Centre for Asset Pricing Research (CAPR)

2023

• Costas Xiouros and Fernando Zapatero

  Disagreement, Information Quality and Asset Prices

  Journal of Financial Economics, forthcoming.

• Iván Alfaro, Nick Bloom, and Xiaoji Lin

  The Finance Uncertainty Multiplier

  Journal of Political Economy, forthcoming.

• Tetiana Davydiuk, Tatyana Marchuk and Samuel Rosen

  Market Discipline in the Direct Lending Space

  Review of Financial Studies, forthcoming.

• Gauti B. Eggertsson, Ragnar E. Juelsrud, Lawrence H. Summers & Ella Getz Wold

  Negative Nominal Interest Rates and the Bank Lending Channel

  Review of Economic Studies, forthcoming.

• Klingler, Sven & Sundaresan, Suresh

  Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints

  Journal of Monetary Economics. Doi: 10.1016/j.jmoneco.2023.01.002

• Priestley, Richard & Møller, Stig

  The Role of the Discount Rate in Investment and Employment Decisions

  Journal of Financial and Quantitative Analysis. Doi: 10.1017/S0022109021000715

• Zhang, Tong

  Critical Realism: A Critical Evaluation

  Social Epistemology, 37(1), p. 14-29. Doi: 10.1080/02691728.2022.2080127

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  Critical realism, championed by its proponents as the most promising post-positivist social science paradigm, has gained significant influence in the last few decades. This paper provides a critical evaluation of the critical realism movement in the hope of facilitating more fruitful dialogues between its proponents and rivalling schools of sociologists. Two concerns are raised about contemporary critical realism. First, critical realism is not the only philosophical school against positivism and not necessarily the best. Second, critical realists exaggerate the importance of critical realism to social science and conflate philosophy of science with sociological theories.
   

• Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian

  The Leading Premium

  The Review of financial studies. Doi: 10.1093/rfs/hhad009

• Knüpfer, Samuli

  CEO health

  Leadership Quarterly. Doi: 10.1016/j.leaqua.2022.101672

2022

• Ilan Cooper, Andrea Mitrache and Richard Priestley

  A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes

  Journal of Financial and Quantitative Analysis.

• Zhang, Tong

  Ethics and Society: A Theory of Comparative Worldviews

  Journal of Sociology and Christianity (JSC), 12(2), p. 7-28.

  Read more (+)

  This article outlines a theist social science paradigm. The central thesis, derived from the assumption of an omnibenevolent and powerful God, is the Law of Divine Selection. It states that the motives of people, or the worldviews they adopt, fundamentally determine their society’s organization and evolution. In particular, the more hedonic or Nietzscheist a society is, the less progressed it will be, and the more ascetic a society is, the more progressed it will be. This provides a consistent and parsimonious explanation of many puzzles in macro-historical studies, among them the Great Divergence between the West and China, the sudden eruption of the two World Wars, and the religious distribution of Nobel Laureates.
   

• Knüpfer, Samuli; Rantapuska, Elias & Sarvimäki, Matti

  Social Interaction in the Family: Evidence from Investors’ Security Holdings

  Review of Finance. Doi: 10.1093/rof/rfac060 (2022)

• Zhang, Tong

  Reinterpreting Science as a Vocation

  Max Weber Studies, 22(1), p. 55-73. (2022)

• Zhang, Tong

  The Logic of Wasteful Production

  Journal of Economics, Theology and Religion, 2(2) 2022

• Klingler, Sven

  High Funding Risk and Low Hedge Fund Returns

  Critical Finance Review, 11(3-4), p. 505-539. Doi: 10.1561/104.00000119

• Dagfinn Rime, Andreas Schrimpf and Olav Syrstad

  Covered Interest Parity Arbitrage

  Review of Financial Studies. Forthcoming.

• Keloharju, Matti; Knüpfer, Samuli & Tåg, Joacim

  What prevents women from reaching the top?

  Financial Management. Doi: 10.1111/fima.12390 (2022)

2021

• Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag

  Equilibrium Asset Pricing in Directed Networks

  Review of Finance, Volume 25, Issue 3, May 2021, Pages 777-818.

• Andreas Fagereng, Magne Mogstad and Marte Rønning

  Why do Wealthy Parents have Wealthy Children?

  Journal of Political Economy, 129 (3) pp. 703-756, 2021.

• Martin B. Holm, Andreas Fagereng and Gisle J. Natvik

  MPC Heterogeneity and Household Balance Sheets

  American Economic Journal: Macroeconomics, 13 (3) pp. 1-54, 2021.

• Sven Klingler and Olav Syrstad

  Life After LIBOR

  Journal of Financial Economics, 141(2), s. 783- 801.

• Gauti Eggertsson, Jacob Robbins and Ella Getz Wold

  Kaldor and Piketty's facts: The rise of monopoly power in the United States

  Journal of Monetary Economics.

• Tong Zhang

  Was Weber Really Wrong? A Comment on Some Recent Empirical Studies on Economic Growth

  Max Weber Studies, 21(2), s. 203- 212.

2020

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

  Heterogeneity and Persistence in Returns to Wealth

  Econometrica, 88(1), s. 115- 170.

• Federico Gavazzoni and Ana Maria Santacreu

  International R&D Spillovers and Asset Prices

  Journal of Financial Economics, 136(2).

• Martin Blomhoff Holm, Andreas Fagereng and Kjersti Næss Thorstensen

  Housing Wealth in Norway, 1993-2015

  Journal of Economic and Social Measurement, 45 (1) pp. 65-81, 2020.

• Victoria Atanasov, Stig Møller and RIchard Priestley

  Consumption Fluctuations and Expected Returns

  Journal of Finance, s. 1- 37.

• Gisle James Natvik, Dagfinn Rime and Olav Syrstad

  Does publication of interest rate paths provide guidance?

  Journal of International Money and Finance, 103(May), s. 1- 22.

• Frank J. Fabozzi, Sven Klingler, Pia Mølgaard and Mads Stenbo Nielsen

  Active Loan Trading

  Journal of Financial Intermediation, Volume 46 (2021), article 100868

• Ragnar Enger Juelsrud and Ella Getz Wold

  Risk-weighted capital requirements and portfolio rebalancing

  Journal of Financial Intermediation.

• Zanhui Chen, Ilan Cooper, Paul Ehling and Costas Xiouros

  Risk Aversion Sensitive Real Business Cycle

  Management Science

• Geir Høidal Bjønnes, Carol L. Osler and Dagfinn Rime

  Price Discovery in Two-Tier Markets

  International Journal of Finance and Economics.

• Victoria Anastov, Stig Muller and Richard Priestley

  Consumption Fluctuations and Expected Returns

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

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

  Heterogeneity and Persistence in Returns to Wealth

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

2019

• Martin D. D. Evans and Dagfinn Rime

  Microstructure of Foreign Exchange Markets

  Hamilton, Jonathan H. (red.). Oxford Research Encyclopedias: Economics and Finance.

• Geir Høidal Bjønnes, Dagfinn Rime and Haakon Solheim

  The impact of different players on the volume-volatility relation in the foreign exchange market

  Beta, 33(1), s. 43- 60.

• Nicole Branger, Patrick Konermann and Christian Schlag

  Optimists and Pessimists in (In)complete Markets

  Journal of Financial and Quantitative Analysis, 2019.

2018

• Federico Gavazzoni, Riccardo Colacito, Mariano Massimiliano Croce and Robert Ready

  Currency Risk Factors in a Recursive Multi-Country Economy

  Journal of Finance, 73(6), 2018

• Luigi Guiso, Andreas Fagereng and Luigi Pistaferri

  Portfolio Choices, Firm Shocks and Uninsurable Wage Risk

  Review of Economic Studies, 85 (1) pp.437-474, 2018.

• Ilan Cooper, Panayiotis Andreou, Ignacio Garcia de Olalla Lopez, Christodoulos Louca

  Managerial Overconfidence and the Buyback Anomaly

  Journal of Empirical Finance, 49, s. 142- 156.

• 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.

• Ilan Cooper and Paolo Maio

  New Evidence on Conditional Factor Models

  Journal of Financial and Quantitative Analysis, 2018.

• Sven Kingler and David Lando

  Safe Haven CDS Premiums

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

• Espen Henriksen and Thomas Cooley

  The Demographic Deficit

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

• Ilan Cooper and Paolo Maio

  Asset Growth, Profitability and Investment Opportunities

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

• Sven Kingler and Suresh Sundaresan

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

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

• Paul Ehling, Alessandro Graniero and Christian Heyerdahl-Larsen

  Asset Prices and Portfolio Choice with Learning from Experience

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

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

  Portfolio Tax Trading with Carry-Over Losses

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

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

  Disagreement about Inflation and the Yield Curve

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

2017

• Andreas Fagereng and Elin Halvorsen

  Imputing consumption from Norwegian income and wealth registry data

  Journal of Economic and Social Measurement, 42 (1) pp.67-100, 2017.

• Andreas Fagereng, Charles Gottlieb and Luigi Guiso

  Asset Market Participation and Portfolio Choice over the Life-Cycle

  Journal of Finance, 72 (2) pp.705-750, 2017.

• Luigi Guiso, Andreas Fagereng and Luigi Pistaferri

  Firm-Related Risk and Precautionary Saving Response

  American Economic Review: Papers & Proceedings, 107 (5) pp.393-397, 2017.

• 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.

2016

• Andreas Fagerend, Cristoph Basten and Kjetil Telle

  Saving and Portfolio Allocation Before and After Job Loss

  Journal of Money, Credit and Banking, 48 (2-3) pp.293-324, 2016.

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

  Heterogeneity in Returns to Wealth and the Measurement of Wealth Inequality

  American Economic Review: Papers & Proceedings, 106 (5) pp.651-655, 2016.

• Dagfinn Rime and Martin D.D. Evans

  Order flow information and spot rate dynamics

  Journal of International Money and Finance, 69(Dec.), s. 45- 68.

• 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.

• Francis Breedon, Dagfinn Rime and Paolo Vitale

  Carry Trades, Order Flow and the Forward Bias Puzzle

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

2015

• Paul Ehling and Christian Heyerdahl-Larsen

  Complete and Incomplete Financial Markets in Mult-Good Economies

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

• 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

2014

• David Backus, Thomas Cooley and Espen Henriksen

  Demography and Low-Frequency Capital Flow

  Journal of International Economics 92:1 (2014).

• Andreas Fagereng, Christoph Basten and Kjetil Telle

  Cash-on-Hand and the Duration of Job Search: Quasi-experimental evidence from Norway

  Economic Journal, 124 (576) pp.540-568, 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.

• 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.

• 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.

2013

• Patrick Konermann, Christoph Meinerding and Olga Sedova

  Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

  Review of Financial Economics, 2013, 22(1), 36-46.

• Michael R. King, Carol L. Osler and Dagfinn Rime

  The market micorstructure approach to foreign exchange: Looking back and looking forward

  Journal of International Money and Finance, 38, s. 95- 119.

• Espen Henriksen, Finn Kydland and Roman Šustek

  Globally Correlated Nominal Fluctuations

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

• 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.

2012

• Dagfinn Rime, Lucio Sarno and Elvira Sojli

  Exchange rate forecasting, order flow and macroeconomic information

  Journal of International Economics, 80(1), s. 72- 88.

• Matti Keloharju, Samuli Knüpfer and Juhani T. Linnainmaa

  Do Investors Buy What They Know? Product Market Choices and Investment Decisions

  Review of Financial Studies, 2012.

• Espen Henriksen and Steve Spear

  Endogenous market incompleteness without market frictions: Dynamic suboptimality of competitive equilibrium in multiperiod OLG economies

  Journal of Economic Theory 147:2 (2012)

• Samuli Knüpfer and Markku Kaustia

  Peer performance and stock market entry

  Journal of Financial Economics, 2012.

• Dagfinn Rime, Hans Jørgen Tranvåg

  Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

  Pacific Economic Review, 17(3), s. 434- 466.

• Ilan Cooper and Richard Priestley

  The World Business Cycle and Expected Returns

  Review of Finance, 17(3), s. 1029- 1064.

• 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.

• 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.

2011

• Ilan Cooper and Richard Priestley

  Real Investment and Risk Dynamics

  Journal of Financial Economics, 2011.

2010

• Espen Henriksen and Finn E. Kydland

  Endogenous Money, Inflation and Welfare

  Review of Economic Dynamics 13:2 (2010)

• David K. Backus, Federico Gavazzoni, Christopher Telmer and Stanley E. Zin (

  Monetary Policy and the Uncovered Interest Rate Parity Puzzle

  Social Science Research Network (SSRN)

• Pål Boug and Andreas Fagereng

  Exchange rate volatility and export performance: A cointegrated VAR approach

  Applied Economics, 42 (7) pp.851-864, 2010.

• Costas Xiouros and Fernando Zapatero

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

  Review of Financial Studies, 2010.

2009

• Richard Priestley and Ilan Cooper

  Time-Varying Risk Premiums and the Output Gap

  The Review of financial studies, 22(7), s. 2801- 2833.

• Farooq Q. Akram, Dagfinn Rime and Lucio Sarno

  Does the law of one price hold in international financial markets? Evidence from tick data

  Journal of Banking & Finance, 33(10), s. 1741- 1754.

• 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. 

2008

• Samuli Knüpfer and Elias Rantapuska

  Which investors leave money on the table? Evidence from rights issues

  Review of Finance, 2008.

• Dave Backus, Kjetil Storesletten and Espen Henriksen

  Taxes and the Global Allocation of Capital

  Journal of Monetary Economics 55:1 (2008)

• Matti Keloharju, Samuli Knüpfer and Sami Torstila

  Do retail incentives work in privatizations?

  Review of Financial Studies, 2008.

• Markku Kaustia and Samuli Knüpfer

  Do investors overweight personal experience? Evidence from IPO subscriptions

  Journal of Finance, 2008.

• Genaro Sucarrat, Luc Bauwens and Dagfinn Rime

  Exchange Rate Volatility and the Mixture of Distribution Hypothesis

  Bauwenns, Luc; Pohlmeier, Winfried & Veredas, David (red.). High-Frequency Financial Econometrics.

• Farooq Q. Akram, Dagfinn Rime and Lucio Sarno

  Arbitrage in the Foreign Exchange Market: Turning on the Microscope

  Journal of International Economics, 76, s. 237- 253.

• 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.

2007

• David Saunders, Costas Xiouros and Stavros Zenios

  Credit Risk Optimization Using Factor Models

  Annals of Operations Research, 152(1), s. 49- 77.

2006

• Luc Bauwens, Dagfinn Rime and Genaro Sucarrat

  Exchange Rate Volatility and the Mixture of Distribution Hypothesis

  Empirical Economics, 30, s. 889- 911, 2006.

• Marios Neroupposm, David Saunders, Costas Xiouros and Stavros Zenios

  Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests

  Multinational Finance Journal, 10(3), s. 179- 221.

• 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.

2005

• Geir Høidal Bjønnes, Dagfinn Rime and Haakon Solheim

  Liquidity provision in the overnight foreign exchange market

  Journal of International Money and Finance, 24(2), s. 175- 196.

• 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.

2004

• Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime

  Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets

  Economic Policy, 17, s. 536- 552.

2000

• Garrett, I.; Priestley, Richard

  Dividend Behaviour and Dividend Signaling

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