shfi

Department of Finance

Søren
Hvidkjær
Head of Department
,
Professor


Room: SOL/A4.35
Tel:
+4538153533
E-mail: sh.fi@cbs.dk
Primary research areas
  • Empirical asset pricing
  • Market microstructure
  • Behavioral finance
Links
Link to this homepage
www.cbs.dk/en/staff/shfi
Presentation

Søren Hvidkjær’s research focuses on issues in investments, including empirical asset pricing, market microstructure and behavioral finance. He has published in leading academic journals such as the Journal of Finance, the Journal of Financial and Quantitative Analysis, the Journal of Financial Economics and the Review of Financial Studies. He is a recipient (with David Easley and Maureen O’Hara) of the Journal of Finance Smith Breeden Distinguished Paper Prize. Before joining CBS in 2008, Søren was associate professor at INSEAD and was previously associate professor in the R.H. School of Business at the University of Maryland.

Selected publications
  • “Small trades and the cross-section of stock returns”, 2008, Review of Financial Studies 21, no. 3, 1123–1151
  •  “A Trade-based Analysis of Momentum”, 2006, Review of Financial Studies 19, no. 2, 457–491
  • “Stock and Bond Market Interaction: Does Momentum Spill Over?” with William Gebhardt and Bhaskaran Swaminathan, 2005, Journal of Financial Economics, 75, no. 3, 651–690
  • “The Cross-section of Expected Corporate Bond Returns: Betas or Characteristics?” with William Gebhardt and Bhaskaran Swaminathan, 2005, Journal of Financial Economics 75, no. 1, 85 –114
  • “Is Information Risk a Determinant of Asset Returns?” with David Easley and Maureen O’Hara, 2002, Journal of Finance 57, no. 5, 2185–2221.
Publications & dissemination
2011
Hadiye Aslan; David Easley; Søren Hvidkjær; Maureen O'Hara / The Characteristics of Informed Trading : Implications for Asset Pricing.
In: Journal of Empirical Finance, Vol. 18, No. 5, 2011, p. 782-801
Review
2010
David Easley ; Søren Hvidkjær; Maureen O'Hara / Factoring Information Into Returns
In: Journal of Financial and Quantitative Analysis, Vol. 45, No. 2, 19.2.2010, p. 293-309
Journal article
Søren Hvidkjær / Probability of Informed Trading
In: Encyclopedia of Quantitative Finance. ed. /Rama Cont. : Wiley 2010, p. 1428-1430
Encyclopedia chapter
2008
Søren Hvidkjær / Small Trades and the Cross-Section of Stock Returns
In: Review of Financial Studies, Vol. 21, No. 3, 2008, p. 1123-1151
Journal article
Research Projects