Publications from the department of finance

Samfunnsøkonomen 5(2025)

Årets statsbudsjett omtales som et budsjett for arbeid. Men bidrar det faktisk til å styrke arbeidslinjen? I denne artikkelen gjennomgår jeg først tilstanden i det norske arbeidsmarkedet. Deretter drøfter jeg om budsjettets skatte- og velferdsendringer gir flere i jobb – og om tiltakene er store nok til å møte de langsiktige utfordringene i arbeidsmarkedet

Journal of Financial Economics 172 p. 1-15 Doi: https://doi.org/10.1016/j.jfineco.2025.104143

Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility—akin to the S&P 500 VIX—predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mechanism operates through heightened household risks: firm uncertainty expands both income and consumption risk over the next year, with the largest effects among lower and top earners (notably the top 1%). Employers only partly shield earnings, while households only partly self-insulate consumption risk via smoothing channels. Detrimental uncertainty effects on households are stronger than firm stock price declines.

Journal of Financial and Quantitative Analysis p. 1-107 Doi: https://doi.org/10.1017/s0022109025102433

We use negative durability shocks from vehicle discontinuations to study asset-backed lending (ABL) and income-based lending (IBL) in auto finance. Discontinuations lead to increased down payments, higher loan-to-value ratios, and larger post-default personal recoveries. These results all indicate that economically disadvantaged consumers are relatively more reliant on unsecured IBL, in stark contrast to corporate financing patterns. Vehicle recoveries on discontinued cars are lower for borrowers who purchase after discontinuations, implying that depreciation is partially borrower-dependent. Our findings suggest that lower-income borrowers, in particular, benefit from technologies that facilitate IBL such as income monitoring.

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.

Journal of Econometrics Doi: https://doi.org/10.1016/j.jeconom.2025.105948