Center for Financial Frictions

FRIC Research

Center for Financial Frictions carried out outstanding research within the field of Finance.

FRIC Research

FRIC's research area included theoretical as well as empirical approaches to financial frictions and covered a number of different research areas.

For more information about FRIC members and their ongoing research and publications, please see the individual center members' profiles by clicking 'Staff' in the menu to the left or via the quick link above.

For a list of all FRIC publications, please see 'Publications' in the menu to the left or via the quick link above.

FRIC also arranged Internal Research Lunch Seminars, where FRIC members presented their newest and ongoing research to the rest of the center members.

You can see the list of presenters and titles of talks below.


FRIC Research Lunch Seminar 2022

March 17-18, 2022

FRIC Research Retreat

FRIC Research Lunch Seminar 2021

March 8, 2021

Fabrice Tourre
Can the cure kill the patient? Corporate credit interventions and debt overhang

April 27, 2020

Lasse Heje Pedersen
Game On: Social Networks and Markets

April 10, 2021

Fabrice Tourre
Sovereign Debt Ratchets and Welfare Destructions

May 10, 2021 Thomas Geelen
Lending Relationships, Optimal Leverage, and Debt Maturity
May 25, 2021 Kristian Miltersen
Debt Ratchet Effect with a Combination of Secured and Unsecured Debt
June 3, 2021 FRIC Research Retreat (online)
June 7, 2021 David Lando

FRIC Research Lunch Seminar 2020

April 20, 2020

Thomas Geelen
Due Diligence

(joint with Brendan Daley and Brett Green)

March 16, 2021

Lasse Heje Pedersen
Principal Portfolios

(joint work with Bryan Kelly and Semyon Malamud)

May 19, 2020

Fabrice Tourre
The Price of Mortgage Credit Risk: Evidence from New Financial Instruments

June 11, 2020 Peter Feldhutter
Corporate bond coupons and credit spreads
June 15, 2020

Peter Norman Sørensen
Information Aggregation in Auctions

(joint work with Stephen Schaefer, London Business School) 

October 19, 2020 Søren Bundgaard Brøgger
November 2, 2020 Paul Whelan
The Overnight Drift
November 16, 2020 Ramona Westermann
November 30, 2020 Jens Dick-Nielsen
The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts
December 8, 2020

PhD Introductory Seminars 2020
Julian Terstegge
The Price of Interest Rate Uncertainty

Kristoffer Halskov
Enhancing Risk Arbitrage Returns via Machine Learning

December 14, 2020 Daniel Streitz
Credit Supply and (In)organic Growth

FRIC Research Lunch Seminar 2019

March 13, 2019

Finance PhD Day 2019
Alessandro Spina
The Predictive Power of Syndicated Loan Credit Spreads

Theis Ingerslev Jensen
Analyst Expectations and Equity Factors

Lars Christian Larsen
The Overnight Drift

Andreas Brøgger
Macroprudential buffers: Systemic risk and asset prices

April 29-30, 2019

FRIC Research Retreat

David Lando
Bank Capital Allocation

Arndt-Gerrit Kund, University of Cologne
Assessing the Implications of IFRS 9 on Financial Stability using Bank Stress Tests

Peter Norman Sørensen
Private Equity Acquisitions and Strategic Buyers: Information Discounts versus Synergies

Lasse Heje Pedersen
Responsible Investing: The ESG-SR Frontier

Paul Hanouna
Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?

Fabrice Tourre
Corporate Leverage Distribution and the Transmission of Macroeconomic Shocks to the Real Economy

Thomas Kjær Poulsen
Why Does Debt Dispersion Affect Yield Spreads?

Daniel Streitz
Handling Spillover Effects in Empirical Research: An Application using Credit Supply Shocks

Ramona Westermann, Jens Dick-Nielsen, Kristian Miltersen
The tax asymmetry motive to hold corporate cash

Peter Feldhütter
Dynamics of debt levels and the pricing of corporate bonds

September 23, 2019 Thomas Geelen
Debt Runs, Liquidity, and Policy Uncertainty
October 7, 2019 Ramona Westermann
Inverse risk shifting in financial (not economic) distress
October 28, 2019 Jens Dick-Nielsen
The Cost of Capital for Banks
(joint with Jacob Gyntelberg and Christoffer Thimsen)
November 18, 2019 Jens Dick-Nielsen and Kristian Miltersen
Maturity of Risky Corporate Debt: a theory of how to determine it optimally and empirical evidence
December 9, 2019 Paul Whelan
Foreign Exchange Fixings and Returns Around the Clock
(joint with Ingomar Krohn and Philippe Mueller)

FRIC Research Lunch Seminar 2018

Date Speaker
March 5, 2018 Lasse Heje Pedersen

Active vs. Passive Investment
(Joint work with Nicolae Garleanu)

April 9, 2018

Christian Wagner

Low Risk Anomalies?
Joint work with Paul Schneider and Josef Zechner

April 23, 2018 Peter Norman Sørensen
Testing for Salience Effects in Choices under Risk
(Joint work with Carsten S. Nielsen and Alexander C. Sebald)
May 7, 2018 Gyuri Venter

Margin constraints and informational efficiency

June 11, 2018 Peter Feldhütter

Testing Theories of the Bid-Ask Spread: Evidence from the Corporate Bond Market

(joint with Thomas Kjær Poulsen)

October 22, 2018 Fabrice Tourre
Mortgage Prepayment and the Path Dependence of Monetary Policy
November 5, 2018 Paul Whelan
FX Premia Around the Clock
November 26, 2018 Thomas Geelen
Debt, Innovation, and Industry Dynamics


FRIC Research Lunch Seminar 2017

Date Speaker
February 27, 2017 PhD Seminar Day
Ben Knox
Søren Bundgaard Brøgger
Jakob Sørensen
March 13, 2017 FRIC Research Lunch with Peter Ove Christensen
Capital Requirements and the Cost of Bank Capital
March 23, 2017 PhD Seminar Day
Andreas Bang Nielsen
Stine Louise Daetz
Christian Skov Jensen
Pia Mølgaard
Thomas Kjær Poulsen
Niels Joachim Gormsen
March 27, 2017 FRIC Research lunch with Paul Whelan
Central Bank Communication and the Yield Curve
April 27, 2017

FRIC Research Retreat

Peter Norman Sørensen: The Financial Transactions Tax in Markets with Adverse Selection
Niels Joachim Gormsen: Betting Against Correlation: Testing Theories of the Low-Risk Effect
Björn Imbierowicz: Do corporate depositors risk everything for nothing? The importance of deposit relationships, interest rates and bank risk
Christian Wagner: Margin Requirements and Equity Option Returns
Lasse Heje Pedersen: Sharpening the Arithmetic of Active Management
Peter Ove Christensen: Capital Requirements and the Cost of Bank Capital…
Paul Whelan: Overnight Asset Pricing
Sven Klingler: An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
Søren Bundgaard Brøgger: A Tale of Three Gammas
Ben Knox: Increased Supply Predicts Higher Price: Liquidity Shocks in the UK Bond Market

June 19, 2017 FRIC Research Lunch with Ramona Westermann
Strategic and Liquidity Defaults
November 14, 2017 FRIC Research Lunch with Jens Dick-Nielsen
Empirical evidence on bank funding costs and the role of equity
November 27, 2017 FRIC Research Lunch with Kristian Miltersen and Mads Stenbo Nielsen
Priority Rules of Corporate Debt: Theoretical Predictions and Empirical Evidence
December 5, 2017 FRIC Research Lunch with Daniel Streitz
Cutting Out the Middleman – The ECB as Corporate Bond Investor


 FRIC Research Lunch Seminar 2016

February 29, 2016 FRIC PhD Seminar with Thomas Kjær Poulsen
Shareholder Advantages and the Puzzles of Idiosyncratic Volatility and Financial Distress
April 4, 2016 FRIC Research Lunch with Björn Imbierowicz
Why do Firms risk Everything for Nothing? - A Tale of Moral Hazard
April 25, 2016 FRIC PhD Seminar with Mads Vestergaard Jensen
Early Option Exercise Predicts Stock Returns
May 2, 2016 FRIC Research Lunch with Kristian Miltersen and Ramona Westermann
Dividend taxation and corporate cash holdings
September 22, 2016 FRIC Research lunch with Davide Tomio
The liquidity consequences of arbitrage
October 10, 2016 FRIC Research Lunch with Sven Klingler
Hedge Fund Funding Risk
October 24, 2016 FRIC Research Lunch with David Lando
Safe Haven CDS premiums
December 12, 2016 FRIC PhD Seminar with Davide Tomio
Arbitraging Liquidity
December 14, 2016 FRIC PhD Seminar with Sven Klingler
High Funding Risk, Low Return


 FRIC Research Lunch Seminar 2015

February 23, 2015 Internal Research Lunch Lasse Heje Pedersen Efficiently Inefficient Markets for Assets and Asset Management
June 1, 2015 Internal Research Lunch Rémy Praz Asset Price Dynamics with Limited Attention
September 7, 2015 FRIC PhD seminar Mikael Reimer Jensen Bank Liquidity and the Interbank Market
September 28, 2015 Internal Research Lunch Gyuri Venter Frictions and informational efficiency
October 19, 2015 Internal Research Lunch Christian Wagner
Does Central Bank Tone Move Asset Prices?
October 26, 2015 FRIC PhD seminar Stine Louise Daetz Liquidity Transmission Down the Line: ECB Liquidity Injections and Corporate Liquidity
November 3, 2015 FRIC PhD seminar Christian Skov Jensen Generalized Recovery Theorem
November 10, 2015 FRIC PhD seminar Andreas Bang Nielsen Crowded Carry Trades
November 30, 2015 FRIC PhD seminar Pia Mølgaard Does Collateral Management Matter?
December 8, 2015 FRIC PhD seminar Sven Klingler The Demand for Arbitrage Capital
December 14, 2015 FRIC PhD Closing Seminar Søren Korsgaard Collateralized lending and central bank collateral policy
FRIC Research Lunch Seminar 2014

January 13, 2014 Cathrine Jessen, Assistant professor FRIC Distance to default as default predictor
February 5, 2014 Sven Klingler, PhD FRIC
Credit Risk in Sovereign Bonds and CDS - A Puzzling Relationship
March 3, 2014 Christian Wagner, Associate Professor FRIC Credit Momentum
March 24, 2014 Mads Stenbo Nielsen, Associate Professor FRIC Market Timing when Tracking Error Matters
April 7, 2014 Andreas Bang Nielsen, PhD FRIC

The Influence of Interacting Intensities and FX-risk on Sovereign CDS-premia

April 22, 2014 Mamdouh Medhat, PhD FRIC Illiquidity Hedging and Distressed Equity
May 5, 2014 Mads Vestergaard Jensen, PhD FRIC Early Option Exercise – Never Say Never
May 19, 2014 Agatha Murgoci, Assistant professor FRIC Policy Uncertainty and Market Leverage
June 10, 2014 Peter N. Sørensen, Visiting professor FRIC Loan Approval and Information Manipulation
September 8, 2014 Stine Louise Daetz, PhD FRIC Refinancing Risk and Underwriter Relation
September 22, 2014 Jens Dick-Nielsen, Associate professor FRIC Covenant Arbitrage: Bondholder Activism by Hedge Funds
October 6, 2014 Niels Joachim Gormsen, PhD FRIC Betting Against Loadings
October 20, 2014 David Lando, Center Director FRIC On Funding Value Adjustments
November 3, 2014 Christian Skov Jensen, PhD FRIC Learning natural probabilities from current option prices
November 18, 2014 Andreas Park, Professor FRIC Do Retail Traders benefit from Improvements in Liquidity?
December 2, 2014 Søren Korsgaard, PhD FRIC Central Bank Collateral Policy 
December 15, 2014 Katya Malinova, Associate professor FRIC Dark Trading, Trade-at Rules, and HFT
FRIC Research Lunch Seminar 2013

September 3, 2013 David Lando, Center Director FRIC On covered interest rate parity
September 16, 2013 Mario Bersem, Assistant Professor FRIC Debt Contracts
October 7, 2013 Jens Dick-Nielsen. Associate Professor FRIC Convertible bond underpricing: Market Segmentation
October 21, 2013 Kristian Miltersen, Professor FRIC Priority Structures and the Interaction between Dynamic Financing and Investments
November 4, 2013 Søren Korsgaard and Mikael Reimer Jensen, PhDs FRIC The Money Market During a Great Crisis
November 18, 2013 Ramona Westermann, Assistant Professor FRIC The impact of debt illiquidity on renegotiation
December 4, 2013 Gyuri Venter, Assistant Professor FRIC International Liquidity CAPM


The page was last edited by: Center for Financial Frictions // 11/17/2022

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Center for Financial Frictions (FRIC)
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