Faculty Profile

Paul Ehling

Professor - Department of Finance

Biography

Paul Ehling is an associate professor of financial economics at BI Norwegian Business School in Oslo, Norway. Before joining BI in 2005, he served on the faculty of the Pennsylvania State University. He received a PhD in Finance from HEC Lausanne and FAME in December 2003. Ehling has consulted on risk capital, corporate risk management, and interest rate risk management for various corporations and worked for a consultancy firm.

Selected Publications
Why firms purchase property insurance, 2008, Journal of Financial Economics, 90, 298-312 (with D. Aunon-Nerin).

Complete and incomplete financial markets in multi-good economies, 2015, Journal of Economic Theory, 160, 438-462 (with C. Heyerdahl-Larsen).

Correlations, 2017, Management Science, 63, 1919/1937 (with C. Heyerdahl-Larsen).

Disagreement about inflation and the yield curve, 2016, forthcoming Journal of Financial Economics (with M. Gallmeyer, C. Heyerdahl-Larsen, and Ph. Illeditsch).

Portfolio tax trading with carry-over-losses, 2016, forthcoming in Management Science (with M. Gallmeyer, S. Srivastava, S. Tompaidis, and B. Yang).

Asset prices and portfolio choice with learning from experience, 2017, forthcoming Review of Economic Studies (with A. Graniero and C. Heyerdahl-Larsen)

My SSRN webpage: https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=327263

Teaching areas
Asset Pricing Theory (PhD) and Derivatives (MSc)

Publications

Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu (2017)

Portfolio Tax Trading with Carryover Losses

Management science Doi: 10.1287/mnsc.2017.2733

Ehling, Paul; Graniero, Alessandro & Heyerdahl-Larsen, Christian (2017)

Asset prices and portfolio choice with learning from experience

The Review of Economic Studies Doi: 10.1093/restud/rdx077

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.

Ehling, Paul & Heyerdahl-Larsen, Christian (2017)

Correlations

Management science, 63(6), s. 1919- 1937. Doi: 10.1287/mnsc.2015.2413

Ehling, Paul & Heyerdahl-Larsen, Christian (2015)

Complete and incomplete financial markets in multi-good economies

Journal of Economic Theory, 160, s. 438- 462. Doi: 10.1016/j.jet.2015.10.006

Aunon-Nerin, Daniel & Ehling, Paul (2008)

Why firms purchase property insurance

Journal of Financial Economics, 90(3), s. 298- 312. Doi: 10.1016/j.jfineco.2008.01.003

Ehling, Paul & Ramos, Sofia B. (2006)

Geographic versus industry diversification: Constraints matter

Journal of Empirical Finance, 13(4/5), s. 396- 416.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2016)

Portfolio Tax Trading with Carry-Over Losses

[Academic lecture]. Academic Seminar.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2015)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Academic lecture]. American Finance Association Annual Meeting 2015.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2014)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Academic lecture]. Young Scholars Nordic Finance Workshop.

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2013)

Risk Aversion Sensitive Real Business Cycles

[Academic lecture]. World Finance Conference.

Ehling, Paul (2010)

Some Like it Safe: Agency and Corporate Purchase of Insurance

[Academic lecture]. European Finance Association Annual Meeting.

Ehling, Paul (2009)

Risk Management with Cash and Insurance in Non-Listed Firms

[Academic lecture]. European Winter Finance Summit 2009.

Academic Degrees
Year Academic Department Degree
2003 HEC Lausanne Ph.D.
1998 University of Basel Master of Science
1996 University of Basel B.S.
2003 HEC Lausanne Ph.D.
1998 University of Basel Master of Science
1996 University of Basel B.S.
Work Experience
Year Employer Job Title
2005 - Present BI Norwegian Business School Associate Professor of Finance
2004 - 2005 Penn State Visiting Assistant Professor of Finance