Center for Big Data in Finance (BIGFI)

Publications

PUBLICATIONS BY CENTER MEMBERS

2025

A modified wild bootstrap procedure for Laplace transforms of volatilityA modified wild bootstrap procedure for Laplace transforms of volatility. Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov, Economics Letters, Vol. 247, Article 112177. DOI: https://doi.org/10.1016/j.econlet.2025.112177

Is Capital Structure Irrelevant with ESG Investors?, Peter Feldhütter, and Lasse Heje Pedersen, The Review of Financial Studies, Vol. 38(8), pp. 2362–2385, DOI: https://dx.doi.org/10.2139/ssrn.4227547

2024

Homeownership Decisions in the Bust. Marcel Fischer, Natalie Khorunzhina, Julie Marx, Journal of Real Estate Finance and Economics, Vol. 69(3). DOI: https://doi.org/10.1007/s11146-024-10000-9

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section? Andreas Neuhierl, Xiaoxiao Tang, Rasmus T. Varneskov, Guofu Zhou, Management Science, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.3795486

The Ostrich in Us: Selective Attention to Personal Finances. Arna Olafsson, Michaela Pagel, Review of Economics and Statistics (ReStat), forthcoming. Link: https://www.dropbox.com/scl/fi/3k6zqitvg3pnmtzq9f9yp/Checking_RESTAT_CA_v2.pdf?rlkey=op5cq5svqb2302hp5cgjskqpe&e=1&st=202srhse&dl=0

Equity Return Expectations and Portfolios: Evidence From Large Asset Managers. Magnus Dahlquist, Markus Ibert, Review of Financial Studies, Vol. 37(6), pp. 1887-1928. DOI: https://doi.org/10.1093/rfs/hhae008

Big Broad Banks: How Does Cross-selling Affect Lending? Yingjie Qi, Review of Finance, forthcoming. DOI: https://dx.doi.org/10.2139/ssrn.3074343

How Integrated Are Credit and Equity Markets? Evidence from Index Options, Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle, Journal of Finance, Vol. 79(2), pp. 949-992. DOI: https://dx.doi.org/10.2139/ssrn.3634726

Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-Cost Loan Borrowers, Leandro Carvalho, Arna Olafsson, Daniel Silverman, Journal of Political Economy, 132(9), pp. 3173-3213. DOI: https://doi.org/10.1086/730200

Pricing of Sustainability-Linked Bonds, Peter Feldhütter, Kristoffer Halskov and Arthur Krebbers, Journal of Financial Economics, Vol. 162, Article 103944, DOI: https://dx.doi.org/10.2139/ssrn.4558861

The Co-holding Puzzle: New Evidence from Transaction-Level Data, John Gathergood, and Arna Olafsson, Review of Financial Studies, forthcoming. DOI: https://doi.org/10.1093/rfs/hhae016

Broken Promises, Competition, and Capital Allocation in the Mutual Fund Industry, Simona Abis, and Anton Lines, Journal of Financial Economics, Vol. 162, Article 103948. DOI: https://doi.org/10.1016/j.jfineco.2024.103948

2023

Debt Dynamics and Credit Risk, Peter Feldhütter, and Stephen Schaefer, Journal of Financial Economics, Vol. 149(3), pp. 497-535. DOI: https://doi.org/10.1016/j.jfineco.2023.06.007

Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(5), pp. 2465-2518. DOI: https://doi.org/10.1111/jofi.13249

Principal Portfolios, Bryan Kelly, Semyon Malamud, and Lasse Heje Pedersen, Journal of Finance, Vol. 78(1), pp. 347-387. DOI: https://doi.org/10.1111/jofi.13199

 

The page was last edited by: Department of Finance // 09/09/2025