Jens Sørlie Kværner

Journal of Financial Economics 179 p. 104256-104256 Doi: https://doi.org/10.1016/j.jfineco.2026.104256

Journal of Finance 8(5) p. 2789-2830 Doi: https://doi.org/10.1111/jofi.13474

This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to the stockholdings of Norwegian individual investors from 1997 to 2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross section of stock returns. Portfolio tilts toward the long-short investor factor correlate with indebtedness, macroeconomic exposure, gender, and investment experience. Our paper illustrates the benefits of using holdings data for explaining the risk premia of financial assets.

Review of Finance 28(1) p. 311-351 Doi: https://doi.org/10.1093/rof/rfad023

The Review of financial studies 36(8) p. 3422-3422 Doi: https://doi.org/10.1093/rfs/hhac093

Abstract I analyze the inter vivo transfers and bequest decisions of 700,000 individuals during a period when the decision maker receives negative news regarding their life expectancy. The event that initiates the news is a health outcome. Expected mortality increases both the likelihood of transferring wealth to the next generation and the amount transferred. The size of the inter vivo transfer and bequest are positively related to the wealth of the parent and the severity of the diagnosis, regardless of diagnosis-specific demand for informal care. Using a structural life cycle model, I estimate the bequest parameters that are consistent with the causal effect estimates. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Review of Finance 26(2) p. 407-442 Doi: https://doi.org/10.1093/rof/rfab022

We examine the personal investment decisions of 60,000 households following a cancer diagnosis. To create a control group that minimizes the likelihood that the results are confounded by lifestyle factors, we rely on households diagnosed with the same diagnosis but a few years later. Our estimates show that a cancer diagnosis reduces households’ willingness to take risks with their financial wealth. We use the vast heterogeneity among cancers regarding its impact on life expectancy and income to analyze through which channels cancer impact risk-taking. We find that cancers that have a greater impact on life expectancy and income cause a larger reduction in risk-taking. These two channels account for about 40 to 90 percent of the estimated effects of cancer on personal investment decisions. We do not find any association between having dealt with cancer many years ago and current portfolio choices.

ASSA Annual Meeting

American Economic Association, Poster Session

American Economic Association, Poster session

Western Finance Association (WFA) Meeting

Society for Economic Dynamics Meeting