PhD Defence - Frederik Permin
Department of Finance invites you to the PhD defence of Frederik Permin, followed by a reception hosted by the CBS PhD School.
2000 Frederiksberg
Room: SPs03 North Consulting
Reception: FUHU
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In order to obtain the PhD degree, Frederik Permin has submitted his thesis entitled: Essays on Empirical Asset Pricing with Biases and Frictions
This thesis examines how investor behavior affects asset prices and why some stocks are more susceptible to behavioral biases and sentiment-driven demand. The first chapter introduces firm uniqueness as a determinant of valuation uncertainty and investor disagreement, showing that more unique firms exhibit greater turnover and risk, but lower expected returns when short-selling is constrained. The second chapter develops a measure of arbitrage risk combining idiosyncratic risk and equity duration, finding that momentum profits are concentrated among high-arbitrage-risk firms but subsequently reverse over the long term. The third chapter examines how sentiment exposure affects downside risk and factor timing, showing that sentiment-neutral portfolios have lower downside risk and that sentiment exposure predicts the sentiment state in which factor premia are earned. Overall, the thesis demonstrates that these characteristics help explain important cross-sectional differences in expected returns and risk. Collectively, the findings highlight the importance of accounting for stocks' susceptibility to behavioral biases and sentiment-driven demand in asset pricing and portfolio construction.
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The thesis will be available from research.cbs.dk
*The CBS PhD School will host a reception, which will take place immediately after the defence.
Primary Supervisor:
Professor Rasmus Varneskov
Department of Finance
Copenhagen Business School
Secondary Supervisor(s):
Professor Peter Feldhütter
Department of Finance
Copenhagen Business School
Assessment Committee:
Professor Kristian Miltersen (Chair)
Department of Finance
Copenhagen Business School
Professor Charlotte Christiansen
Department of Economics and Business Economics
Aarhus University
Associate Professor Matthijs Lof
Department of Finance
Aalto University School of Business
