Centre for Asset Pricing Research (CAPR)

16 June 2023

Professor of Finance Paul Ehling receives funding from the Centre for Advanced Study (CAS) to study the behaviour of different types of investors and how it affects wealth distribution.

“Grants like these are proof that BI continues to push the research front in some of the most important and relevant areas of study. We have one of the best finance departments in Europe with truly impactful and excellent research. I look forward to seeing the outcomes of this project and to continue building a world-class academic community,” says Provost for Research Ingunn Myrtveit.

Professor of Finance Paul Ehling.

CAS funding is special because it gives researchers the freedom to focus entirely on a single research project for a full year, uninterrupted by teaching and administrative tasks. Ehling receives financing for the project ‘Asset Pricing with Heterogeneous Investors in Overlapping Generations’.

“We think that the research program will provide valuable insights for households, investors and firms and can guide policy makers in terms of regulation and policy tools to improve welfare. Our motivation is based on the difficulty to realistically model the large amount of speculative trade and disagreement among market participants about the future states of the economy as evidenced by surveys,” says Ehling.

As part of the grant, he will invite a group of leading finance academics to work with him in Norway. Including Professor Lars Lochstoer from UCLA, Philipp Illeditsch from Texas A&M, Jens Kværner from Tilburg University, and Christian Heyerdahl-Larsen from BI Norwegian Business School.

“This is a very prestigious grant. Alongside the research, I plan to use this period to apply for large scale grants from the Research Council of Norway (RCN), and the European Research Council (ERC). The Finance Department at BI already has two ERC projects, and we hope to have the critical mass to apply to be recognized as a Centre of Excellence by the RCN, continues Ehling.

Facts

• The Centre for Advanced Study (CAS) at The Norwegian Academy of Science and Letters is an independent foundation that furthers excellent, fundamental, curiosity-driven research.
• CAS' primary objective is to further excellent research by providing its fellows with uninterrupted time for research. Since its opening in 1992, the Centre has hosted more than a thousand researchers.
• Each year, CAS hosts three research groups working on projects within and across the fields of the humanities, social sciences, and natural sciences.

10 january 2022

Associate Professor Sven Klingler receives a € 1,5 million ERC Starting Grant for his research project on frictions between lenders and borrowers in financial markets.

Associate Professor Sven Klingler.

 

Countries, banks, and other institutions need to borrow money to function. Losing access to external funding can cause the collapse of otherwise healthy institutions and, in the most extreme cases, destabilize the entire financial system. Such funding issues were a key part of the financial crisis in 2008 and at the beginning of the COVID-19 crisis in 2020.

“My goal in the research project FuFri (Funding Frictions after the Global Financial Crisis) is to better understand the risk of losing access to external financing. I will examine signs of tension in the financial system and how institutions respond to them,” says Sven Klingler, Associate Professor at BI Norwegian Business School.

The project starts in 2022 and will continue until 2027. Klingler heads the project, and will collaborate with researchers from Norges Bank, Columbia University, York University, University of Amsterdam and Darden School of Business.

The European Research Council (ERC) has awarded him a so-called Starting Grant. ERC funding is the most prestigious research funding in Europe, and only about 10 percent of the submitted applications in this round succeeded. Only eight other Norwegian applications received funding.

“ERC Starting Grants are aimed at excellent young researchers with 2-7 years of experience since completing their PhD. Winning one is an outstanding achievement and an important step in a very promising research career. This success also clearly demonstrates the impact of our continued efforts to support cutting edge research at BI," says Hilde C. Bjørnland, Provost of Research and Academic Resources.

A rare opportunity

“I am excited that the EU has decided to support my research. This gives me a unique opportunity to study questions that I would not have been able to address otherwise and make a meaningful contribution,” Klingler says.

Asked about the risk for a future financial crisis, he prefers to focus on the present situation and what we can do now.

“I would expect another financial crisis to occur eventually but I do not want to speculate on which form the next crisis will take.  Instead, I want to study the tensions that are visible already now and help policy makers respond to future challenges in the best possible way,” he says.

In a press release, the European Research Council notes the importance of supporting young researchers.

“Letting young talent thrive in Europe and go after their most innovative ideas - this is the best investment in our future, not least with the ever-growing competition globally. We must trust the young and their insights into what areas will be important tomorrow,” says Maria Leptin, President of the European Research Council.

24 June 2021

The Research Council of Norway (RCN) awards Assistant Professor Sven Klingler NOK 8 million.

“Congratulations to Sven! This grant shows that BI’s academic community in finance is among the best in Norway. I look forward to seeing the results from this important research,” says President of BI Inge Jan Henjesand.

Klingler is awarded funding from the Young Talents programme at the RCN, directed at researchers under 40 who have demonstrated their potential to carry out high quality research.

“This is money that benefits all of society. The development of vaccines against the coronavirus has shown us how important it is to prioritize good research. Knowledge and research is crucial to solving big societal challenges,” says Minister of Research and Higher Education Henrik Asheim.

Klingler is very happy to receive the money.

“I feel honored about the trust the RCN places in my research agenda and see this grant as a huge opportunity to make a meaningful contribution,” he says.

Funding frictions

The title of Klingler’s project is ‘Funding frictions after the global financial crisis’.

“Funding frictions are tensions in financial markets that can preclude institutions from borrowing money or rolling over debt. In this project, I will investigate how funding frictions affect financing conditions for countries, banks, pension plans, and life insurance companies,” he says.

BI’s Department of Finance is internationally recognized and ranks among the best in Europe.

“This is great news. Funding from the RCN clearly shows the quality of BI’s research and contributes to strengthening our academic communities,” says Provost for Research and Academic Resources Hilde C. Bjørnland.

Highly competitive

Klingler is among 260 researchers who received funding from the RCN this week. Competition is tough, and there were more than 2000 applicants.

“Competition for research funding enables us to invest in the best research and researchers in all career stages. Almost a thousand experts have been involved in evaluating the applications. The competition is stiff and regrettably there are many good applications that do not receive funding. The quality of the research has been the decisive factor for success,” says Chief Executive of the RCN Mari Sundli Tveit.

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.

Facts:

• 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.