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Swedish House of Finance
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Magnus Dahlquist

Magnus Dahlquist is the Peter Wallenberg Professor of Finance at the Stockholm School of Economics (SSE). Dahlquist is also a Research Fellow with the Centre for Economic Policy Research (CEPR), London, and with the Network for Studies on Pensions, Aging and Retirement (NETSPAR) in the Netherlands.

Dahlquist obtained his doctoral degree in 1995 at the Institute for International Economic Studies, Stockholm University. He joined the Stockholm School of Economics in 1996 and taught at the Fuqua School of Business at Duke University between 1998 and 2002. Dahlquist was a Research Fellow at the Institute for Financial Research (SIFR) in Stockholm between 2002 and 2013 and its Director between 2003 and 2008.

Dahlquist’s research interests lie in asset management, asset pricing, and international finance. His current research focuses on (i) individuals’ and institutions’ investment behavior and the design of pension plans, (ii) trading strategies in the bond and currency markets and their relation to fundamentals, and (iii) performance evaluation and practical issues related to asset management.

Dahlquist has taught courses on debt instruments and markets, investment management, global financial markets, and international business in Master of Science, MBA, Executive MBA, and PhD programs at Duke University, London Business School, Stockholm School of Economics, and University of North Carolina at Chapel Hill. Many of his PhD students have placed at academic institutions, central banks, and asset management firms.

Dahlquist has been an advisor to several financial institutions as well as government authorities, including the National Debt Office, the Swedish Pensions Agency, and the Swedish Central Bank. He currently serves as academic advisor to Inquire Europe. Other activities include serving on the investment committees of the Apoteket AB’s Pension Fund, the Church of Sweden, the Nobel Foundation, and the Swedish Society for Medical Research, and being a board member of "Trygg-Stiftelsen" (related to "Gamla Livförsäkrings-aktiebolaget SEB Trygg Liv"). Recently, he reviewed the active management of the Government Pension Fund Global, the so-called petroleum fund of Norway.

 

Selected Publications

Magnus Dahlquist and Henrik Hasseltoft. Economic Momentum and Currency Returns, Journal of Financial Economics 136 (2020), 152–167.

Magnus Dahlquist and Bernt Arne Odegaard (2018). A Review of Norges Bank's Active Management of the Government Pension Fund Global.

Magnus Dahlquist, Ofer Setty and Roine Vestman (2018). On the Asset Allocation of a Default Pension Fund. Journal of Finance, vol. 73, pp. 1893-1936

Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind (2017). Individual Investor Activity and Performance. Review of Financial Studies, vol. 30, pp. 866-899

Magnus Dahlquist, Adam Farago and Roméo Tédongap (2017). Asymmetries and Portfolio Choice. Review of Financial Studies, vol. 30, pp. 667-702

Magnus Dahlquist and Henrik Hasseltoft (2016). International Bond Risk Premia. Handbook of Fixed-Income Securities, vol. Chapter 9

Magnus Dahlquist and Henrik Hasseltoft (2013). International Bond Risk Premia. Journal of International Economics, vol. 90, pp. 17-32

Magnus Dahlquist and Frank de Jong (2008). Pseudo Market Timing: A Reappraisal. Journal of Financial and Quantitative Analysis, vol. 43, pp. 547-580

Magnus Dahlquist and Lee Pinkowitz and René M. Stulz, and Rohan Williamson (2003). Corporate Governance and the Home Bias. Journal of Financial and Quantitative Analysis, vol. 38, pp. 87-110

Magnus Dahlquist and Göran Robertsson (2001). Direct Foreign Ownership, Institutional Investors, and Firm Characteristics. Journal of Financial Economics, vol. 59, pp. 413-440

Magnus Dahlquist and Stefan Engström and Paul Söderlind (2000). Performance and Characteristics of Swedish Mutual Funds. Journal of Financial and Quantitative Analysis, vol. 35, pp. 409-423

Magnus Dahlquist and Stephen Gray (2000). Regime-Switching and Interest Rates in the European Monetary System. Journal of International Economics, vol. 50, pp. 399–419

Magnus Dahlquist and Ravi Bansal (2000). The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies. Journal of International Economics, vol. 51, pp. 115–144

Magnus Dahlquist and Paul Söderlind (1999). Evaluating Portfolio Performance with Stochastic Discount Factors. Journal of Business, vol. 72, pp. 347–383.

Contact information

Peter Wallenberg Professor of Finance, Department of Finance, SSE

magnus.dahlquist@hhs.se

Website

 
Fields of research

Asset Pricing

International Finance

Household Finance

Congratulations Magnus Dahlquist whose paper “Economic momentum and currency returns”

Read more

Magnus Dahlquist, a leader with a passion for frontier research

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Magnus Dahlquist to review Norway sovereign wealth fund

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Disclosure

Compensated Activities

Directorships (boards)

  • IPM AB (2009-2020), Member of the board
  • Skandia (2014–2018), Member of assembly of representatives
  • Thule Foundation (2014-), Member of the board
  • Tryggstiftelsen (2018-), Member of the board
  • Norwegian Central Bank (2014–2017), Scientific advisor
  • The Church of Sweden's Pension Fund (Kyrkans pensionskassa) (2011–2016), Member of investment committee
  • Norwegian Central Bank (2015), Expert
  • Riksgälden (National Debt Office) (2012–2015), Scientific advisor
  • The Apoteket AB's Pension Fund (Apoteket AB:s Pensionsstiftelse) (2017-), Member of investment committee 
  • Norwegian Ministry of Finance (2017), Expert 
  • The Church of Sweden ("Svenska kyrkans kapitalförvaltningsråd") (2018-), Member of investment committee
  • Swedish Society for Medical Research ("Svenska Sällskapet för Medicinsk Forskning") 2018-, Member of investment committee

Significant Non-compensated Activities

  • Network for Studies on Pensions, Aging and Retirement (NETSPAR) (2008-), Research fellow
  • Centre for Economic Policy Research (CEPR) (1996-), Research fellow
  • INQUIRE Europe (2007-), Scientific advisor
  • Foundation behind the Polar Music Prize (2008–2018), Member of investment committee
  • Nobel Foundation (2011-), Member of investment committee
  • The Financing Delegation of the Swedish Radiation Safety Authority (2014–2015), Member of the delegation
  • Bertil Danielsson Foundation (2017-), Member of the board

Swedish House of Finance

Drottninggatan 98, 111 60 Stockholm

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