Pension Research Centre (PeRCent)
Publications
Journal articles
2023
Stock market evidence on the international transmission channels of US monetary policy surprises, Tim D. Maurer, Thomas Nitschka, Journal of International Money and Finance
Volume 136, September 2023, 102866.
DOI: https://doi.org/10.1016/j.jimonfin.2023.102866
Optimal retirement savings over the life cycle: A deterministic analysis in closed form, Marcel Fischer; Bjarne Astrup Jensen; Marlene Koch, Insurance: Mathematics and Economics, vol. 112, 2023, 48-58.
DOI: https://doi.org/10.1016/j.insmatheco.2023.05.010
How do interest-only mortgages affect consumption and saving over the life cycle? Linda Sandris Larsen, Claus Munk, Rikke Sejer Nielsen, Jesper Rangvid, Management Science, (FT50, AJG4*).
DOI: https://doi.org/10.1287/mnsc.2023.4787
What is the value of the annuity market? Mogens Steffensen, Julie Bjørner Søe, Decisions in Economics and Finance (2023).
DOI: https://doi.org/10.1007/s10203-023-00411-3
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, (FT50, AJG4*).
Link: https://www.nber.org/papers/w26328
Lagging behind: the hysteresis of austerity, Andrea Tafuro, Empirical Economics.
DOI: https://doi.org/10.1007/s00181-023-02451-5
On the Possibility of Krusell-Smith Equilibria, Tobias Broer, Alexandre N. Kohlhas, Kurt Mitman, Kathrin Schlafmann, Journal of Economic Dynamics and Control, 141, 104391.
DOI: https://doi.org/10.1016/j.jedc.2022.104391
Gender and Choice of Pension Product, Linda Sandris Larsen, Ulf Nielsson, Jesper Rangvid, Finance Research Letters, 47 (B), 102692.
DOI: https://doi.org/10.1016/j.frl.2022.102692
Labour market rigidity and expansionary austerity, Andrea Tafuro, Journal of Macroeconomics, Volume 75, March 2023, 103495.
DOI: https://doi.org/10.1016/j.jmacro.2022.103495
Principal Portfolios, Bryan Kelly, Semyon Malamud, Lasse Heje Pedersen, The Journal of Finance, Volume78, Issue 1, February 2023, Pages 347-387.
DOI: https://doi.org/10.1111/jofi.13199
Investeringsafkast og ny model for opsparing, Henrik Ramlau-Hansen, Jesper Rangvid, Finans/Invest, Nr. 1, 02.2023, s. 5-13.
Link: http://finansinvest.dk/product/atp-investeringsafkast-og-ny-model-opsparing/
Non-Standard Errors, Albert Menkveld et al. (343 authors in total, including Ulf Nielsson, Oliver-Alexander Press, and Anders B. Trolle), Journal of Finance, (Top-3, FT50, AJG4*).
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3961574
Overpersistence Bias in Individual Income Expectations and its Aggregate Implications, Filip Rozsypal, Kathrin Schlafmann, American Economic Journal: Macroeconomics (AJG4).
Link: https://www.nationalbanken.dk/media/pxsf2qve/wp-no-173.pdf
2022
Game on: Social Networks and Markets, Lasse Heje Pedersen, Journal of Financial Economics, Volume 146, Issue 3, December 2022, Pages 1097-1119
DOI: https://doi.org/10.1016/j.jfineco.2022.05.002
How Important is Affiliation Between Mutual Funds and Distributors for Fund Flows?,
Bjarne Florentsen, Ulf Nielsson, Peter Raahauge, Jesper Rangvid, Review of Finance, 26 (4), 971–1009
DOI: https://doi.org/10.1093/rof/rfab035
American Dream Delayed: Shifting Determinants of Homeownership, Natalia Khorunzhina; Robert Miller, International Economic Review, vol. 63 (1).
DOI: https://dx.doi.org/10.2139/ssrn.3414380
The cost of insuring against underperformance of ESG screened index funds, Peter Løchte Jørgensen, Mathias Danielsen Plovst, Journal of Sustainable Finance & Investment.
DOI: https://doi.org/10.1080/20430795.2022.2147778
Den misforståede gevinst ved opkonvertering, Bjarne Astrup Jensen, Michael Møller, Finans/Invest, 5, 5-10
Link: http://finansinvest.dk/product/den-misforstaede-gevinst-ved-opkonvertering/
Iceland's fight against COVID-19: A Comment, Svend E. Hougaard Jensen, Nordic Economic Policy Review, 2022, 102-109.
DOI: https://doi.org/10.6027/nord2022-001
Active and Passive Investing: Understanding Samuelson’s Dictum, Nicolae Gârleanu, Lasse Heje Pedersen, The Review of Asset Pricing Studies, Volume 12, Issue 2, June 2022, Pages 389–446.
DOI: https://doi.org/10.1093/rapstu/raab020
Forslag om en gradvis indfasning af pensionsopsparingen. Thomas Desting Christensen, Henrik Ramlau-Hansen (2022). Finans/Invest, (3), 5-10.
Link: https://hdl.handle.net/10398/f864331d-34b5-4565-a662-d0382639a586
The Design and Welfare Implications of Mandatory Pension Plans, Linda Sandris Larsen, Claus Munk, Journal of Financial and Quantitative Analysis (FT50, AJG4)
DOI: https://dx.doi.org/10.2139/ssrn.3415132
Mandatory pension savings and long-run debt accumulation: evidence from Danish low-wage earners, Henrik Yde Andersen; Niels Lynggård Hansen; Anders Kuchler, Journal of Pension Economics & Finance, First View, 1-29.
Link: https://www.nationalbanken.dk/media/gsdfv120/dnwp156.pdf
Mobile Apps and Financial Decision Making, Bruce Carlin, Arna Olafsson and Michaela Pagel, Review of Finance, (FT50, AJG4*).
DOI: https://doi.org/10.1093/rof/rfac040
Embedded Leverage, Andrea Frazzini, Lasse Heje Pedersen, The Review of Asset Pricing Studies, Volume 12, Issue 1, March 2022, Pages 1–52.
DOI: https://doi.org/10.1093/rapstu/raab022
Bequest Motives in Consumption-portfolio Decisions with Recursive Utility, Holger Kraft, Claus Munk, Farina Weiss, Journal of Banking & Finance, published online, 03.02.2022.
DOI: https://doi.org/10.1016/j.jbankfin.2022.106428
Responsible Investing: The ESG-Efficient Frontier, Lasse Heje Pedersen, Shaun Fitzgibbons, Lukasz Pomorski, Journal of Financial Economics, 2021, 142(2), 572-597.
DOI: https://doi.org/10.1016/j.jfineco.2020.11.001
Afkastforventningerne: Skal pensionsbidragene sættes op efter 10 års ukuelig, og måske fejlslagen optimisme? Henrik Ramlau-Hansen, Finans/Invest, 6, 19-26.
Link: https://finansinvest.dk/product/afkastforventningerne-skal-pensionsbidragene-saettes-op-efter-10-ars-ukuelig-og-maske-fejlslagen-optimisme/
2021
Spending Response to a Predictable Increase in Mortgage Repayments: Evidence from Expiring Interest-Only Loans, Henrik Yde Andersen, Stine Ludvig Bech, Alessia De Stefani, The Review of Economics and Statistics 1–31.
DOI: https://doi.org/10.1162/rest_a_01146
From Here to There: Achieving Fiscal Sustainability Under Alternative Demographic Contingencies, Svend E. Hougaard Jensen; Thorsteinn Sigurdur Sveinsson; Filipe Vieira, De Economist, vol. 169 (4), 427-444.
Link: https://doi.org/10.1007/s10645-021-09392-3
Longevity Adjustment of Retirement Age and Intra-generational Inequality, Svend E. Hougaard Jensen; Thorsteinn S. Sveinsson; Gylfi Zoega, Economica, vol. 88 (350), 339-363.
Link: https://doi.org/10.1111/ecca.12357
The Asset Holdings of Danish Pension Funds: Insights from a Novel ISIN-level Dataset, Roel Beetsma; Svend E. Hougaard Jensen; David Pinkus, Finans/Invest, (5), 28-35.
Link: https://research.cbs.dk/files/71019730/roel_beetsma_et_al_the_asset_holdings_of_danish_pension_funds_publishersversion.pdf
Intratemporal Nonseparability Between Housing and Nondurable Consumption: Evidence from Reinvestment in Housing Stock, Natalia Khorunzhina, Journal of Monetary Economics, 117, 658-670.
DOI: https://doi.org/10.1016/j.jmoneco.2020.04.001
Solving Life-cycle Problems with Biometric Risk by Artificial Insurance Markets, Christoph Hambel; Holger Kraft; Claus Munk, Scandinavian Actuarial Journal.
DOI: https://doi.org/10.1080/03461238.2021.1966831
Why mandate young borrowers to contribute to their retirement accounts?, Torben M. Andersen; Joydeep Bhattacharya, Economic Theory, 71, 115–149.
DOI: https://doi.org/10.1007/s00199-019-01235-2
Pareto-improving transition to fully funded pensions under myopia, Torben M. Andersen; Joydeep Bhattacharya; Marias H. Gestsson, Journal of Demographic Economics, 87(2), 169-212
DOI: https://doi.org/10.1017/dem.2020.13
Exponential-growth prediction bias and compliance with safety measures related to COVID-19, Ritwik Banerjee; Joydeep Bhattacharya; Priyama Majumdar, Social Science and Medicine 268, 113473.
DOI: https://doi.org/10.1016/j.socscimed.2020.113473
Reference-dependent preferences, time inconsistency, and pay-as-you-go pensions, Torben M. Andersen; Joydeep Bhattacharya; Qing Liu, Economic Inquiry, 59(3), 1008-1030.
DOI: https://doi.org/10.1111/ecin.12972
A rational-choice model of Covid-19 transmission with endogenous quarantining and two-sided prevention, Joydeep Bhattacharya; Shankha Chakraborty; Xiumei Yu, Journal of Mathematical Economics.
DOI: https://doi.org/10.1016/j.jmateco.2021.102492
#MeToo: Sexual Harassment and Company Value, Mads Borelli-Kjaer; Laurids Moehl Schack; Ulf Nielsson, Journal of Corporate Finance, 67.
DOI: https://doi.org/10.1016/j.jcorpfin.2020.101875
Benign Effects of Automation: New Evidence from Patent Texts, Katja Mann, Lukas Püttmann, The Review of Economics and Statistics 1–45.
DOI: https://doi.org/10.1162/rest_a_01083
The political (in)stability of funded social security, Roel Beetsma; Oliwia Komada; Krzysztof Makarski; Joanna Tyrowicz, The Journal of Economic Dynamics and Control, 133
DOI: https://doi.org/10.1016/j.jedc.2021.104237
Revenue- versus spending-based fiscal consolidation announcements: Multipliers and follow-up, Roel Beetsma; Oana Furtuna; Massimo Giuliodori; Haroon Mumtaz, The Journal of International Economics, 131
DOI: https://doi.org/10.1016/j.jinteco.2021.103455
Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt, Roel Beetsma; Josha van Spronsen, ), Journal of Money, Credit, and Banking
DOI: https://doi.org/10.1111/jmcb.12809
The maturity of sovereign debt issuance in the euro area, Roel Beetsma; Massimo Giuliodori; Jesper Hanson Frank de Jong, the Journal of International Money and Finance, 110
DOI: https://doi.org/10.1016/j.jimonfin.2020.102293
Fiscal Transfers without Moral Hazard?, Roel Beetsma; Simone Cima; Jacopo Cimadomo, International Journal of Central Banking, 17(3), 95-153.
Link: https://www.ijcb.org/journal/ijcb21q3a3.pdf
Public support for European cooperation in the procurement, stockpiling and distribution of medicines, Roel Beetsma; Brian Burgoon; Francesco Nicoli; Anniek de Ruijter; Frank Vandenbroucke, European Journal of Public Health, 31 (2), 253–258.
DOI: https://doi.org/10.1093/eurpub/ckaa201
Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions, Roel Beetsma; Frank de Jong; Massimo Giuliodori; Jesper Hanson, Journal of Empirical Finance 58(C), 96-120.
DOI: https://doi.org/10.1016/j.jempfin.2020.05.005
Macro longevity risk and the choice between annuity products: Evidence from Denmark, Jesper Rangvid; Anne G. Balter; Malene Kallestrup-Lamb, Insurance: Mathematics and Economics, Vol. 99, 355-362.
DOI: https://doi.org/10.1016/j.insmatheco.2021.04.009
Is full annuitization socially optimal?, Torben M. Andersen; Marias H. Gestsson, Journal of Economics.
DOI: https://doi.org/10.1007/s00712-021-00756-6
Local House Price Comovements, Marcel Fischer; Roland Füss; Simon Stehle, Real Estate Economics, 49(1), 169-198
DOI: https://doi.org/10.1111/1540-6229.12331
Deep Value, Clifford S. Asness; John Liew; Lasse Heje Pedersen; Ashwin Thapar, The Journal of Portfolio Management, 47(4), 11-40.
DOI: https://dx.doi.org/10.2139/ssrn.3076181
Enhanced Portfolio Optimization, Lasse Heje Pedersen; Abhilash Babu; Ari Levine, Financial Analyst Journal, 77(2), 124-151
DOI: https://dx.doi.org/10.2139/ssrn.3530390
Responsible Investing: The ESG-Efficient Frontier, Lasse Heje Pedersen; Shaun Fitzgibbons; Lukasz Pomorski, Journal of Financial Economics 142 (2), 572-597.
DOI: https://dx.doi.org/10.2139/ssrn.3466417
Housing Wealth or Collateral: How Home Value Shocks Drive Home Equity Extraction and Spending, Henrik Yde Andersen, Søren Leth-Petersen, Journal of the European Economic Association, Volume 19, Issue 1, February 2021, Pages 403–440.
DOI: https://doi.org/10.1093/jeea/jvz083
Active and Passive Investing: Understanding Samuelson’s Dictum, Nicolae Garleanu; Lasse Heje Pedersen, The Review of Asset Pricing Studies.
DOI: https://doi.org/10.1093/rapstu/raab020
Principal Portfolios, Bryan Kelly; Semyon Malamud; Lasse Heje Pedersen, Swiss Finance Institute Research Paper No. 20-67, conditionally accepted in The Journal of Finance.
DOI: https://dx.doi.org/10.2139/ssrn.3623983
Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization, Ashwini Agrawal; Juanita González-Uribe; Jimmy Martínez-Correa, Journal of Financial Economics
DOI: https://doi.org/10.1016/j.jfineco.2021.09.020
Responses to Eliminating Saving Commitments: Evidence from Mortgage Run-offs, Steffen Andersen; Philippe d'Astous; Jimmy Martinez-Correa; Stephen H. Shore, Journal of Money, Credit, and Banking, forthcoming.
Link: https://cear.gsu.edu/files/2020/01/WP_2020_02_DKRunoff_20200106.pdf
Pension taxation, household debt and the real economy, Henrik Yde Andersen, Nationaløkonomisk tidsskrift, 1, 1-14
Link: https://swopec.hhs.se/scripts/redir.pl?u=https%3A%2F%2Fwww.djoef-forlag.dk%2Fpublications%2Fnoet%2Ffiles%2F2021%2Farticle%2FArtikel_1.pdf;f=jdaecn:0006
IN DANISH
Det Systemiske Risikoråd: En vurdering af styrker og svagheder, Svend E. Hougaard Jensen; Thomas Sangill, Finans/Invest, 6, 11-18.
Link: https://research.cbs.dk/en/publications/det-systemiske-risikor%C3%A5d-en-vurdering-af-styrker-og-svagheder
Gode ideer, men governance halter, og udfordringer består, Henrik Ramlau-Hansen, Finans/Invest, (1), 22-24
Link: http://finansinvest.dk/product/gode-ideer-men-governance-halter-og-udfordringer-bestar/
Ratepension som markedsrenteprodukt, Henrik Ramlau-Hansen, Finans/Invest 3/21, 12-19.
Link: https://research.cbs.dk/en/publications/ratepension-som-markedsrenteprodukt
Afkastforventningerne: Skal pensionsbidragene sættes op efter 10 års ukuelig, og måske fejlslagen optimisme, Henrik Ramlau-Hansen, Finans/Invest 06/21.
Link: https://research.cbs.dk/en/publications/afkastforventningerne-skal-pensionsbidragene-s%C3%A6ttes-op-efter-10-%C3%A5
2020
Pros and Cons of Taking Part in the Banking Union: A Comment, Svend E. Hougaard Jensen, Nordic Economic Policy Review, 2020, 260-266.
DOI: https://doi.org/10.6027/Nord2020-025
Should Denmark and Sweden Join the Banking Union?, Svend E. Hougaard Jensen; Dirk Schoenmaker, Journal of Financial Regulation, vol. 6 (2), 317-326.
DOI: https://doi.org/10.1093/jfr/fjaa005
The Top Three Pension Systems: Denmark, Finland and the Netherlands, Svend E. Hougaard Jensen; Jukka Lassila; Niku Määttänen; Tarmo Valkonen; Ed Westerhout, Journal of Retirement, vol. 8 (2), 76-82.
DOI: https://doi.org/10.3905/jor.2020.1.071
Variability in pension products: A comparison study between the Netherlands and Denmark, Jesper Rangvid; Anne G. Balter; Malene Kallestrup-Lamb, Annals of Actuarial Science, Vol. 14, 338-357.
DOI: https://doi.org/10.1017/S1748499520000056
A Mean-variance Benchmark for Household Portfolios over the Life Cycle, Claus Munk, Journal of Banking & Finance, vol. 116, 105833.
DOI: https://doi.org/10.1016/j.jbankfin.2020.105833
Turning local: Home-bias dynamics of relocating foreigners, Bjarne Florentsen; Ulf Nielsson; Peter Raahauge; Jesper Rangvid, Journal of Empirical Finance, 58.
DOI: https://doi.org/10.1016/j.jempfin.2020.07.006
Does foreign capital go where the returns are? Financial integration and capital allocation efficiency, Katja Mann, International Journal of Finance and Economics, vol. 26 (3), 3945-3971.
DOI: https://doi.org/10.1002/ijfe.1998
How stable is the Nordic financial sector?, Jesper Rangvid, Nordic Economic Policy Review, 2020, 21-49.
DOI: https://doi.org/10.6027/Nord2020-025
Annuitization and aggregate mortality risk, Torben M. Andersen; Marias H. Gestsson, Journal of Risk and Insurance, 88 (1), 79-99
DOI: https://doi.org/10.1111/jori.12313
Taxation of capital income in overlapping generations economies, Torben M. Anderse, Journal of Public Economic Theory, 22(5), 1245-1261
DOI: https://doi.org/10.1111/jpet.12437
Variable Selection with Group Structure: Exiting Employment at Retirement Age—A Competing Risks Quantile Regression Analysis, Ralf Wilke; Shuolin Shi, Empirical Economics
DOI: https://doi.org/10.1007/s00181-020-01918-z
Trends Everywhere; Abhilash Babu; Ari Levine; Yao Hua Ooi; Lasse Heje Pedersen; Erik Stamelos (2020), Journal of Investment Management, 18 (1), 52-68.
DOI: https://dx.doi.org/10.2139/ssrn.3386035
Fact and Fiction about Low-Risk Investing, Ron Alquist; Andrea Frazzini; Antti Ilmanen; Lasse Heje Pedersen, The Journal of Portfolio Management, 46 (6) 72-92.
DOI: https://dx.doi.org/10.2139/ssrn.3539452
Betting Against Correlation: Testing Theories of the Low-Risk Effect, Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse Heje Pedersen, Journal of Financial Economics, 135 (3), 629-652.
DOI: https://dx.doi.org/10.2139/ssrn.2913508
Embedded Leverage, Andrea Frazzini; Lasse Heje Pedersen, The Review of Asset Pricing Studies.
DOI: https://dx.doi.org/10.2139/ssrn.3567856
Is There a Replication Crisis in Finance?, Theis Ingerslev Jensen; Bryan Kelly; Lasse Heje Pedersen, forthcoming in The Journal of Finance.
DOI: https://dx.doi.org/10.2139/ssrn.3774514
Social distancing laws cause only small losses of economic activity during the COVID-19 pandemic in Scandinavia, Adam Sheridan; Asger Lau Andersen; Emil Toft Hansen; Niels Johannesen, Proceedings of the National Academy of Sciences, 117(34).
DOI: https://doi.org/10.1073/pnas.2010068117
IN DANISH
Pensionsudbetalinger fra markedsrenteprodukter, Henrik Ramlau-Hansen, Finans/Invest, (4), 14-22.
Link: https://research.cbs.dk/files/62337743/henrik_ramlau_hansen_et_al_pensionsudbetalinger_fra_markedsrenteprodukter_publishersversion.pdf
2019
Housing Decision with Divorce Risk, Marcel Fischer; Natalia Khorunzhina, International Economic Review, 60(3), 1263-1290
DOI: https://doi.org/10.1111/iere.12385
The Debt Tax Shield in General Equilibrium, Marcel Fischer; Bjarne Astrup Jensen, Journal of Banking and Finance, 100(1), 151-166
DOI: https://doi.org/10.1016/j.jbankfin.2018.12.014
Betting Against Correlation: Testing Theories of the Low-Risk Effect, Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse Heje Pedersen, Journal of Financial Economics, fortcoming
DOI: http://dx.doi.org/10.2139/ssrn.2913508
Generational Differences in Managing Personal Finances, Bruce Carlin; Arna Olafsson; Michaela Pagel, American Economic Review, 109, 54-59
DOI: 10.1257/pandp.20191011
Predictors and Portfolios over the Life Cycle, Holger Kraft; Claus Munk; Farina Weiss, Journal of Banking and Finance, 100, 1-27
DOI: http://dx.doi.org/10.2139/ssrn.2787568
Fiscal Frameworks in Europe: Editorial Introduction, Svend E. Hougaard Jensen, European Journal of Political Economy, 57, 1-2
DOI: https://doi.org/10.1016/j.ejpoleco.2019.02.008
Hedging Recessions, Nicole Branger; Linda Sandris Larsen; Claus Munk, Journal of Economic Dynamics and Control, vol. 107, 103715
DOI: https://doi.org/10.1016/j.jedc.2019.07.001
Estimating the demand for reserve assets across diverse groups of countries, Rina Bhattacharya; Katja Mann; Mwanza Nkusu, Review of International Economics, vol. 27, 822-853.
DOI: https://doi.org/10.1111/roie.12399
The aggregate cost of equity underdiversification, Jesper Rangvid; Bjarne Florentsen; Ulf Nielsson; Peter Raahauge, Financial Review, Vol. 54 (4), 833-856.
DOI: https://doi.org/10.1111/fire.12224
Experiences with Occupational Pensions in Denmark, Svend. E. Hougaard Jensen, Torben Möger Pedersen, Tove Birgitte Foxman, Vierteljahrshefte zur Wirtschaftsforschung, 88, 11-30
DOI: https://doi.org/10.3790/vjh.88.1.11
IN DANISH
ATP’s udfordringer, Henrik Ramlau-Hansen, Finans/Invest, (6), 28-31
Link: https://research.cbs.dk/files/59650475/henrik_ramlau_hansen_atp_udfordringer_publishersversion.pdf
ATP’s investeringsrisiko og forretningsmodel, Henrik Ramlau-Hansen, Finans/Invest, (5), 13-19.
Link: https://research.cbs.dk/files/59650585/henrik_ramlau_hansen_atp_s_investeringsrisiko_og_forretningsmodel_publishersversion.pdf
Optimal risikospredning for små aktieinvestorer i en kompliceret verden, Bjarne Astrup Jensen; Michael Møller; Finans/Invest, 3
Link: https://research.cbs.dk/da/publications/optimal-risikospredning-for-sm%C3%A5-aktieinvestorer-i-en-kompliceret-
Sustainable Fiscal Strategies under Changing Demographics, Andrew Hughes Hallett; Thorsteinn Sigurdur Sveinsson; Filipe Vieira; Svend E. Hougaard Jensen, European Journal of Political Economy, 57, 34-52
DOI: https://doi.org/10.1016/j.ejpoleco.2018.07.003
2018
Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect, Stig V. Møller; Jesper Rangvid, Management Science, 64(2), 573-591
DOI: https://doi.org/10.1287/mnsc.2016.2589
Buffett's Alpha, Andrea Franzzini; David Kabiller; Lasse Heje Pedersen, Financial Analyst Journal, 74(4), 35-55
DOI: http://dx.doi.org/10.2139/ssrn.3197185
Sharpening the Arithmetic of Active Management, Lasse Heje Pedersen, Financial Analyst Journal, 74, 21-36
DOI: http://dx.doi.org/10.2139/ssrn.2849071
The Liquid Hand-to-Mouth: Evidence From Personal Finance Management Software, Bruce Carlin; Arna Olafsson; Michaela Pagel, The Review of Financial Studies, 31(11), 4398-4446
DOI: https://doi.org/10.1093/rfs/hhy055
The Golden Rule of Longevity, Marias H. Gestsson; Gylfi Zoega, Maroeconomic Dynamics, 23, 384-419
DOI: https://doi.org/10.1017/S1365100516001371
Micro-level Estimation of Optimal Comsumption Choice with Intertemporal Nonseparability in Preferences and Measurement Errors, Waine-Roy Gayle; Natalia Khorunchina, Journal of Business and Economic Statistics, 36, 227-238
DOI: http://dx.doi.org/10.2139/ssrn.1431093
Total Factor Productivity Convergence in German States Since Reunification: Evidence and Explanations, Michael C. Burda; Battista Severgnini, Journal of Comparative Economics, 46, 192-211
DOI: https://doi.org/10.1016/j.jce.2017.04.002
European Policy and Markets: Did Policy Initiatives Stem the Sovereign Debt Crisis in the Euro Area?, Michael Bergman, Svend E. Hougaars Jensen; Michael M. Hutchison, European Journal of Political Economy, 57, 3-21
DOI: https://doi.org/10.1016/j.ejpoleco.2018.06.003
On the Asset Allocation of a Default Pension Fund, Magnus Dahlquist, Ofer Setty, Roine Vestman, The Journal of Finance, Volume73, Issue 4, Pages 1893-1936.
DOI: https://doi.org/10.1111/jofi.12697
Intergenerational Conflict and Public Sector Size and Structure: A Rationale for Debt Limits, Torben M. Andersen, European Journal of Political Economy, 57, 70-88
DOI: https://doi.org/10.1016/j.ejpoleco.2018.07.005
Do Tax Incentives for Saving in Pension Accounts Cause Debt Accumulation? Evidence from Danish Register Data, Henrik Yde Andersen, European Economic Review, 106, 35-53
DOI: https://doi.org/10.1016/j.euroecorev.2018.04.007
The debt tax shield in general equilibrium, Marcel Fischer; Bjarne Astrup Jensen, Journal of Banking & Finance, 100, 151-166
DOI: https://doi.org/10.1016/j.jbankfin.2018.12.014
Housing Habits and Their Implications for Life-Cycle Consumption and Investment, Claus Munk; Holger Kraft; Sebastian Wagner, Review of Finance, 22(5), 1737-1762
DOI: http://dx.doi.org/10.2139/ssrn.2568518
Efficiently Inefficient Markets for Assets and Asset Management, Nicolae Garleanu; Lasse Heje Pedersen, Journal of Finance, 73(4), 1663-1712
DOI: http://dx.doi.org/10.2139/ssrn.2641770
An analysis of the Solvency II regulatory framework's Smith-Wilson model for the term structure of risk-free interest rates, Peter Løchte Jørgensen, Journal of Banking & Finance, 97, 219-237
DOI: https://doi.org/10.1016/j.jbankfin.2018.10.001
IN DANISH
Nye samfundsforudsætninger: Baggrund, niveau og konsekvenser for pensionsprognoser, Claus Munk; Jesper Rangvid; Finans/Invest, 6, 6-14
Link: https://research.cbs.dk/en/publications/nye-samfundsforuds%C3%A6tninger-baggrund-niveau-og-konsekvenser-for-pe
2017
The Intergenerational Welfare State and the Rise and Fall of Pay-As-You-Go Pensions, Torben M. Andersen; Joydeep Bhattacharya, The Economic Journal, 127, 896-923
DOI: http://dx.doi.org/10.2139/ssrn.2651160
The First Difference Property of the Present Value Operator, Stephen A. Buser; Bjarne Astrup Jensen, Quarterly Journal of Finance, 7(4)
DOI: https://doi.org/10.1142/S2010139217500124
Taxable and tax-deferred investing with the limited use of losses, Marcel Fischer; Michael Gallmeyer, Review of Finance, 21(5), 1847-1873
DOI: http://dx.doi.org/10.1093/rof/rfw047
The First Difference Property of the Present Value Operator, Stephen A. Buser; Bjarne Astrup Jensen, Quarterly Journal of Finance, 7(4)
DOI: https://doi.org/10.1142/S2010139217500124
Consumption Habits and Humps, Claus Munk; Holger Kraft; Frank Seifried; Sebastian Wagner, Economic Theory, 64(2), 305-330
DOI: http://dx.doi.org/10.2139/ssrn.2259613
Assessing the Forward Premium Puzzle: A factor augmented panel data approach, Breitung, Jörg; Mann, Katja, International Currency Exposure, MIT Press.
IN DANISH
Boligkøb, låne- og indskudsrenter samt forbrugsplanlægning, Michael Møller; Niels C. Nielsen, Finans/Invest, 5, 25-31.
Link: https://research.cbs.dk/da/publications/boligk%C3%B8b-l%C3%A5ne-og-indskudsrenter-samt-forbrugsplanl%C3%A6gning
2016
Promoting Sustainable Public Finances in the European Union: The Role of Fiscal Rules and Government Efficiency, Michael Bergman; Svend E. Hougaard Jensen; Michael M. Hutchison, European Journal of Political Economy, 44, 1-19
DOI: https://doi.org/10.1016/j.ejpoleco.2016.04.005
Longevity, Growth, and Intergenerational Equity: The Deterministic Case, Torben M. Andersen; Marias H. Gestsson, Maroeconomic Dynamics, 20(4), 985-1021
DOI: https://doi.org/10.1017/S1365100514000716
Robustness of the Danish Pension System, Torben M. Andersen, CESifo DICE Report, 13, 25-30
Link: www.ifo.de/DocDL/dice-report-2015-2-andersen-pension-june.pdf
Heuristic Portfolio Trading Rules with Capital Gain Taxes, Marcel Fischer; Michael Gallmeyer, Journal of Financial Economics, 119(3), 611-625
DOI: https://doi.org/10.1016/j.jfineco.2016.01.024
How suboptimal are linear sharing rules?, Bjarne Astrup Jensen; Jørgen Aase Nielsen, Annals of Finance, 12(2), 221-243
DOI: http://dx.doi.org/10.1007/s10436-016-0279-3
Growth-Maximizing Public Debt under Changing Demographics, Nikola Bokan; Andrew Hughes Hallet; Svend E. Hougaard Jensen, Macroeconomic Dynamics, 20(6), 1640-1651
DOI: http://dx.doi.org/10.1017/S1365100514000947
Dynamic Portfolio Choice with Frictions, Nicolae Garleanu; Lasse Heje Pedersen, Journal of Economic Theory, 165, 487-516
DOI: https://doi.org/10.1016/j.jet.2016.06.001
2015
Taxation, Transfer Income and Stock Market Participation, Marcel Fischer; Bjarne Astrup Jensen, Review of Finance, 19(2), 823-863
DOI: http://dx.doi.org/10.1093/rof/rfu008
The Fiscal Framework in a Currency Union: Lessons from Comparison between the Euro Area and the Eastern Caribbean Currency Union, Svend E. Hougaard Jensen; Andrew Hughes Hallett, The World Economy, 39(6), 803-823
DOI: http://dx.doi.org/10.1111/twec.12359
Real Business-cycle Model with Habits: Empirical Investigation, Natalia Khorunzhina, Economic Modelling, 46(4) , 61-69
DOI: http://dx.doi.org/10.1016/j.econmod.2014.12.020
Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations, Irasema Alonso; Mauricio Prado, Journal of Economic Dynamics and Control, 51(2), 78-92
DOI: http://dx.doi.org/10.1016/j.jedc.2014.09.039
End-of-the-Year Economic Growth and Time-varying Expected Returns, Stig V. Møller; Jesper Rangvid, Journal of Financial Economics, 115(1), 136-154
DOI: http://dx.doi.org/10.1016/j.jfineco.2014.08.006
Product-Marketing Innovation, Skills, and Firm Productivity Growth, Martin Junge; Battista Severgnini; Anders Sørensen, Review of Income and Wealth, 62(4), 724-754
DOI: http://dx.doi.org/10.1111/roiw.12192
The Impact of Classroom Peers in a Streaming System, Arna Vardardottir, Economics of Education Review, 49, 110–128
DOI: http://dx.doi.org/10.1016/j.econedurev.2015.09.002
Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform, Simon M. S. Lo; Gesine Stephan; Ralf Wilke, Journal of Econometric Methods, 6(1)
DOI: http://dx.doi.org/10.1515/jem-2015-0005
IN DANISH
Supplerende pensionsopsparing: Anbefalinger og gode råd til, hvordan du sammensætter din supplerende pensionsopsparing, Tom Engsted; Michael Møller; Mogens Steffensen, October 2015
PDF: http://www.raadtilpenge.dk/~/media/PPP/Forskerrapporter/Anbefalinger%20om%20supplerende%20pensionsopsparing.ashx
Den nordjyske bankkrig, Bjarne Florentsen; Michael Møller; Claus Parum, Finans/Invest, 1, 5-12, 20
Link: http://research.cbs.dk/en/publications/uuid(f128ebdb-59c0-41fd-8453-b27e22f1c2bb).html
Presset på kronen: En højst usædvanlig situation som rejser højst usædvanlige spørgsmål. Jesper Rangvid, Finans/Invest, 2, 6-9, 23
Link: research.cbs.dk/en/publications/uuid(217dfe9d-44f3-4a22-bd81-eefc3dc3eaef).html
2014
Understanding the Effects of Marriage and Divorce on Financial Investments: The Role of Background Risk Sharing. Charlotte Christiansen; Juanna Schröter Joensen; Jesper Rangvid, Economic Inquiry, 53(1), 431-447
DOI: http://dx.doi.org/10.1111/ecin.12113
Books and book chapters
2022
Dansk økonomi i internationalt perspektiv: Reformer, stabilitet og udfordringer, Svend E. Hougaard Jensen. Forthcoming in Trap Danmark, 2022
Link: https://trap.dk/bind/danmark-ii/
Pensioner, levetid, ulighed og gæld, Svend E. Hougaard Jensen. In: Et aldrende Danmark, Gyldendal, 2022
Link: https://www.gyldendal.dk/produkter/et-aldrende-danmark-9788702331035
The Danish Pension System: Design, Performance and Challenges, Torben M. Andersen; Svend E. Hougaard Jensen; Jesper Rangvid. In: Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Asset Allocation, Investment Policies and Returns, Peter Løchte Jørgensen; Henrik Ramlau-Hansen; Jesper Rangvid, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
The Danish Pension System in an International Comparison, Torben M. Andersen. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Public Finances and the Interplay Between Public and Private Pensions, Torben M. Andersen; Svend E. Hougaard Jensen. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Regulation and Supervision of the Danish Pension System, Jesper Berg. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Income during Retirement: On the Role of Occupational Pensions and Home Equity as a Pension Device, Niels Lynggaard Hansen; Svend E. Hougaard Jensen. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Asset Allocation, Investment Policies and Returns, Peter Løchte Jørgensen; Henrik Ramlau-Hansen; Jesper Rangvid. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
The Impact of Longevity on Pension Systems, Malene Kallestrup-Lamb; Søren Kjærgaard; Søren Fiig Jarner. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
Pension Product Design and Relations to the Danish Market, Søren Fiig Jarner; Claus Munk; Mogens Steffensen. In: The Danish Pension Systsem: Design, Performance and Challenges, Oxford University Press, 2022
Link: https://global.oup.com/academic/product/the-danish-pension-system-9780198867425?q=Rangvid&lang=en&cc=es
2021
From Main Street to Wall Street. How the Economy Influences Stock Markets and What Investors Should Know, Jesper Rangvid, Oxford University Press, 2021
DOI: https://doi.org/10.1093/oso/9780198866404.001.0001
The Danish Economy in a Global Context, Torben M. Andersen; Jan Bentzen; Svend E. Hougaard Jensen Valdemar Smith; Niels Westergaard-Nielsen, DJØF Forlag, 2021
Link: https://www.djoef-forlag.dk/book-info/danish-economy-global-context
2020
Rentesregning, Bjarne Astrup Jensen. Jurist- og Økonomforbundets Forlag, 7. udgave, 2020
2018
How Should Pensions be Taxed? Theoretical Considerations and the Scandinavian Experience, Torben M. Andersen. In: The Taxation of Pensions. MIT Press, 2018
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2719518
2017
Fiscal Policy in the Scandinavian Countries, Michael Bergman; Svend E. Hougaard Jensen; Øystein Thøgersen. In: The Routledge Handbook of Scandinavian Politics. Taylor & Francis/Routledge, 2017
Arbejdsmarkedpensioner og (U)lighed, Torben M. Andersen. In: Økonomisk ulighed i Danmark. Djøf Forlag, 2017
2016
Measurement and Effectiveness of National Fiscal Rules and Governance in the European Union, Michael Bergman; Svend E. Hougaard Jensen; Michael M. Hutchison. In: Makropolitik i Kris. Knut Wicksells Centrum för Finansvetenskap, Lunds Universitet, 2016
Link: https://www.researchgate.net/publication/313658879_Measurement_and_Effectiveness_of_National_Fiscal_Rules_and_Governance_in_the_European_Union
2015
What Scope for Monetary Policy? Experiences from the Nordic Countries After the Financial Crisis, Jesper Rangvid. In: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford: Oxford University Press 2015, p. 131-135
Link: http://research.cbs.dk/en/publications/uuid(2309f7e3-5532-4a90-a33f-19e97e02727a).html
How to Avoid a Darkening Debt Storm in the Caribbean: Lessons From the Banking Union Framework in the Euro Area, Andrew Hughes Hallett; Svend E. Hougaard Jensen. In: Fiscal Policy: International Aspects, Short and Long-Term Challenges and Macroeconomic Effects. ed. /Charles Amo-Yartey. New York: Nova Science Publishers, Incorporated 2015, pp. 173-195
Link: research.cbs.dk/en/publications/how-to-avoid-a-darkening-debt-storm-in-the-caribbean(11970cd2-f5d8-4221-93f0-f4ac014b9035).html
Reform Capacity and Macroeconomic Performance in the Nordic Countries, Torben M. Andersen; Ulf Michael Bergman; Svend E. Hougaard Jensen. Oxford: Oxford University Press 2015, 365 p.
Link: http://research.cbs.dk/en/publications/reform-capacity-and-macroeconomic-performance-in-the-nordic-countries(49945af0-8f5f-4942-aecf-a209a9a8f060).html
Macroeconomic Perspectives on the Nordic Economies: Past, Present, and Future, Torben M. Andersen; Ulf Michael Bergman; Svend E. Hougaard Jensen. In: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford: Oxford University Press 2015, p. 1-25
Link: http://research.cbs.dk/en/publications/uuid(b0371aa0-178a-4999-a168-69762cfac468).html
Shaping the Fiscal Policy Framework: Lessons from Fiscal Consolidations in Denmark and Sweden, Ulf Michael Bergman; Michael M. Hutchison; Svend E. Hougaard Jensen. In: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford : Oxford University Press 2015, p. 219-242
Link: http://research.cbs.dk/en/publications/uuid(24dff066-bf53-4cb1-bcb4-c6ccd20e6e29).html
Iceland. How Could This Happen?, Søren Bo Nielsen. In: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford : Oxford University Press 2015, p. 349-352
Link: http://research.cbs.dk/en/publications/uuid(d7012e82-2e21-404e-b432-de076b96c5d3).html
Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Lasse Heje Pedersen, Princeton, NJ: Princeton University Press 2015, 348 p.
Link: http://research.cbs.dk/en/publications/uuid(122bf48f-7452-472e-a922-8c59bf908d51).html
Genoa and Venice : Traders of Prosperity, Growth, and Death. Lars Boerner; Battista Severgnini. In: Union in Separation Diasporic Groups and Identities in the Eastern Mediterranean (1100-1800). Rome: Viella 2015, p. 105-122 (Viella Historical Research, No. 1)
Link: research.cbs.dk/en/publications/uuid(74352deb-f9c7-4b5e-b1b5-e12a346b4f5b).html
Quantile Regression Methods, Bernd Fitzenberger; Ralf Andreas Wilke. In: Emerging Trends in the Social and Behavioral Sciences: An Interdisciplinary, Searchable, and Linkable Resource. Wiley 2015
DOI: http://dx.doi.org/10.1002/9781118900772.etrds0269
Variability in pension products: A comparison study between the Netherlands and Denmark, Jesper Rangvid; Anne G. Balter; Malene Kallestrup-Lamb, Annals of Actuarial Science, Vol. 14, 338-357.
DOI: https://doi.org/10.1017/S1748499520000056