BI 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.

  • All Items
  • Research Articles
  • Journal Publications
  • Publications
    • Zanhui Chen, Ilan Cooper, Paul Ehling and Costas Xiouros

      Risk Aversion Sensitive Real Business Cycle

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      Forthcoming: Management Science. Read paper

    • Victoria Anastov, Stig Muller and Richard Priestley

      Consumption Fluctuations and Expected Returns

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      Journal of Finance, s. 1- 37, 2020. Read paper

    • Andreas Fagereng, Luigi Guiso, Davide Malacrino & Luigi Pistaferri

      Heterogeneity and Persistence in Returns to Wealth

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

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    • Nicole Branger, Patrick Konermann and Christian Schlag

      Optimists and Pessimists in (In)complete Markets

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      Journal of Financial and Quantitative Analysis, 2019. Read paper

    • Renee B. Adams, Matti Keloharju and Samuli Knüpfer

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

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

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    • Ilan Cooper and Paolo Maio

      New Evidence on Conditional Factor Models

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      Journal of Financial and Quantitative Analysis, 2018. Read paper

    • Sven Kingler and David Lando

      Safe Haven CDS Premiums

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      The Review of financial studies, 31(5), s. 1856- 1895, 2018. Read paper

    • Espen Henriksen and Thomas Cooley

      The Demographic Deficit

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      Journal of Monetary Economics, 93, s. 45- 62, 2018. Read paper

    • Ilan Cooper and Paolo Maio

      Asset Growth, Profitability and Investment Opportunities

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      Management Science, 65(9), s. 3988- 4010, 2018. Read paper

    • Sven Kingler and Suresh Sundaresan

      An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

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      Journal of Finance, 74(2), s. 675- 710, 2018. Read paper

    • Paul Ehling, Alessandro Graniero and Christian Heyerdahl-Larsen

      Asset Prices and Portfolio Choice with Learning from Experience

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      The Review of Economic Studies, 85(3), s. 1752- 1780, 2018. Read paper

    • Paul Ehling, Michael F. Gallmeyer, Sanjay Srivastava and Chunyu Yang

      Portfolio Tax Trading with Carry-Over Losses

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      Management Science, 64(9), s. 4157- 4176, 2018. Read paper

    • Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch

      Disagreement about Inflation and the Yield Curve

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      Journal of Financial Economics, 127(3), s. 459- 484, 2018. Read paper

    • Samuli Knüpfer, Elias Henrikki Rantapuska and Matti Sarvimäki

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

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

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    • Paul Ehling, Christian Heyerdahl-Larsen

      Correlations

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

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    • Ilan Cooper and Richard Priestley

      The Expected Returns and Valuations of Private and Public Firms

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

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    • Juan-Pedro Gomez, Richard Priestley, Fernando Zapatero

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

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

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

      IQ and Mutual Fund Choice

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

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    • Markku Kaustia, Samuli Knüpfer and Sami Torstila

      Stock Ownership and Political Behavior: Evidence from Demutualizations

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

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    • Francis Breedon, Dagfinn Rime and Paolo Vitale

      Carry Trades, Order Flow and the Forward Bias Puzzle

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      Journal of Money, Credit and Banking, 48(6), s. 1113- 1134, 2016. Read paper

    • Paul Ehling and Christian Heyerdahl-Larsen

      Complete and Incomplete Financial Markets in Mult-Good Economies

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      Journal of Economic Theory, 160, s. 438- 462, 2015. Read paper

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

      The Scapegoat Theory of Exchange Rates: The First Tests

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

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    • 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

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

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    • Yin-Wong Cheung and Dagfinn Rime

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

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

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    • Espen Henriksen, Finn Kydland and Roman Šustek

      Globally Correlated Nominal Fluctuations

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

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    • 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

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

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    • Aunon-Nerin, Daniel; Ehling, Paul

      Why firms purchase property insurance

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

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    • David K. Backus, Espen Henriksen and Kjetil Storesletten

      Taxes and the global allocation of capital

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

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    • Cooper, Ilan

      Asset pricing implications of nonconvex adjustment costs and irreversibility of investment

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

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

      EMU and European stock market integration

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

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    • Bjønnes, Geir Høidal; Rime, Dagfinn

      Dealer behavior and trading systems in foreign exchange markets

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

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    • Garrett, I.; Priestley, Richard

      Dividend Behaviour and Dividend Signaling

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

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    • Tompaidis and Chunyu (Ben) Yang

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

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

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    • 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

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

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    • Ilan Cooper and Richard Priestley

      The World Business Cycle and Expected Returns

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

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    • Vikas Agarwal, Juan-Pedro Gomez and Richard Priestley

      Management Compensation and Market Timing Under Portfolio Constraints

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

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    • Long Chen, Zhi Da, and Richard Priestley

      Dividend Predictability and Dividend Smoothing

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

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    • Ian Garrett and Richard Priestley

      Dividend Growth, Cash Flow and Discount Rate News

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

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    • Ilan Cooper and Richard Priestley

      Real Investment and Risk Dynamics

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      Journal of Financial Economics, 2011.

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    • Costas Xiouros and Fernando Zapatero

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

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      Review of Financial Studies, 2010.

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