Pension Research Centre (PeRCent)

Publications

Publications by PeRCent members

Journal articles

2023

Skal pensionsbidragene nedsættes, så alle ikke går for tidligt på pension? Henrik Ramlau-Hansen, Mads Brink, Finans/Invest 04 August 2023.
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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

The page was last edited by: Department of Finance // 02/13/2024