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 problems related to portfolio selection.
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 and the Norwegian Central Bank. Dahlquist also serves on the investment committees of the foundation behind the Polar Music Prize, the Church of Sweden’s Pension Fund, and the Nobel Foundation. He is a member of the Board of Informed Portfolio Management AB and the Thule Foundation. He is also a member of the Assembly of Representatives of Skandia.
- Evaluating Portfolio Performance with Stochastic Discount Factors (with Paul Söderlind), Journal of Business 72 (1999), 347-383.
- The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies (with Ravi Bansal), Journal of International Economics 51 (2000), 115-144.
[Winner of the Chicago Board of Trade Award for Best Paper on Futures or Options on Futures at the 1999 Western Finance Association Meetings.]
- Regime-Switching and Interest Rates in the European Monetary System (with Stephen Gray), Journal of International Economics 50 (2000), 399-419.
- Performance and Characteristics of Swedish Mutual Funds (with Stefan Engström and Paul Söderlind), Journal of Financial and Quantitative Analysis 35 (2000), 409-423.
- Direct Foreign Ownership, Institutional Investors, and Firm Characteristics (with Göran Robertsson), Journal of Financial Economics 59 (2001), 413-440.
- Corporate Governance and the Home Bias (with Lee Pinkowitz, René M. Stulz, and Rohan Williamson), Journal of Financial and Quantitative Analysis 38 (2003), 87-110.
[Winner of the William F. Sharpe Award for Scholarship in Financial Research for the best article in Journal of Financial and Quantitative Analysis in 2003.]
- Pseudo Market Timing: A Reappraisal (with Frank de Jong), Journal of Financial and Quantitative Analysis 43 (2008), 547-580.
- International Bond Risk Premia (with Henrik Hasseltoft), Journal of International Economics 90 (2013), 17-32.
- International Bond Risk Premia (with Henrik Hasseltoft), Chapter 9 in the Handbook of Fixed-Income Securities (2016; Wiley; edited by Pietro Veronesi).
- Asymmetries and Portfolio Choice (with Adam Farago and Romeo Tedongap, 2016), forthcoming in Review of Financial Studies.
- Individual Investor Activity and Performance (with Jose Vicente Martinez and Paul Söderlind, 2016), forthcoming in Review of Financial Studies.
A complete list of publications is given in the downloadable CV.
Selected working papers
- On the Asset Allocation of a Default Pension Fund (with Ofer Setty and Roine Vestman, 2016).
- Economic Momentum and Currency Returns (with Henrik Hasseltoft, 2016).
- The Missing Risk Premium in Exchange Rates (with Julien Penasse, 2016).
Older working papers
- An Evaluation of International Asset Pricing Models (with Torbjörn Sällström, 2002). Also published as CEPR Discussion Paper 3145.
- Dynamic Trading Strategies and Portfolio Choice (with Ravi Bansal and Campbell Harvey, 2005). Also published as NBER Working Paper 10820.
- Sample Selectivity and Expected Returns in Global Equity Markets (with Ravi Bansal, 2005). Also published as CEPR Discussion Paper 3034.