Centre for Asset Pricing Research (CAPR)
The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.
- 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
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
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.
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.
Costas Xiouros and Fernando Zapatero
The Representative Agent of an Economy with External Habit-Formation and Heterogeneous Risk-Aversion
Review of Financial Studies, 2010.