shfi

Department of Finance

Søren
Hvidkjær
Professor
,
Dean of Research


Leave: On leave from FI – as Dean of Research
Room: KIL/14.A-1.70
Tel:
+4538152020
E-mail: sh.research@cbs.dk
Søren Hvidkjær
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.

Primary research areas
  • Empirical asset pricing
  • Market microstructure
  • Behavioral finance
Links
Link to this homepage
www.cbs.dk/en/staff/shfi
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 sorted by:
2013
Nigel J. Barradale; Søren Hvidkjær / Factor Covariances Predict Factor Returns
Frederiksberg : Copenhagen Business School [wp] 2013, 47 p.
Working paper
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 > peer 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 > peer review
Søren Hvidkjær / Probability of Informed Trading
In: Encyclopedia of Quantitative Finance. ed. /Rama Cont. : Wiley 2010, p. 1428-1430
Encyclopedia chapter > peer review
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 > peer review
2006
Brad M. Barber; Søren Hvidkjær; Terrance Odean; Ning Zhu / A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006)
Berkeley, CA : Haas School of Business 2006, 9 p.
Working paper
Søren Hvidkjær / A Trade-based Analysis of Momentum
In: Review of Financial Studies, Vol. 19, No. 2, 6.2006, p. 457-491
Journal article > peer review
2005
William R. Gebhardt; Søren Hvidkjær; Bhaskaran Swaminathan / Stock and Bond Market Interaction : Does Momentum Spill Over?.
In: Journal of Financial Economics, Vol. 75, No. 3, 2005, p. 651-690
Journal article > peer review
William R. Gebhardt; Søren Hvidkjær; Bhaskaran Swaminathan / The Cross-section of Expected Corporate Bond Returns : Betas or Characteristics?.
In: Journal of Financial Economics, Vol. 75, No. 1, 2005, p. 85-114
Journal article > peer review
2002
David Easley; Søren Hvidkjær; Maureen O'Hara / Is Information Risk a Determinant of Asset Returns?
In: Journal of Finance, Vol. 57, No. 5, 2002, p. 2185-2221
Journal article > peer review
Research Projects
Outside activities

Activities since 2015

Yngre Læger: Investment consultant since 2009

Danske Invest Management A/S: Elected by the investors in the funds managed by DIMA as the investor representative on the Board of Directors. Vice-chairman of the board since 2014.

Falcon Invest: Speaking engagement 2016

Sø- og Handelsretten: Syn- og skønsmand (expert witness) 2014-2016

Dansif: Report on ESG investing 2017

De Frie Skolers Lærerforening: Investment consultant 2017