Department of Finance

The Department of Finance aims to produce financial research, teaching and communication of international standard and of relevance for the Danish society

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AQR Top Finance Graduate Award winners announced
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The Department of Finance

The Department of Finance is an international department that consists of 30 faculty members in Finance and 5 faculty members in Statistics as well as 8 administrative staff. The Department of Finance researches in all financial issues, including issues related to financial markets, securities pricing, risk management, corporate finance and household finance. At the Department of Finance, we offer highly qualified teaching within an extensive number of both the full-time and the part-time programs available at Copenhagen Business School. Furthermore, the Department runs a successful PhD Program with 24 PhD students of different nationalities currently enrolled. The Department of Finance organizes a number of seminars every semester, please see Upcoming Finance Seminars above for more information.

Recent Work by Department Members

Once Bitten, Twice Shy: The Power of Personal Experiences in Risk Taking
Steffen Andersen, Kasper Meisner Nielsen and Tobin Hanspal
Journal of Financial Economics, forthcoming
This paper study whether personal experiences are so powerful that they make individuals actively shy away from risk. Our results demonstrate that experiences gained personally, rather than common shocks, make individuals shy away from risk.

The myth of the credit spread puzzle
Peter Feldhütter, Stephen Schaefer
The Review of Financial Studies, forthcoming
We propose a statistically more precise approach for calibrating structural models of credit risk to historical default rates. Using this new approach we find that a standard structural model (Black-Cox [1976]) matches the level of investment grade spreads well.  Model spreads for speculative bonds are too low, partly due to bond illiquidity.

The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software 
Arna Olafsson and Michaela Pagel
The Review of Financial Studies, forthcoming
This paper provides new evidence on the mechanism behind consumption choices and shows that individuals have a high marginal propensity to consume out of income payments even in the absence of both present and future liquidity constraints.

Efficiently Inefficient Markets for Assets and Asset Management
Nicolae Garleanu and Lasse Heje Pedersen
The Journal of Finance, forthcoming
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market...

Generalized Recovery
Christian Skov Jensen, David Lando, and Lasse Heje Pedersen
Journal of Financial Economics, forthcoming
We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous

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
The size premium has been challenged along many fronts: it has a weak historical record, varies significantly over time, in particular weakening after its discovery in the early 1980s, is concentrated among microcap stocks, predominantly resides in January...

Measuring Agency Costs over the Business Cycle
Ramona Westermann
Management Science, forthcoming
This paper investigates the joint effects of manager-shareholder agency conflicts and macroeconomic risk on corporate policies and firm value. I first derive the implications of a structural model of a firm with assets...



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The page was last edited by: Department of Finance // 05/20/2018