviations from the covered interest rate parity (CIP) as a proxy for market-wide funding conditions and shows that hedge funds with higher exposure to that risk underperform funds with lower exposure.

Primary Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School
Secondary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School
Assessment Committee:

Professor Peter Ove Christensen
Department of Finance
Copenhagen Business School
Professor Stephen M. Schaefer
London Business School
Assistant professor Andrea Vedolin
Department of Finance
London School of Economics
The thesis is available here
The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in Rotunden at Solbjerg Plads 3.

Sidst opdateret: Communications // 02/09/2020