Department of Finance
Job Market Candidates
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JOB MARKET CANDIDATES 2022/2023 |
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Andreas Brøgger
Areas of Interest: Sustainable Investing, ESG, Macro Finance, Asset Pricing, Corporate Finance
Job Market Paper: Skills and Sentiment in Sustainable Investing
We document a significant difference in the returns to sustainable investing across investor types. Investors with strict ESG mandates earn 3.1% less than flexible investors. The mechanism is that flexible investors are able to react on expected ESG improvements. They buy stocks that subsequently experience ESG score increases. After ESG improvements have realized, demand from strict mandate investors pushes up stock prices, resulting in positive returns for flexible investors. These returns are higher when accompanied by rising climate sentiment, as seen during the 2010s. Our channel accounts for 51% of the return difference between strict and flexible ESG investment mandates. |
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Theis Ingerslev Jensen Areas of Interest: Empirical asset pricing, subjective expectations, machine learning
Job Market Paper: Subjective Risk and Return
I use subjective risk and return expectations to infer required returns, yielding three new findings for stocks, equity factors, and asset pricing models: (i) For individual stocks, the required compensation for risk is strongly positive. Nevertheless, the realized compensation for risk is weak due to offsetting excessive cash flow expectations for risky stocks. (ii) Required returns cannot explain the realized return of most equity factors. (iii) Recent empirical asset pricing models explain realized returns well but required returns poorly - while the reverse is true for traditional models like the CAPM. |
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Job Market Candidates 2021/2022 |
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Jakob Ahm Sørensen
Areas of Interest: Empirical asset pricing, macro-finance and corporate finance.
Job Market Paper: Risk Neglect in the Corporate Bond market
I present an equilibrium model for valuing corporate bonds and stocks to distinguish investors’ rational risk aversion from diagnostic expectations. Motivated by the model, I construct a novel empirical measure of credit market sentiment, denoted yield-for-risk, which measures the compensation investors require for credit risk in the cross-section of corporate bonds. I find evidence of diagnostic expectations in the form of risk neglect: Low yield-for-risk predicts low returns to credit and an inversion of the risk-return relationship among both corporate bonds and stocks. Firms exploit this effect by increasing their debt issuance when yield-for-risk is low, especially high-risk firms.
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Nicola Giommetti
Areas of Interest: asset pricing, valuation, and portfolio allocation with illiquid assets.
Job Market Paper: "Risk Adjustment of Private Equity Cash Flows"
Existing stochastic discount factor methods for the valuation of private equity funds result in unrealistic time discounting. We propose and evaluate a modified method. Valuation has a risk-neutral component plus a risk adjustment, and we fix the risk-neutral component by constraining the subjective term structure of interest rates with market data. We show that (i) our approach allows for economically meaningful measurement and comparison of risk across models, (ii) existing methods estimate implausible performance when time discounting is particularly degenerate, and (iii) our approach results in lower variation of performance across funds.
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