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Publications

• Liu, Zack & Winegar, Adam Walter (2025)
  Economic magnitudes within reason
  Journal of Corporate Finance, 91. Doi:
• Bertsch, Christoph; Hull, Isaiah, Lumsdaine, Robin L. & Zhang, Xin (2025)
  Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches
  Journal of Econometrics. Doi:
• Fagereng, Andreas; Gomez, Matthieu, Gouin-Bonenfant, Emilien, Holm, Martin Blomhoff, Moll, Benjamin & Natvik, Gisle James (2025)
  Asset-Price Redistribution
  Journal of Political Economy, 6(133), p. 1-47. Doi:
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  Asset valuations across many asset classes have increased substantially over the last several decades. While these rising valuations had important effects on the distribution of wealth, little is known regarding their redistributive effects in terms of welfare. To make progress on this question, we develop a sufficient statistic for the money-metric welfare gain of deviations in asset valuations. This welfare gain depends on the present value of an individual’s net asset sales rather than asset holdings: higher asset valuations benefit prospective sellers and harm prospective buyers. We estimate this quantity using panel microdata covering the universe of financial transactions in Norway from 1994 to 2019. We further demonstrate how to adapt our baseline statistic to account for important considerations, such as incomplete markets and collateral constraints. We find that the rise in asset valuations had large redistributive effects: it redistributed from the young to the old and from the poor to the wealthy.

• Liu, Zack & Winegar, Adam Walter (2025)
  Economic Magnitudes within Reason
  Journal of Corporate Finance, 91. Doi:
• Betermier, Sebastien; Calvet, Laurent, Knüpfer, Samuli & Kværner, Jens Sørlie (2025)
  Investor factors
  Journal of Finance. Doi:
• Nyborg, Kjell Gustav & Woschitz, Jiri (2025)
  Robust difference-in-differences analysis when there is a term structure
  Journal of Financial Economics, 170. Doi:
• Longarela, Inaki Rodriguez & Bjønnes, Geir Høidal (2024)
  Price Discovery for Competing Currency Numeraires
  Multinational Finance Journal, 28(3-4), p. 3-39. Doi:
• Geelen, Thomas; Hajda, Jakub, Morellec, Erwan & Winegar, Adam Walter (2024)
  Asset life, leverage, and debt maturity matching
  Journal of Financial Economics, 154. Doi:
• Keloharju, Matti; Knüpfer, Samuli, Müller, Dagmar & Tåg, Joacim (2024)
  PhD studies hurt mental health, but less than previously feared
  Research Policy, 53(8). Doi:
• Andrews, Spencer; Colacito, Riccardo, Croce, Mariano M. & Gavazzoni, Federico (2024)
  Concealed carry
  Journal of Financial Economics, 159. Doi:
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  The slope carry takes a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry takes a long (short) position in countries with high (low) short-term rates. We document that: (i) the slope carry return is slightly negative (strongly positive) in the pre (post) 2008 period, whereas it is concealed over longer samples; (ii) the traditional carry return is lower post-2008; and (iii) expected global growth and inflation declined post-2008. We connect these findings through an equilibrium model in which countries feature heterogeneous exposure to news shocks about global output and global inflation.

• Fagereng, Andreas; Onshuus, Helene & Torstensen, Kjersti Næss (2024)
  The consumption expenditure response to unemployment: Evidence from ºÚÁÏרÇø households
  Journal of Monetary Economics, 146(103578), p. 1-20. Doi:
• Berzins, Janis & Pajuste, Anete (2024)
  Family firm successions: First-generation transitions in Latvia
  Finance Research Letters, 64. Doi:
• Davydiuk, Tetiana; Marchuk, Tatyana & Rosen, Samuel (2024)
  Direct lenders in the U.S. middle market
  Journal of Financial Economics, 162. Doi:
• Lotfi, Somayyeh; Pagliardi, Giovanni, Paparoditis, Efstathios & Zenios, Stavros A. (2024)
  Hedging political risk in international portfolios
  European Journal of Operational Research, 322|(2), p. 629-646. Doi:
• Jansen, Mark & Winegar, Adam Walter (2024)
  Nonpecuniary Benefits: Evidence from the Location of Private Company Sales
  The Review of Corporate Finance Studies. Doi:
• Brogaard, Jonathan; Gerasimova, Nataliya & Rohrer, Maximilian (2024)
  The effect of female leadership on contracting from Capitol Hill to Main Street
  Journal of Financial Economics, 155, p. 1-26. Doi:
• Menkveld, Albert; Abad-Diaz, David, Abudy, Menachem, Adrian, Tobias, Ait-Sahalia, Yacine, Akmansoy, Olivier, Alcock, Jamie T., Alexeev, Vitali, Aloosh, Arash, Amato, Livia, Amaya, Diego, Dreber, Anna, Angel, James J., Avetikian, Alejandro T., Bach, Amadeus, Baidoo, Edwin, Bakalli, Gaetan, Bao, Li, Bardon, Andrea, Bashchenko, Oksana, Bindra, Parampreet C., Bjønnes, Geir Høidal, Holzmeister, Felix, Black, Jeffrey R., Black, Bernard S., Bogoev, Dimitar, Correa, Santiago Bohorquez, Bondarenko, Oleg, Bos, Charles S., Bosch-Rosa, Ciril, Bouri, Elie, Brownlees, Christian, Calamia, Anna, Huber, Juergen, Cao, Viet Nga, Capelle-Blancard, Gunther, Romero, Laura M. Capera, Caporin, Massimiliano, Carrion, Allen, Caskurlu, Tolga, Chakrabarty, Bidisha, Chen, Jian, Chernov, Mikhail, Cheung, William, Johannesson, Magnus, ter Ellen, Saskia, Ødegaard, Bernt Arne, Longarela, Inaki Rodriguez, Wika, Hans C., Yuferova, Darya, Kirchler, Michael, Neusus, Sebastian, Razen, Michael & Weitzel, Utz (2024)
  Non-Standard Errors
  Journal of Finance, 79(3). Doi:
• Xiouros, Costas & Zapatero, Fernando (2024)
  Disagreement, information quality and asset prices
  Journal of Financial Economics, 153. Doi:
• Giordani, Paolo (2024)
  SMARTboost Learning for Tabular Data
  Journal of Financial Econometrics, 23(3), p. 1-29. Doi:
• Fjære-Lindkjenn, Jeanette; Aastveit, Knut Are, Karlman, Markus Johan, Kinnerud, Karin, Juelsrud, Ragnar Enger & Wold, Ella Getz (2024)
  Hvordan virker utlånsforskriften? En oppsummering av forskningslitteraturen
  Samfunnsøkonomen.
  Show summary

  I denne artikkelen forsøker vi å svare på om utlånsforskriften har virket etter hensikten og hvilke kostnader den påfører husholdningene. Forskningslitteraturen indikerer at boliglånsregulering bidrar til noe lavere gjelds- og boligprisvekst, men at det er mer usikkert om den reduserer husholdningenes sårbarhet for uforutsette hendelser som renteøkninger og arbeidsledighet. Utlånsforskriften påfører samtidig mange husholdninger kostnader ved at den begrenser muligheten for konsumglatting og kan gjøre det vanskeligere for unge å kjøpe sin første bolig. Reguleringen kan også forsterke viktigheten av formuende foreldre for muligheten til boligkjøp. Høy inflasjon og rente kan redusere behovet for forskriften og øke kostnadene.

• Cooley, Thomas F.; Henriksen, Espen & Nusbaum, Charlie (2024)
  Demographic obstacles to European growth
  European Economic Review, 169, p. 1-29. Doi:
• Di Maggio, Marco; Franzoni, Francesco, Massa, Massimo & Roberto, Tubaldi (2024)
  Strategic trading as a response to short sellers
  Journal of financial markets, 69. Doi:
• Klingler, Sven & Syrstad, Olav (2024)
  The SOFR discount
  Journal of Financial Economics, 164. Doi:
• Juelsrud, Ragnar Enger & Wold, Ella Getz (2024)
  The Importance of Unemployment Risk for Individual Savings
  Management science, p. 1-24. Doi:
• Holm, Martin B.; Juelsrud, Ragnar Enger, Riiser, Mikkel Irving Fiksdal, König, Tobias, Hegna, Torje Meyer & Cao, Jin (2023)
  The Investment Channel of Monetary Policy: Evidence from Norway
  Working Paper, Norges Bank.
• Alfaro, Iván; Bloom, Nicholas & Lin, Xiaoji (2023)
  The Finance Uncertainty Multiplier
  Journal of Political Economy, 132(2), p. 577-615. Doi:
• Xiouros, Costas & Zapatero, Fernando (2023)
  Disagreement, information quality and asset prices
  Social Science Research Network (SSRN). Doi:
• Ehling, Paul & Xiouros, Costas (2023)
  Cyclical β
  Social Science Research Network (SSRN). Doi:
• Burkart, Mike; Miglietta, Salvatore & Ostergaard, Charlotte (2023)
  Why Do Boards Exist? Governance Design in the Absence of Corporate Law
  The Review of financial studies, 36(5), p. 1788-1836. Doi:
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  We study under which circumstances firms choose to install boards and their roles in a historical setting in which neither boards nor their duties are mandated by law. Boards arise in firms with large, heterogeneous shareholder bases. We propose that an important role of boards is to mediate between heterogeneous shareholders with divergent interests. Voting restrictions are common and ensure that boards are representative and not captured by large blockholders. Boards are given significant powers to both mediate and monitor management, and these roles are intrinsically linked.

• Davydiuk, Tetiana; Marchuk, Tatyana & Rosen, Samuel (2023)
  Market Discipline in the Direct Lending Space
  The Review of financial studies. Doi:
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  Using the exclusion of business development companies (BDCs) from stock indexes, this paper studies the effectiveness of market discipline in the direct lending space. Amid share sell-offs by institutional investors, a drop in BDCs’ valuations limits their ability to raise new equity capital. Following this funding shock, BDCs do not adjust their capital structure while reducing the risk exposure of their portfolios. We document a greater reduction in risk for BDCs subject to stronger market discipline from their debtholders. BDCs pass through the capital shock to their portfolio firms by reducing their investment intensity.

• Zhang, Tong (2023)
  The illusion of meritocracy
  Social Science Information, 63(1), p. 114-128. Doi:
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  Meritocracy claims to reward the meritorious with more resources, thereby achieving social efficiency and justice in a level playground. This article argues that the rise of meritocracy in a society is the institutional consequence of adopting progressive humanism, an ideal-type worldview that advocates the harmonious co-realization of individual achievement and social contribution. However, meritocracy is a self-defeating illusion because, even in a level playground, it only rewards conspicuous and wasteful display of ‘merit’ rather than genuine contributions to society. Similar to the promise of an afterlife to Catholicism, the illusion of meritocracy constitutes an indispensable theodicy to progressive humanism. For societies holding such worldviews, meritocracy is a necessary illusion that cannot be dispelled by institutional reforms or political movements.

• Chaboud, Alain; Rime, Dagfinn & Sushko, Vladyslav (2023)
  The foreign exchange market
  Doi:
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  This chapter discusses the structure and functioning of the spot foreign exchange (FX) market. The market structure, which has become far more complex over the past three decades, has mostly evolved endogenously as the global FX market is subject to notably less regulatory oversight than equity and bond markets in most countries. Major banks used to dominate liquidity provision, but they have found their role challenged by High Frequency Trading firms in an increasingly fragmented electronic market. The information structure of the market has also changed. As such, high-frequency cross-asset correlations, especially with the futures market, have become more important. The chapter also discusses the important role of the official sector in the FX market, and it highlights a few special topics such as flash events and the FX fixing scandal. We conclude with some suggestions for future research.

• Gala, Vito D.; Pagliardi, Giovanni & Zenios, Stavros A. (2023)
  Global political risk and international stock returns
  Journal of Empirical Finance, 72, p. 78-102. Doi:
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  Using novel measures of politics-policy uncertainty we document predictable variation in stock market returns across countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to large abnormal returns up to 15% per annum. We identify a global political risk factor (P-factor) commanding a risk premium of 11% per annum. High political uncertainty countries covary positively with the P-factor, earning higher average returns. Augmenting the global market portfolio with the P-factor significantly reduces pricing errors and improves cross-sectional fit. Politics-policy uncertainty affects returns through both cash-flow and discount rate channels.

• Klingler, Sven & Sundaresan, Suresh M. (2023)
  Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand In Auctions
  Journal of Monetary Economics. Doi:
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  After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers' balance sheet constraints for providing intermediation in U.S. Treasury markets, we trace these diminishing convenience premiums to primary dealers' ability to act as intermediaries. Even after accounting for Treasury supply, levels of interest rates, and other controls, falling excess demand of primary dealers in Treasury auctions, their increased Treasury holdings, and balance sheet constraints post-2015, remain key variables in explaining the diminishing convenience premiums.

• Møller, Stig & Priestley, Richard (2023)
  The Role of the Discount Rate in Investment and Employment Decisions
  Journal of Financial and Quantitative Analysis, 58(2), p. 914-938. Doi:
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  Time variation in the discount rate affects investment and employment decisions in a manner consistent with Q-theory predictions. This evidence is uncovered when using cyclical consumption as a proxy for the discount rate. The results, which are consistent across both U.S. and international data, suggest that firms respond rationally to variations in the cost of capital and that the discount rate has a substantial impact on macroeconomic dynamics and hence business cycle fluctuations.

• Eggertsson, Gauti; Juelsrud, Ragnar Enger, Summers, Lawrence H. & Wold, Ella Getz (2023)
  Negative Nominal Interest Rates and the Bank Lending Channel
  Review of Economic Studies, 91(4), p. 2201-2275. Doi:
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  We investigate the bank lending channel of negative nominal policy rates from an empirical and theoretical perspective. For the empirical results we rely on Swedish data, including daily banklevel lending rates. We find that retail household deposit rates are subject to a lower bound (DLB). Empirically, once the DLB is met, the pass-through to mortgage lending rates and credit volumes is substantially lower and bank equity values decline in response to further policy rate cuts. We construct a banking sector model and use our estimate of the pass-through of negative policy rates to lending rates as an identified moment to parameterize the model and assess the impact of negative policy rates in general equilibrium. Using the theoretical framework, we derive a sufficient statistic for when negative policy rates are expansionary and when they are not.

• Heyerdahl-Larsen, Christian & Walden, Johan (2023)
  On efficiency in disagreement economies
  Social Choice and Welfare, 61. Doi:
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  We analyze multiple-beliefs based efficiency measures in economies with risk and disagreement, including belief neutral efficiency and inefficiency, incomplete knowledge efficiency, efficiency based on unanimity, and utility aggregators that minimize Bergson welfare functions over multiple beliefs. We provide equivalence results under technical conditions that are satisfied in several work-horse economies, including the exchange economy and a standard economy with a linear production technology. We also provide several examples for which these measures differ. Our results show that the further away one gets from the standard exchange economy, the more the different multiple-beliefs based measures differ in the allocations they identify as efficient, in general. Consequently, the more important the choice of efficiency measures becomes.

• Hull, Isaiah & Sattath, Or (2023)
  The properties of contemporary money
  Journal of economic surveys. Doi:
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  The properties of money commonly referenced in the economics literature were originally identified by Jevons and Menger in the late 1800s and were intended to describe physical currencies, such as commodity money, metallic coins, and paper bills. In the digital era, many non-physical currencies have either entered circulation or are under development, including demand deposits, cryptocurrencies, stablecoins, central bank digital currencies, in-game currencies, and quantum money. These forms of money have novel properties that have not been studied extensively within the economics literature, but may ultimately determine which currencies prevail in the forthcoming era of currency competition. This review makes the first exhaustive attempt to identify and organize all properties of physical and digital forms of money. It examines both the economics and computer science literatures and categorizes properties within an expanded version of the canonical Jevons–Menger framework.

• Keloharju, Matti; Knüpfer, Samuli & Tåg, Joacim (2023)
  CEO health
  Leadership Quarterly, 34(3). Doi:
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  Using comprehensive data on 28 cohorts in Sweden, we analyze CEO health and its determinants and outcomes. We find CEOs are in much better health than the population and on par with other high-skill professionals. These results apply in particular to mental health and to CEOs of larger companies. We explore three mechanisms that can account for CEOs’ robust health. First, we find health predicts appointment to a CEO position. Second, the CEO position has no discernible impact on the health of its holder. Third, poor health is associated with greater CEO turnover. Here, both contemporaneous health and health at the time of appointment matter. Poor CEO health also predicts poor firm outcomes. We find a statistically significant association between mental health and corporate performance for smaller-firm CEOs, for whom a one standard deviation deterioration in mental health translates into a performance reduction of 6% relative to the mean.

• Zhang, Tong (2023)
  Critical Realism: A Critical Evaluation
  Social Epistemology, 37(1), p. 15-29. Doi:
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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.

• Henriksen, Espen & Tretvoll, Håkon (2023)
  Evaluering av strategiske allokeringsbeslutninger: Regionfordelingen i SPU
  Samfunnsøkonomen, 137(1), p. 39-60.
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  Mange investorer velger å delegere forvaltningen av formuen sin til en forvaltningsbedrift. For eksempel har Finansdepartementet delegert gjennomføringen av forvaltningen av SPU («Oljefondet») til Norges Bank. Avkastning og risiko bestemmes da dels av de langsiktige strategiske valgene som oppdragsgiver har tatt og dels av de taktiske avvikene som forvalteren velger å ta. I denne artikkelen presenterer vi et strukturelt rammeverk for å evaluere strategiske valg og gi estimater på verdiskapingen ved disse valgene. Vi anvender dette på en beslutning i 2012 om hvordan aksjeporteføljen til SPU skulle fordeles på tvers av fire globale regioner.

• Ehling, Paul; Lundeby, Stig Roar Haukø & Sørensen, Lars Qvigstad (2023)
  Portfolio Choice with ESG Disagreement: Customizing Sustainability through Direct Indexing
  The journal of beta investment strategies, 14(3), p. 132-149. Doi:
• Croce, Mariano Massimiliano; Marchuk, Tatyana & Schlag, Christian (2023)
  The Leading Premium
  The Review of financial studies, 36(8), p. 2997-3033. Doi:
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  In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual pure timing premium ranging from 1.2% to 1.7%. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries.

• Priestley, Richard; Cooper, Ilan & Mitrache, Andreea (2022)
  A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
  Journal of Financial and Quantitative Analysis. Doi:
• Zhang, Tong (2022)
  The Logic of Wasteful Production
  Journal of Economics, Theology and Religion (JETR), 2(2), p. 51-66.
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  Economic neoliberalism promises social efficiency with self-interested participants and free competition. This doctrine is challenged by the extensive production of wasteful goods and services in the contemporary West. By studying three types of wasteful production—conspicuous goods, conspicuous profession, and information overproduction— this article argues that the cause of wasteful production is nothing but the producers’ profit motive. The discussion of wasteful production provides a first attempt to extend Max Weber’s interpretivist sociology to the study of Nietzscheism, an ideal-type worldview preaching self-realization and power struggle. It adds novel empirical and theoretical support to the Weber thesis by showing that ascetic Protestantism facilitates productive efficiency by reducing not only hedonistic idleness and laziness, but also egoistic power-seeking and the induced wasteful production.

• Zhang, Tong (2022)
  Reinterpreting Science as a Vocation
  Max Weber Studies, 22(1), p. 55-73. Doi:
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  Weber’s “science as a vocation” has often been viewed as a therapeutic concept with no functional significance in the fully bureaucratized and professionalized modern science. However, development in the philosophy of science in the last century, especially the Kuhnian thesis of the discontinuity of scientific progress and the Duhem-Quine thesis of underdetermination, shows that Weber’s distinction between science as a vocation and science as a profession (career) can potentially answer one of the oldest questions in science studies: What makes scientific breakthroughs possible?

• Zhang, Tong (2022)
  Ethics and Society: A Theory of Comparative Worldviews
  Journal of Sociology and Christianity (JSC), 12(2), p. 7-28.
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  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 (2022)
  Social Interaction in the Family: Evidence from Investors’ Security Holdings
  Review of Finance, 27(4), p. 1297-1327. Doi:
• Keloharju, Matti; Knüpfer, Samuli & Tåg, Joacim (2022)
  What prevents women from reaching the top?
  Financial Management. Doi:
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  We use rich data on all business, economics, and engineering graduates in Sweden to study the lack of women among chief executive officers (CEOs). A comprehensive battery of graduates’ characteristics explains 40% of the gender gaps in CEO appointments and 60% among graduates with children. The explanatory power mostly comes from absences and unemployment, which are about twice as likely for women as men. These gender differences increase following childbirth, and they persist in the long run. We present and discuss potential explanations to the explained and remaining gaps. Although the large unexplained share makes it hard to pinpoint the exact reason for the gender gap in CEO appointments, the large contribution of labor market attachment to the explained share suggests work–family trade-offs are an important part of the story.

• Rime, Dagfinn; Schrimpf, Andreas & Syrstad, Olav (2022)
  Covered Interest Parity Arbitrage
  The Review of financial studies. Doi:
• Syrstad, Olav & Viswanath-Natraj, Ganesh (2022)
  Price-setting in the foreign exchange swap market: Evidence from order flow
  Journal of Financial Economics, 146(1), p. 119-142. Doi:
• Rime, Dagfinn; Schrimpf, Andreas & Syrstad, Olav (2022)
  Covered Interest Parity Arbitrage
  The Review of financial studies, 35(11), p. 5185-5227. Doi:
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  To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks' usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.

• Klingler, Sven (2022)
  High Funding Risk and Low Hedge Fund Returns
  Critical Finance Review, 11(3-4), p. 505-539. Doi:
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  I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a risk-adjusted basis (t = 4.04). To explain this puzzling result, I hypothesize that this type of funding risk exposure is connected to hedge funds’ liabilities with limited upside in normal times and severe downside risk during funding crises. Supporting this hypothesis, the performance difference between low-funding-risk and high-funding-risk funds is largest when funding constraints are most binding and for funds with more fragile liabilities.

• Elkahmi, Redouane; Kim, Daniel, Jo, Chanik & Salerno, Marco (2022)
  Agency Conflicts and Investment: Evidence from a Structural Estimation
  The Review of Corporate Finance Studies, 13(2), p. 539-582. Doi:
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  We develop a dynamic capital structure model to study how agency conflicts between managers and shareholders affect the joint determination of financing and investment decisions. We show that there are two agency conflicts with opposing effects on a manager’s choice of investment: first, the consumption of private benefits channel leads managers not only to choose a lower optimal leverage, but also to underinvest, and second, compensation linked to firm size may lead managers to overinvest. We fit the model to the data and show that the average firm slightly overinvests, younger CEOs invest more than older ones, while CEOs with longer tenure overinvest more than CEOs with shorter tenure

• Kisser, Michael & Rapushi, Loreta (2022)
  Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations
  Journal of Empirical Finance, 67, p. 196-216. Doi:
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  We contribute to the literature on “market timing” by exploring periods of simultaneous equity issues and debt retirements (a leverage decreasing recapitalization, LDR). Contrary to traditional equity issues, LDRs are predicted by measures of creditor control whereas capital investment has no such predictive power. Nevertheless, LDRs occur after stock price run- ups and in periods of high valuation which subsequently decrease. The valuation dynamics are robust and also obtain for subsamples of LDR firms violating financial covenants. A comparison to debt retirements financed by illiquid asset sales and an analysis of discretionary cost items further corroborates the interpretation that LDR firms successfully “time the market” to finance the debt retirement.

• Chalak, Karim; Kim, Daniel, Miller, Megan & Pepper, John (2022)
  Reexamining the evidence on gun ownership and homicide using proxy measures of ownership
  Journal of Public Economics, 208. Doi:
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  Limited by the lack of data on gun ownership in the United States, ecological research linking firearms ownership rates to homicide often relies on proxy measures of ownership. Although the variable of interest is the gun ownership rate, not the proxy, the existing research does not formally account for the fact that the proxy is an error-ridden measure of the ownership rate. In this paper, we reexamine the ecological association between state-level gun ownership rates and homicide explicitly accounting for the measurement error in the proxy measure of ownership. To do this, we apply the results in Chalak and Kim (2020) to provide informative bounds on the mean association between rates of homicide and firearms ownership. In this setting, the estimated lower bound on the magnitude of the association corresponds to the conventional linear regression model estimate whereas the upper bound depends on prior information about the measurement error process. Our preferred model yields an upper bound on the gun homicide elasticity that is nearly three times larger than the fixed effects regression estimates that do not account for measurement error. Moreover, we consider three point-identified models that rely on earlier validation studies and on instrumental variables respectively, and find that the gun homicide elasticity nearly equals this upper bound. Thus, our results suggest that the association between gun homicide and ownership rates is substantially larger than found in the earlier literature.

• Hull, Isaiah; Apel, Mikael & Blix Grimaldi, Marianna (2021)
  How Much Information Do Monetary Policy Committees Disclose? Evidence from the FOMC's Minutes and Transcripts
  Journal of Money, Credit and Banking. Doi:
• Hull, Isaiah; Olovsson, Conny, Walentin, Karl & Westermark, Andreas (2021)
  Manufacturing decline and house price volatility
  Review of economic dynamics. Doi:
• Hull, Isaiah & Sattath, Or (2021)
  Revisiting the Properties of Money
  arXiv.org. Doi:
• Hull, Isaiah; Bertsch, Christoph & Zhang, Xin (2021)
  Narrative fragmentation and the business cycle
  Economics Letters. Doi:
• Hull, Isaiah; Bertsch, Christoph & Zhang, Xin (2021)
  Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending
  The International Journal of Central Banking.
• Klingler, Sven & Syrstad, Olav (2021)
  Life After Libor
  Journal of Financial Economics, 141(2), p. 783-801. Doi:
• Lopez Lira Y Ramirez, Jose Alejandro (2021)
  Why do managers disclose risks accurately? Textual analysis, disclosures, and risk exposures
  Economics Letters, 204. Doi:
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  I provide an economic model that justifies using bag-of-words, topic modeling, and machine learning techniques to measure firms’ risk exposures using the percentage they allocate to each risk in their financial statements. The model provides a theoretical set of sufficient conditions under minimal assumptions that make managers optimally disclose risk accurately and give more space to the most critical risks. I document that the SEC Regulation satisfies this set of sufficient theoretical conditions and induces rational managers to disclose risks truthfully.

• Bøhren, Øyvind; Gjærum, Per Ivar & Hasle, Torkel (2021)
  Solstrøm fra boligtak er ofte godt for både klima og økonomi, men ikke i dagens Norge
  Samfunnsøkonomen, 135(5), p. 33-51.
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  Vi bruker kvantitativ livsløpsanalyse (vugge-til-grav) og finner at solceller på private boligtak har stor, positiv effekt på klima og økonomi når de lages med ren, billig strøm og erstatter skitten, dyr strøm. Beliggenhet er derfor den grunnleggende forklaringen på solcellers verdiskaping. Selv om et solcelleanlegg på 60 m2 av et norsk boligtak produserer mye strøm, reduserer det likevel ikke klimautslippet med mer enn utslippet i Kina øker når anlegget lages. Derfor skapes det ingen global klimagevinst under våre forutsetninger. Brukes derimot anlegget i land der alternativ strøm er skitten, reduseres årlig CO2-utslipp med mer enn EUs samlede årsutslipp pr. innbygger. I Norge, hvor alternativ strøm både er ren og forholdsvis billig, finner vi at solstrøm er ulønnsomt samfunnsøkonomisk og ofte også privatøkonomisk. Norge er trolig blant de få land der både klimaeffekten og økonomieffekten av solceller på boligtak er negativ. Bedre solcelleteknologi, mer elektrifisering, høyere strømpris og mer strømeksport kan lett forbedre denne situasjonen.

• Eggertsson, Gauti; Robbins, Jacob & Wold, Ella Getz (2021)
  Kaldor and Piketty's facts: The rise of monopoly power in the United States
  Journal of Monetary Economics, 124, p. 519-538. Doi:
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  The macroeconomic data of the last fifty years have overturned at least two of Kaldor’s famous stylized growth facts: constant interest rates, and a constant labor share. At the same time, the research of Piketty and others has introduced several new and surprising facts: an increase in the financial wealth-to-output ratio in the US, an increase in measured Tobin’s Q, and a divergence between the marginal and average returns on capital. In this paper, we argue that these trends can be explained by an increase in market power and pure profits in the US economy—that is, the emergence of a non-zero-rent economy—along with forces that have led to a persistent long-term decline in real interest rates. We make three parsimonious modifications to the standard neoclassical model to explain these trends. Using recent estimates of the increase in markups and the decrease in real interest rates, we show that our model can quantitatively match these new stylized macroeconomic facts.

• Fagereng, Andreas; Mogstad, Magne & Rønning, Marte (2021)
  Why Do Wealthy Parents Have Wealthy Children?
  Journal of Political Economy, 129(3), p. 703-756. Doi:
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  We show that family background matters significantly for children’s accumulation of wealth and investor behavior as adults, even when removing the genetic connection between children and the parents raising them. The analysis is made possible by linking Korean-born children who were adopted at infancy by ºÚÁÏרÇø parents to a population panel data set with detailed information on wealth and socio-economic characteristics. The mechanism by which these Korean- ºÚÁÏרÇø adoptees were assigned to adoptive families is known and effectively random. This mechanism allows us to estimate the causal effects from an adoptee being raised in one type of family versus another.

• Fagereng, Andreas; Holm, Martin Blomhoff & Torstensen, Kjersti Næss (2021)
  Housing wealth in Norway, 1993–2015
  Journal of Economic and Social Measurement, 45(1), p. 65-81. Doi:
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  We provide a new estimate of household-level housing wealth in Norway between 1993 and 2015 using an ensemble machine learning method on housing transaction data. The new housing wealth measure is an improvement over existing data sources for two reasons. First, the model outperforms previously applied regression models in out-of-sample prediction precision. Second, we extend the sample of estimated housing wealth by including cooperative units, non-id apartments, and cabins.

• Fagereng, Andreas; Holm, Martin Blomhoff & Natvik, Gisle James (2021)
  MPC Heterogeneity and Household Balance Sheets
  American Economic Journal: Macroeconomics, 13(4), p. 1-54. Doi:
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  We use sizable lottery prizes in ºÚÁÏרÇø administrative panel data to explore how transitory income shocks are spent and saved over time, and how households’ marginal propensities to consume (MPCs) vary with household characteristics and shock size. We find that spending peaks in the year of winning and gradually reverts to normal within five years. Controlling for all items on households’ balance sheets and characteristics such as education and income, it is the amount won, age, and liquid assets that vary systematically with MPCs. Low-liquidity winners of the smallest prizes (around USD 1,500) are estimated to spend all within the year of winning. The corresponding estimate for high-liquidity winners of large prizes (USD 8,300-150,000) is slightly below one half. While conventional models will struggle to account for such high MPC levels, we show that a two-asset life-cycle model with a realistic earnings profile and a luxury bequest motive can account for both the time profile of consumption responses and their systematic co-variation with observables.

• Hull, Isaiah; Sattath, Or, Diamanti, Eleni & Wendin, Göran (2020)
  Quantum technology for economists
  arXiv.org. Doi:
• Hull, Isaiah; Bertsch, Christoph & Zhang, Xin (2020)
  Bank misconduct and online lending
  Journal of Banking & Finance. Doi:
• Hull, Isaiah; Bertsch, Christoph, Armelius, Hanna & Zhang, Xin (2020)
  Spread the Word: International Spillovers from Central Bank Communication
  Journal of International Money and Finance. Doi:
• Natvik, Gisle James; Rime, Dagfinn & Syrstad, Olav (2020)
  Does publication of interest rate paths provide guidance?
  Journal of International Money and Finance. Doi:
• Zhanhui, Chen; Cooper, Ilan, Ehling, Paul & Xiouros, Costas (2020)
  Risk Aversion Sensitive Real Business Cycles
  Management science. Doi:
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  Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock with an increase in investment. An increase in risk aversion intensifies transformation across states, which directly leads to higher investment volatility. In our model and the data, the conditional volatility of investment correlates negatively with the price-dividend ratio and predicts excess stock market returns. In addition, the same mechanism generates predictability of consumption growth and produces fluctuations in the risk-free rate

• Cooper, Ilan; Mitrache, Andreea & Priestley, Richard (2020)
  A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
  Journal of Financial and Quantitative Analysis. Doi:
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  Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive return premia, although being negatively correlated. The global macroeconomic risk factors also perform well in capturing the returns on other characteristic-based portfolios. The findings identify a global macroeconomic source of the common variation in returns across countries and asset classes.

• Gavazzoni, Federico & Santacreu, Ana Maria (2020)
  International R&D Spillovers and Asset Prices
  Journal of Financial Economics, 136(2). Doi:
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  We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and macroeconomic quantity moments, alleviating some of the puzzles highlighted in the international macro-finance literature. Our model predicts that country pairs that share more research and development (R&D) have less volatile exchange rates and more correlated stock market returns. Using data from a sample of 19 developed countries, we provide suggestive empirical evidence in favor of our model’s predictions.

• Juelsrud, Ragnar Enger & Wold, Ella Getz (2020)
  Risk-weighted capital requirements and portfolio rebalancing
  Journal of Financial Intermediation. Doi:
• Zhanhui, Chen; Ehling, Paul & Xiouros, Costas (2020)
  Risk Aversion Sensitive Real Business Cycles
  Management science. Doi:
• Ostergaard, Charlotte; Sasson, Amir & Sørensen, Bent E. (2020)
  Cash flow sensitivities and bank-finance shocks in non-listed firms
  International Journal of Banking, Accounting and Finance, 11(1), p. 35-70. Doi:
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  We study how small firms manage cash flows by estimating cash flow sensitivities for all sources and uses of cash. Our data are ºÚÁÏרÇø non-listed firms which can be matched to the banks they borrow from. Firms with low cash holdings mainly use external finance to offset cash flow fluctuations over the cycle, whereas firms with high cash holdings rely mainly on internal finance. Estimating how cash flow sensitivities change with exogenous bank shocks, we find that the cyclicality of cash-poor firms' investment is amplified because they do not substitute internal for external finance. Our results imply that for small firms, the transmission of financial shocks to the real economy is closely tied to their accumulation of cash.

• Branger, Nicole; Konermann, Patrick, Meinerding, Christoph & Schlag, Christian (2020)
  Equilibrium Asset Pricing in Directed Networks
  Review of Finance, 25(3), p. 777-818. Doi:
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  Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases.

• Natvik, Gisle James; Rime, Dagfinn & Syrstad, Olav (2020)
  Does publication of interest rate paths provide guidance?
  Journal of International Money and Finance, 103(May), p. 1-22. Doi:
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  Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we compute market forecast errors; differences between expected future interest rates and ex-post realizations. We assess their change in narrow windows around monetary policy announcements and macroeconomic releases in Norway and Sweden. Overall, communication of future policy plans does not improve markets’ response to information, irrespective of whether or not IRPs are in place. A decomposition of market reactions into responses to the current monetary policy action (“target”) and responses to signals about the future (“path”), reveals that only policy actions lead to improvements in market forecasts.

• Bjønnes, Geir Høidal; Osler, Carol L. & Rime, Dagfinn (2020)
  Price Discovery in Two-Tier Markets
  International Journal of Finance and Economics. Doi:
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  This paper examines the price discovery process in a two-tier market, specifically the foreign-exchange market. The goal is to identify the sources of private information and to gain insights into the process through which that informa- tion influences the market price. Using a transactions database that includes trading-party identities, we show that sustained post-trade returns rise with bank size, implying that larger banks have an information advantage. The larger banks exploit this information advantage in placing limit orders as well as market orders. We also show that the bank's private information does not come from their corporate or government customers or from some asset managers. Instead, the bank's private information appears to come from other asset managers, including hedge funds, and from the bank's own analysis

• Fagereng, Andreas; Guiso, Luigi, Malacrino, Davide & Pistaferri, Luigi (2020)
  Heterogeneity and Persistence in Returns to Wealth
  Econometrica, 88(1), p. 115-170. Doi:
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  We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, individuals earn markedly different average returns on their net worth (a standard deviation of 22.1%) and on its components. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within narrow asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the net worth distribution increases the return by 18 percentage points (and 10 percentage points if looking at net-of-tax returns). Fourth, individual wealth returns exhibit substantial persistence over time. We argue that while this persistence partly arises from stable differences in risk exposure and assets scale, it also reflects heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.

• Fabozzi, Frank J.; Klingler, Sven, Mølgaard, Pia & Nielsen, Mads Stenbo (2020)
  Active Loan Trading
  Journal of Financial Intermediation. Doi:
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  The increased disruption of business models through digital technologies creates opportunities and challenges for retail businesses and their network partners. Digital transformation – the process of digitalization of previously analogue operations,procedures, organizational tasks, and managerial processes in order to drive value for customers, employees and other stakeholders – is the order of the day. With that in mind, this article provides a purposeful overview of research in the field of digital transformation with a focus on retailing and customer- facing functions of digital technologies such as managing customer journeys, assessing the impact of sensory marketing and the use of service robots on the one hand, and their strategic implications for business models such as servitization on the other. This article concludes by highlighting immediate as well as long-term challenges in the field, with a focus on disruptive technologies, innovations and trends that retail marketing-management will likely face in the near future.

• Hull, Isaiah (2019)
  A Note on Measuring US Time Series Volatility During the Great Moderation
  Macroeconomic Dynamics. Doi: