Asset Pricing publications

Below a list of all publications in the field of Asset Pricing. For a list of all publications see the link to the right

2021

Jungsuk Han, James Dow and Francesco Sangiorgi (2021). Hysteresis in price efficiency and the economics of slow moving capital. Review of Financial Studies, vol. 34, pp. 2857-2909

2020

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

Riccardo Sabbatucci, Davide Pettenuzzo and Allan Timmermann (2020). Cash Flow News and Stock Price Dynamics. Journal of Finance, vol. 75, pp. 2221-2270

2019

Anders Anderson, Howard Jones and José Martinez (2019). Measuring the Added Value of Stock Recommendations. Journal of Financial and Quantitative Analysis, pp. Forthcoming

Björn Hagströmer and Albert J. Menkveld (2019). Information Revelation in Decentralized Markets. Journal of Finance, vol. 74 , pp. 2751-2787

Matthew Baron, Jonathan Brogaard, Björn Hagströmer, and Andrei Kirilenko (2019). Risk and Return in High-Frequency Trading. Journal of Financial and Quantitative Analysis 54(3): 993-1024

Vincent Maurin, Piero Gottardi and Cyril Monnet (2019). A theory of repurchase agreements, collateral re-use, and repo intermediation. Review of Economic Dynamics, vol. 33, pp. 30-56

2018

Mikhail Chernov, Jeremy Graveline and Irina Zviadadze (2018). Crash risk in currency returns. Journal of Financial and Quantitative Analysis, vol, 53, pp. 137-170

Ard den Reijer and Andreas Johansson (2018). Nowcasting Swedish GDP with a large and unbalanced dataset. Empirical Economics, pp. 1-23

James Dow and Jungsuk Han (2018). The Paradox of Financial Fire Sales: the Role of Arbitrage Capital in Determining Liquidity. Journal of Finance, vol. 73(1), pp. 229-274

Jungsuk Han and Albert S. Kyle (2018). Speculative Equilibrium with Differences in Higher-Order Beliefs. Management Science, vol. 64(9), pp. 4317-4332

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

2017

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

Tomas Björk, Mariana Khapko and Agatha Murgoci (2017). On Time Inconsistent Stochastic Control in Continuous Time. Finance and Stochastics, vol. 21, pp. 331-360

2016

Irina Zviadadze (2016). Term structure of consumption risk premia in the cross section of currency returns. Journal of Finance, vol. 72, pp. 1529-1566

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

2015

James Dow and Jungsuk Han (2015). Contractual Incompleteness, Limited Liability and Asset Price Bubbles. Journal of Financial Economics, vol. 116(2), pp. 383-409

Michael Halling, Martijn Cremers and David Weinbaum (2015). Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns. Journal of Finance, vol. 70(2), pp. 577-614

2014

Magnus Dahlquist, Göran Robertsson, and Kristian Rydqvist (2014). Direct Evidence of Dividend Tax Clienteles. Journal of Empirical Finance, vol. 28, pp. 1-12

2013

Anders Anderson (2013). Trading and Under-Diversification. Review of Finance, vol. 17(5), pp. 1699-1697

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

Per Strömberg, Peter Englund, Per Krusell, Mats Persson and Torsten Persson (2013). 2013 års ekonomipris till Eugene Fama, Lars Peter Hansen och Robert Shiller. Ekonomisk Debatt

2012

Michael Halling and Thomas Dangl (2012). Predictive Regressions with Time-Varying Coefficients. Journal of Financial Economics, vol 106, pp. 157-181