Centre for Asset Pricing Research (CAPR)
The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.
8 May 2020
The Eurpoean Research Council (ERC) has granted Andreas Fagereng, associate professor at the Department of Finance at BI Norwegian Business School, a “Starting Grant”, for a period of five years.
Starting grants target outstanding researchers who present research projects with expected ground-breaking results, and who have demonstrated scientific maturity a few years after completing their doctorate degree.
Together with researchers in Europe, US and local team members from the University of Oslo, Statistics Norway and Norges Bank, Fagereng and BI colleague Gisle Natvik will study the impact of inequality and distributions for the macro economy. The official start date of the project was 1 May 2020.
“The project will contribute toward a better understanding of inequality along the three dimensions, consumptions, income and wealth, and its macroeconomic implications. The evidence will complement recent theoretical advances within macroeconomics by quantifying in the data the type of micro heterogeneity that matters,” says Andreas Fagereng.
The funding of up to 1,5 million euros allows Fagereng to establish research teams and pursue his research project with the title “Inequality in 3D - measurement and implications for macroeconomic theory”.
The ERC’s mission is to encourage the highest quality research in Europe through competitive funding and to support investigator-driven frontier research across all fields, on the basis of scientific excellence. The ERC Starting grant is personal, that is, the grant is awarded regardless of which research institution the researcher belongs to.
In August 2019, Fagereng joined BI from Statistics Norway, the national statistical institute of Norway, were he has been senior researcher and head of research in the Research Department, group for macroeconomics. Fagereng holds a doctorate degree in economics from the European University Institute from 2012, and has previously lead research projects funded by The Research Council of Norway.
“Andreas Fagereng is an outstanding researcher, and his research experience within macroeconomic and finance has already had a significant contribution to the academic field. Fagereng will be an important asset in further developing BI’s position as one of the top finance research departments in Europe. There is great prestige associated with this grant and I look forward to follow Fagereng’s research in the coming years,” says Hilde C. Bjørnland, Provost for research and academic resources and professor of economics at BI.
- The ERC is a flagship component of Horizon 2020, the European Union’s Research Framework Programme for 2014 to 2020.
- ERC support the best of the best in Europe across all fields of science, scholarship and engineering and promote wholly investigator-driven, or «bottom-up&apos» frontier research.
- ERC encourage the work of the established and next generation of independent top research leaders in Europe and reward innovative proposals by placing emphasis on the quality of the idea rather than the research areas.
13 August 2020
Finansmarkedsfondet has approved funding of 0.9 million NOK over the period 2020-23 for the research project “Individual Investors and Asset Prices”, led by Samuli Knüpfer, NFI Professor of Finance at BI Norwegian Business School.
The project will empirically analyze the interplay between individual investor behavior and asset prices. The primary objective is to gain a deeper understanding of how individual investors influence asset prices. The project also investigates how individual investors contribute and react to asset price fluctuations and how differences in individual investor behavior affect wealth inequality.
“The project will be using a unique Norwegian dataset that covers the sale and purchase decisions made by investors in Norwegian stocks and mutual funds. By combining our dataset with new statistical techniques we are able to provide new insights on questions at the core of financial economics. The project involves a number of academics from leading research institutions”, says Samuli Knüpfer.
13 August 2020
Finansmarkedsfondet has approved funding of one million NOK over the period 2019-23 for the research project “Money Markets after the Global Financial Crisis”, lead by Dagfinn Rime and Sven Klingler.
Money markets ensure the smooth allocation of capital and a well-functioning financial system. Specifically, the Global Financial Crisis (GFC) and the default of Lehman Brothers highlight the impact of dysfunctional money markets on the economy. In the post-GCF regime, two new factors impact money markets: changes in bank regulation and unconventional monetary policy (Quantitative Easing). The aim of this project is to gain a deeper understanding of money markets in the post-GCF environment.
“This research grant enables us to assemble a unique high-frequency database on several types of interest rates, partly made available by Norges Bank and the Bank for International Settlements (BIS), and partly bought by BI Norwegian Business School. We aim to build a research environment in Norway that covers money markets and draws on collaborations with key academics from other leading financial institutions,” says Dagfinn Rime. Currently, we are working together with Kjell Nyborg (University of Zurich), Andreas Schrimpf (BIS), Suresh Sundaresan (Columbia University), Olav Syrstad (Norges Bank) and PhD-students from BI.