Department of Finance

The Department of Finance aims to produce financial research, teaching and communication of international standard and of relevance for the Danish society

Slider Finance

The Danish Finance Institute will host its second annual conference on Thursday October 10, 2019 - registration is now open
DFI Annual Conference 2019
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FRIC hosted its annual conference on Financial Frictions August 15-16, 2019 - thanks to all our speakers and participants for joining us this August
FRIC19 opening remarks
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The Department of Finance

The Department of Finance is an international department that consists of 30 faculty members in Finance and 5 faculty members in Statistics as well as 8 administrative staff. The Department of Finance researches in all financial issues, including issues related to financial markets, securities pricing, risk management, corporate finance and household finance. At the Department of Finance, we offer highly qualified teaching within an extensive number of both the full-time and the part-time programs available at Copenhagen Business School. Furthermore, the Department runs a successful PhD Program with 24 PhD students of different nationalities currently enrolled. The Department of Finance organizes a number of seminars every semester, please see Upcoming Finance Seminars above for more information.
 

Recent Selected Work by Department Members

Leveraged Buyouts and Bond Credit Spreads
Yael Eisenthal-Berkovitz, Peter Feldhütter, and Vikrant Vig
Journal of Financial Economics, forthcoming
Leveraged buyout activity has increased in recent decades. We show that the leveraged buyout threat has a substantial ex-ante impact on bond credit spreads in general, on average 18-21bps. The impact is stronger in expansion periods and for long-maturity bonds.

A capital structure channel of monetary policy
Benjamin Grosse-Rueschkamp, Sascha Steffen, and Daniel Streitz
Journal of Financial Economics, forthcoming
We study the transmission channels from central banks' quantitative easing programs via the banking sector when central banks start purchasing corporate bonds. The announcement of purchases reduces bond yields of firms whose bonds are eligible for central bank purchases. These firms substitute bank loans with bond debt relaxing banks' lending constraints: constrained banks increase lending to private (and profitable) firms.

Betting against correlation: Testing theories of the low-risk
Clifford S. Asness, Andrea Frazzini; Niels Joachim Gormsen and Lasse Heje Pedersen
Journal of Financial Economics, forthcoming
Two cool new factors separate competing theories: BAC is strong, consistent with leverage constraints; SMAX works too, consistent with lottery demand.

Managerial Biases and Debt Contract Design: The Case of Syndicated Loans 
Tim Adam, Valentin Burg, Tobias Scheinert and Daniel Streitz
Management Science, forthcoming
We document that overconfident managers are more likely to issue loans with rate-increasing pricing provisions (PSD) than regular debt, as biased managers may consider this form of debt to be mispriced. Firms appear to benefit less from using PSD ex post if they are managed by overconfident managers rather than rational managers.

What is the Expected Return on a Stock?
Ian Martin and Christian Wagner
Journal of Finance, forthcoming
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk-neutral variance relative to the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. Empirically, the formula performs well in and out of sample

Generalized Recovery
Christian Skov Jensen, David Lando, and Lasse Heje Pedersen
Journal of Financial Economics, forthcoming
We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous

 

 

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Sidst opdateret: Department of Finance // 18/09/2019