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

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...

Global economic growth and expected returns around the world: The end-of-the-year effect
Stig V. Møller and Jesper Rangvid
Management Science, forthcoming
Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic...

Carry
Ralph Koijen Tobias Moskowitz, Lasse Heje Pedersen and Evert Vrugt
Journal of Financial Economics, forthcoming
We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security’s expected return is decomposed into its “carry” – an ex-ante and model-free characteristic...