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Magnus Dahlquist

Magnus Dahlquist is the Handelsbanken Professor of Finance at the Stockholm School of Economics (SSE). He is also a Research Fellow with the Centre for Economic Policy Research (CEPR), London & Paris.

Dahlquist obtained his doctoral degree in 1995 at the Institute for International Economic Studies, Stockholm University. He joined SSE in 1996 and taught at the Fuqua School of Business at Duke University between 1998 and 2002. Dahlquist was the Director of the Institute for Financial Research (SIFR) in Stockholm 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 asset management, corporate finance, debt instruments and markets, investments, global financial markets, and international business in MSc, MBA, Executive MBA, and PhD programs at Duke University, London Business School, Stockholm School of Economics, UCLA, and University of North Carolina at Chapel Hill. Many of his PhD students have been 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 has previously reviewed the active management of the Government Pension Fund Global, the sovereign wealth fund of Norway. Recently, he was appointed to the new Expert Council that will provide advice and assessments to the Norwegian Ministry of Finance on the Fund. Recently, Dahlquist was also appointed to an expert group that will evaluate the Danish ATP’s investment strategy.

Other activities include serving as academic coordinator for Inquire Europe, 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 the mutual fund company Quartile Fonder AB (“Kvartil”) and the foundation “Trygg-Stiftelsen” (related to the pension fund “Gamla Livförsäkrings-aktiebolaget SEB Trygg Liv”).

 

Selected Publications

Magnus Dahlquist and Markus Ibert (2024). Equity Return Expectations and Portfolios: Evidence from Large Asset Managers, The Review of Financial Studies, vol 37, pp. 1887-1928

Magnus Dahlquist, Mikhail Chernov and Lars Lochstoer (2023). Pricing Currency Risks, Journal of Finance, vol. 78, pp. 693-730 

Magnus Dahlquist and Mikhail Chernov (2023). Currency Risk Premiums: A Multi-Horizon Perspective, Foundations and Trends® in Finance 14, 1–60.

Magnus Dahlquist and Julien Penasse (2022). The Missing Risk Premium in Exchange Rates, Journal of Financial Economics, vol. 143, pp. 697-715

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

Researcher, Swedish House of Finance

Handelsbanken Professor of Finance, Department of Finance, SSE

magnus.dahlquist@hhs.se

Website

 
Fields of research

Asset Pricing

International Finance

Household Finance

News

2025-05-02

Appointed to New Expert Council Advising on Norway’s Sovereign Wealth Fund

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The Swedish House of Finance is pleased to announce that Professor Magnus Dahlquist and co-authors have received the Best Paper Award at the Vienna Symposium on Foreign Exchange Markets 2022. They got the award for the paper “International Capital Markets and Wealth Transfers.”

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

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Only winners. Enhanced default pension allocation

Roine Vestman & Magnus Dahlquist

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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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