Research Centre

Centre for Asset Pricing Research (CAPR)

The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.

Forthcoming publications

  • Risk Aversion Sensitive Real Business Cycle. Forthcoming Management Science; Zanhui Chen, Ilan Cooper, Paul Ehling and Costas Xiouros.
  • Consumption Fluctuations and Expected Returns. Forthcoming Journal of Finance; Victoria Anastov, Stig Muller and Richard Priestley.
  • Optimists and Pessimists in (In)complete Markets. Forthcoming Journal of Financial and Quantative Analysis; Nicole Branger, Patrick Konermann and Christian Schlag.
  • New Evidence on Conditional Factor Models. Forthcoming Journal of Financial and Quantative Analysis; Ilan Cooper and Paolo Maio.
  • Safe Haven CDS Premiums. Forthcoming Review of Financial Studies; Sven Kingler and David Lando.
  • The Demographic Deficit. Forthcoming Journal of Monetary Economics; Espen Henriksen and Thomas Cooley.
  • Asset Growth, Profitability and Investment Opportunities. Forthcoming Management Science; Ilan Cooper and Paolo Maio.
  • An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans. Forthcoming Journal of Finance; Sven Kingler and Suresh Sundaresan.
  • Asset Prices and Portfolio Choice with Learning from Experience. Forthcoming Review of Economic Studies; Paul Ehling, Alessandro Graniero and Christian Heyerdahl-Larsen.
  • Portfolio Tax Trading with Carry-Over Losses. Forthcoming Management Science; Paul Ehling, Michael F. Gallmeyer, Sanjay Srivastava and Chunyu Yang.
  • Disagreement about Inflation and the Yield Curve. Forthcoming Journal of Financial Economics; Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch.
  • The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis. Forthcoming Journal of Monetary Economics; Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov.
  • Correlations. Forthcoming Management Science; Paul Ehling and Christian Heyerdahl-Larsen.
  • Complete and Incomplete Financial Markets in Mult-Good Economies. Forthcoming Journal of Economic Theory; Paul Ehling and Christian Heyerdahl-Larsen.
  • Carry Trades, Order Flow and the Forward Bias Puzzle. Forthcoming in Journal of Money, Credit and Banking; Francis Breedon, Dagfinn Rime and Paolo Vitale.
  • The Expected Returns and Valuations of Private and Public Firms. Forthcoming Journal of Financial Economics; Ilan Cooper and Richard Priestley.
  • Labor Income, Relative Wealth Concerns, and the Cross-Section of Stock Returns. Forthcoming Journal of Financial and Quantitative Analysis; Juan-Pedro Gomez, Richard Priestley, and Fernando Zapatero.
  • All Items
  • Research Articles
  • Journal Publications
  • Publications
  • Andreas Fagereng, Luigi Guiso, Davide Malacrino & Luigi Pistaferri

    Heterogeneity and Persistence in Returns to Wealth

    Econometrica, Vol. 88, No.1, 115–170, 2020.

  • Renee B. Adams, Matti Keloharju and Samuli Knüpfer

    Are CEOs Born Leaders? Lessons from Traits of a Million Individuals

    Journal of Financial Economics. Volume 130(2), 392-408, 2018.

  • Samuli Knüpfer, Elias Henrikki Rantapuska and Matti Sarvimäki

    Formative Experiences and Portfolio Choice: Evidence from the Finnish Great Depression

    Journal of Finance. Volume 72(1), pp. 133-166. 2017.

  • Paul Ehling, Christian Heyerdahl-Larsen

    Correlations

    Management Science. Volume 63, pp. 1919-1937, 2017.

  • Ilan Cooper and Richard Priestley

    The Expected Returns and Valuations of Private and Public Firms

    Journal of Financial Economics. Volume 120(1) pp. 41-57, 2016.

  • Juan-Pedro Gomez, Richard Priestley, Fernando Zapatero

    Labor Income, Relative Wealth Concerns, and the Cross-Section of Stock Returns

    Journal of Financial and Quantitative Analysis. Volume 51(4) pp. 1111-1133, 2016. 

  • Mark Grinblatt, Seppo Ikäheimo, Matti Keloharju and Samuli Knüpfer

    IQ and Mutual Fund Choice

    Management Science. Volume 62(4), pp. 924-944. 2016.

  • Markku Kaustia, Samuli Knüpfer and Sami Torstila

    Stock Ownership and Political Behavior: Evidence from Demutualizations

    Management Science. Volume 62(4), pp. 945-963. 2016.

  • Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, and Gabriele Zinna

    The Scapegoat Theory of Exchange Rates: The First Tests

    Journal of Monetary Economics, Volume 70, March 2015, Pages 1–21

  • Espen Henriksen, Finn Kydland and Roman Šustek

    Globally Correlated Nominal Fluctuations

    Journal of Monetary Economics, Volume 60(6), pp. 613-631, 2013. 

  • Gómez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando

    Implications of Keeping-Up-with-the-Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence

    Journal of Finance 2009. Vol, 64.(6) p. 2703-2730. 

  • Aunon-Nerin, Daniel; Ehling, Paul

    Why firms purchase property insurance

    Journal of Financial Economics 2008. Vol, 90.(3) p. 298-312.  

  • David K. Backus, Espen Henriksen and Kjetil Storesletten

    Taxes and the global allocation of capital

    Journal of Monetary Economics, Volume 55(1), pp. 48-61, 2008.

  • Cooper, Ilan

    Asset pricing implications of nonconvex adjustment costs and irreversibility of investment

    Journal of Finance 2006. Vol, 61.(1) p. 139-170. 

  • Hardouvelis, G.A.; Malliaropulos, D.; Priestley, Richard

    EMU and European stock market integration

    Journal of Business 2006. Vol, 79.(1) p. 365-392

  • Bjønnes, Geir Høidal; Rime, Dagfinn

    Dealer behavior and trading systems in foreign exchange markets

    Journal of Financial Economics 2005. Vol, 75.(3) p. 571-605

  • Garrett, I.; Priestley, Richard

    Dividend Behaviour and Dividend Signaling

    Journal of Financial and Quantitative Analysis 2000. Vol, 35.(2) p.

  • Yin-Wong Cheung and Dagfinn Rime

    The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market.

    Journal of International Money and Finance, Volume 49, Part A, Pages 170-189, 2014

  • Geir Høidal Bjønnes, Steinar Holden, Dagfinn Rime, and Haakon O. Aa Solheim

    'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

    The Scandinavian Journal of Economics, Volume 116.(2) p. 506-538, 2014

  • Tompaidis and Chunyu (Ben) Yang

    Pricing American-style options by Monte Carlo simulation: Alternatives to ordinary least squares

    Journal of Computational Finance, Volume 18(1) p.1-23, 2014

  • Herve Roche, Stathis Tompaidis and Chunyu (Ben) Yang

    Why does Junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios

    Journal of Financial Economics, Volume 109, Issue 3, September 2013, Pages 775-796

  • Ilan Cooper and Richard Priestley

    The World Business Cycle and Expected Returns

    Review of Finance, Volume 17, No. 3, July 2013, Pages 1029-1064

  • Vikas Agarwal, Juan-Pedro Gomez and Richard Priestley

    Management Compensation and Market Timing Under Portfolio Constraints

    Journal of Economic Dynamics and Control, Volume 36, Issue 10, October 2012, Pages 1600-1625

  • Long Chen, Zhi Da, and Richard Priestley

    Dividend Predictability and Dividend Smoothing

    Management Science, Volume 58, No. 10, October 2012

  • Ian Garrett and Richard Priestley

    Dividend Growth, Cash Flow and Discount Rate News

    Journal of Financial and Quantitative Analysis, Volume 47, No. 05, 2012, Page 1003-1028

  • Ilan Cooper and Richard Priestley

    Real Investment and Risk Dynamics

    Journal of Financial Economics, 2011.

    Read the article.

  • Costas Xiouros and Fernando Zapatero

    The Representative Agent of an Economy with External Habit-Formation and Heterogeneous Risk-Aversion

    Review of Financial Studies, 2010.

    Read the article.