Centre for Asset Pricing Research (CAPR)

Publications

2025

• Iván Alfaro and Hoonsuk Park

  Demand Disagreement

  Journal of Financial Economics. Forthcoming.

• Andreas Fagereng, Matthieu Gomez, Émilien Gouin-Bonenfant, Martin Holm, Benjamin Moll & Gisle Natvik

  Asset-Price Redistribution

  Journal of Political Economy. Forthcoming.

• Iván Alfaro and Hoonsuk Park

  Firm Uncertainty and Households: Spending, Savings, and Risks

  Journal of Financial Economics. Forthcoming.

2024

• Sven Klingler and Olav Syrstad

  The SOFR Discount

  Journal of Financial Economics. Forthcoming.

• Ragnar Enger Juelsrud and Ella Getz Wold

  The Importance of Unemployment Risk for Individual Savings

  Management Science. Doi: 10.1287/mnsc.2023.00987.

• Paolo Giordani

  SMARTboost Learning for Tabular Data

  Journal of Financial Econometrics, p. 1-29. Doi: 10.1093/jjfinec/nbae028

• Tetiana Davydiuk, Tatyana Marchuk and Samuel Rosen

  Direct Lenders in the U.S. Middle Market

  Journal of Financial Economics, 162. Doi: 10.1016/j.jfineco.2024.103946

• Thomas F. Cooley, Espen Henriksen & Charlie Nusbaum

  Demographic obstacles to European growth

  European Economic Review, 169, p. 1-29. Doi: 10.1016/j.euroecorev.2024.104829

• Andreas Fagereng, Helene Onshuus and Kjersti N. Torstensen

  The consumption expenditure response to unemployment: Evidence from Norwegian households.

  Journal of Monetary Economics. March 2024. Journal of Monetary Economics, p. 1-20. Doi : 10.1016/j.jmoneco.2024.103578

• Matti Keloharju, Samuli Knüpfer, Dagmar Müller & Joacim Tåg

  PhD studies hurt mental health, but less than previously feared

  Research Policy, 53(8). Doi: 10.1016/j.respol.2024.105078

• Spencer Andrews, Riccardo Colacito, Mariano M. Croce & Federico Gavazzoni

  Concealed carry

  Journal of Financial Economics, 159. Doi: 10.1016/j.jfineco.2024.103874

• Sven Klingler, Suresh Sundaresan and Michael Moran

  Corporate Pension Risk Transfers

  Journal of Financial Economics. Forthcoming.

• Sebastien Betermier, Laurent Calvet, Samuli Knüpfer & Jens Sørlie Kværner

  Investor Factors

  Journal of Finance. Forthcoming. Doi: 10.2139/ssrn.3795690

• Costas Xiouros and Fernando Zapatero

  Disagreement, information quality and asset prices

  Journal of Financial Economics. Doi: 10.1016/j.jfineco.2023.103774

2023

• Gauti B Eggertsson, Ragnar E. Juelsrud, Lawrence H. Summers and Ella Getz Wold

  Negative Nominal Interest Rates and the Bank Lending Channel

  Review of Economic Studies. Doi: 10.1093/restud/rdad085

• Paul Ehling & Costas Xiouros

  Cyclical β

  Social Science Research Network (SSRN). Doi: 10.2139/ssrn.4558796

• Tetiana Davydiuk, Tatyana Marchuk and Samuel Rosen

  Market Discipline in the Direct Lending Space

  Review of Financial Studies. Doi: 10.1093/rfs/hhad081

• Publication Iván Alfaro, Nick Bloom, and Xiaoji Lin

  The Finance Uncertainty Multiplier

  Journal of Political Economy, 132(2), p. 577-615. Doi: 10.1086/726230

• Alain Chaboud, Dagfinn Rime & Vladyslav Sushko

  The foreign exchange market

  Research Handbook of Financial Markets, chap. 12, p. 252-275. Doi: 10.4337/9781800375321.00020

• Sven Klingler and Suresh Sundaresan

  Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints

  Journal of Monetary Economics. Doi: 10.1016/j.jmoneco.2023.01.002

• Richard Priestley and Stig Møller

  The Role of the Discount Rate in Investment and Employment Decisions

  Journal of Financial and Quantitative Analysis. Doi: 10.1017/S0022109021000715

• Ivan Alfaro, Nicholas Bloom and Xiaoji Lin

  The Finance Uncertainty Multiplier

  Journal of Political Economy. Doi: 10.1086/726230

• Mariano Massimiliano Croce, Tatyana Marchuk and Christian Schlag

  The Leading Premium

  The Review of financial studies. Doi: 10.1093/rfs/hhad009

2022

• Ilan Cooper, Andrea Mitrache and Richard Priestley

  A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes

  Journal of Financial and Quantitative Analysis.

• Samuli Knüpfer, Elias Rantapuska and Matti Sarvimäki

  Social Interaction in the Family: Evidence from Investors’ Security Holdings

  Review of Finance. Doi: 10.1093/rof/rfac060 (2022)

• Sven Klingler

  High Funding Risk and Low Hedge Fund Returns

  Critical Finance Review, 11(3-4), p. 505-539. Doi: 10.1561/104.00000119

• Journal Dagfinn Rime, Andreas Schrimpf and Olav Syrstad

  Covered Interest Parity Arbitrage

  Review of Financial Studies. Volume 35, Issue 11, November 2022, Pages 5185–5227). Doi: 10.1093/rfs/hhac026

2021

• Journal Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag

  Equilibrium Asset Pricing in Directed Networks

  Review of Finance, Volume 25, Issue 3, May 2021, Pages 777-818.

• Journal Andreas Fagereng, Magne Mogstad and Marte Rønning

  Why do Wealthy Parents have Wealthy Children?

  Journal of Political Economy, 129 (3) pp. 703-756, 2021.

• Journal Martin B. Holm, Andreas Fagereng and Gisle J. Natvik

  MPC Heterogeneity and Household Balance Sheets

  American Economic Journal: Macroeconomics, 13 (3) pp. 1-54, 2021.

• Journal Sven Klingler and Olav Syrstad

  Life After LIBOR

  Journal of Financial Economics, 141(2), s. 783- 801.

• Journal Gauti Eggertsson, Jacob Robbins and Ella Getz Wold

  Kaldor and Piketty's facts: The rise of monopoly power in the United States

  Journal of Monetary Economics.

2020

• Publication Andreas Fagereng, Luigi Guiso, Davide Malacrino and Luigi Pistaferri

  Heterogeneity and Persistence in Returns to Wealth

  Econometrica, 88(1), s. 115- 170.

• Journal Federico Gavazzoni and Ana Maria Santacreu

  International R&D Spillovers and Asset Prices

  Journal of Financial Economics, 136(2).

• Journal Martin Blomhoff Holm, Andreas Fagereng and Kjersti Næss Thorstensen

  Housing Wealth in Norway, 1993-2015

  Journal of Economic and Social Measurement, 45 (1) pp. 65-81, 2020.

• Journal Victoria Atanasov, Stig Møller and RIchard Priestley

  Consumption Fluctuations and Expected Returns

  Journal of Finance, s. 1- 37.

• Journal Gisle James Natvik, Dagfinn Rime and Olav Syrstad

  Does publication of interest rate paths provide guidance?

  Journal of International Money and Finance, 103(May), s. 1- 22.

• Journal Frank J. Fabozzi, Sven Klingler, Pia Mølgaard and Mads Stenbo Nielsen

  Active Loan Trading

  Journal of Financial Intermediation, Volume 46 (2021), article 100868

• Journal Ragnar Enger Juelsrud and Ella Getz Wold

  Risk-weighted capital requirements and portfolio rebalancing

  Journal of Financial Intermediation.

• Article Zanhui Chen, Ilan Cooper, Paul Ehling and Costas Xiouros

  Risk Aversion Sensitive Real Business Cycle

  Management Science

• Journal Geir Høidal Bjønnes, Carol L. Osler and Dagfinn Rime

  Price Discovery in Two-Tier Markets

  International Journal of Finance and Economics.

• Journal Victoria Anastov, Stig Muller and Richard Priestley

  Consumption Fluctuations and Expected Returns

  Journal of Finance, s. 1- 37, 2020.

• Publication Andreas Fagereng, Luigi Guiso, Davide Malacrino and Luigi Pistaferri

  Heterogeneity and Persistence in Returns to Wealth

  Econometrica, Vol. 88, No.1, 115–170, 2020.

2019

• Publication Martin D. D. Evans and Dagfinn Rime

  Microstructure of Foreign Exchange Markets

  Hamilton, Jonathan H. (red.). Oxford Research Encyclopedias: Economics and Finance.

• Journal Nicole Branger, Patrick Konermann and Christian Schlag

  Optimists and Pessimists in (In)complete Markets

  Journal of Financial and Quantitative Analysis, 2019.

2018

• Journal Federico Gavazzoni, Riccardo Colacito, Mariano Massimiliano Croce and Robert Ready

  Currency Risk Factors in a Recursive Multi-Country Economy

  Journal of Finance, 73(6), 2018

• Publication Luigi Guiso, Andreas Fagereng and Luigi Pistaferri

  Portfolio Choices, Firm Shocks and Uninsurable Wage Risk

  Review of Economic Studies, 85 (1) pp.437-474, 2018.

• Journal Ilan Cooper, Panayiotis Andreou, Ignacio Garcia de Olalla Lopez and Christodoulos Louca

  Managerial Overconfidence and the Buyback Anomaly

  Journal of Empirical Finance, 49, s. 142- 156.

• Journal Renee B. Adams, Matti Keloharju and Samuli Knüpfer

  Are CEOs Born Leaders? Lessons from Traits of a Million Individuals

  Journal of Financial Economics. Volume 130(2), 392-408, 2018.

• Journal Ilan Cooper and Paolo Maio

  New Evidence on Conditional Factor Models

  Journal of Financial and Quantitative Analysis, 2018.

• Publication Sven Kingler and David Lando

  Safe Haven CDS Premiums

  The Review of financial studies, 31(5), s. 1856- 1895, 2018.

• Journal Espen Henriksen and Thomas Cooley

  The Demographic Deficit

  Journal of Monetary Economics, 93, s. 45- 62, 2018.

• Publication Ilan Cooper and Paolo Maio

  Asset Growth, Profitability and Investment Opportunities

  Management Science, 65(9), s. 3988- 4010, 2018.

• Journal Sven Kingler and Suresh Sundaresan

  An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

  Journal of Finance, 74(2), s. 675- 710, 2018.

• Article Paul Ehling, Alessandro Graniero and Christian Heyerdahl-Larsen

  Asset Prices and Portfolio Choice with Learning from Experience

  The Review of Economic Studies, 85(3), s. 1752- 1780, 2018.

• Article Paul Ehling, Michael F. Gallmeyer, Sanjay Srivastava and Chunyu Yang

  Portfolio Tax Trading with Carry-Over Losses

  Management Science, 64(9), s. 4157- 4176, 2018.

• Journal Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch

  Disagreement about Inflation and the Yield Curve

  Journal of Financial Economics, 127(3), s. 459- 484, 2018.

2017

• Journal Andreas Fagereng and Elin Halvorsen

  Imputing consumption from Norwegian income and wealth registry data

  Journal of Economic and Social Measurement, 42 (1) pp.67-100, 2017.

• Journal Andreas Fagereng, Charles Gottlieb and Luigi Guiso

  Asset Market Participation and Portfolio Choice over the Life-Cycle

  Journal of Finance, 72 (2) pp.705-750, 2017.

• Publication Luigi Guiso, Andreas Fagereng and Luigi Pistaferri

  Firm-Related Risk and Precautionary Saving Response

  American Economic Review: Papers & Proceedings, 107 (5) pp.393-397, 2017.

• Journal Samuli Knüpfer, Elias Henrikki Rantapuska and Matti Sarvimäki

  Formative Experiences and Portfolio Choice: Evidence from the Finnish Great Depression

  Journal of Finance. Volume 72(1), pp. 133-166. 2017.

• Publication Paul Ehling and Christian Heyerdahl-Larsen

  Correlations

  Management Science. Volume 63, pp. 1919-1937, 2017.

2016

• Journal Andreas Fagereng, Cristoph Basten and Kjetil Telle

  Saving and Portfolio Allocation Before and After Job Loss

  Journal of Money, Credit and Banking, 48 (2-3) pp.293-324, 2016.

• Publication Andreas Fagereng, Luigi Guiso, Davide Malacrino and Luigi Pistaferri

  Heterogeneity in Returns to Wealth and the Measurement of Wealth Inequality

  American Economic Review: Papers & Proceedings, 106 (5) pp.651-655, 2016.

• Journal Dagfinn Rime and Martin D.D. Evans

  Order flow information and spot rate dynamics

  Journal of International Money and Finance, 69(Dec.), s. 45- 68.

• Journal Ilan Cooper and Richard Priestley

  The Expected Returns and Valuations of Private and Public Firms

  Journal of Financial Economics. Volume 120(1) pp. 41-57, 2016.

• Journal Juan-Pedro Gomez, Richard Priestley and Fernando Zapatero

  Labor Income, Relative Wealth Concerns, and the Cross-Section of Stock Returns

  Journal of Financial and Quantitative Analysis. Volume 51(4) pp. 1111-1133, 2016. 

• Publication Mark Grinblatt, Seppo Ikäheimo, Matti Keloharju and Samuli Knüpfer

  IQ and Mutual Fund Choice

  Management Science. Volume 62(4), pp. 924-944. 2016.

• Publication Markku Kaustia, Samuli Knüpfer and Sami Torstila

  Stock Ownership and Political Behavior: Evidence from Demutualizations

  Management Science. Volume 62(4), pp. 945-963. 2016.

• Francis Breedon, Dagfinn Rime and Paolo Vitale

  Carry Trades, Order Flow and the Forward Bias Puzzle

  Journal of Money, Credit and Banking, 48(6), s. 1113- 1134, 2016.

2015

• Journal Paul Ehling and Christian Heyerdahl-Larsen

  Complete and Incomplete Financial Markets in Mult-Good Economies

  Journal of Economic Theory, 160, s. 438- 462, 2015.

• Journal Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, and Gabriele Zinna

  The Scapegoat Theory of Exchange Rates: The First Tests

  Journal of Monetary Economics, Volume 70, March 2015, Pages 1–21

2014

• Journal David Backus, Thomas Cooley and Espen Henriksen

  Demography and Low-Frequency Capital Flow

  Journal of International Economics 92:1 (2014).

• Journal Andreas Fagereng, Christoph Basten and Kjetil Telle

  Cash-on-Hand and the Duration of Job Search: Quasi-experimental evidence from Norway

  Economic Journal, 124 (576) pp.540-568, 2014.

• Publication Geir Høidal Bjønnes, Steinar Holden, Dagfinn Rime and Haakon O. Aa Solheim

  'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

  The Scandinavian Journal of Economics, Volume 116.(2) p. 506-538, 2014.

• Journal Yin-Wong Cheung and Dagfinn Rime

  The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market.

  Journal of International Money and Finance, Volume 49, Part A, Pages 170-189, 2014.

• Journal Tompaidis and Chunyu (Ben) Yang

  Pricing American-style options by Monte Carlo simulation: Alternatives to ordinary least squares

  Journal of Computational Finance, Volume 18(1) p.1-23, 2014.

2013

• Publication Patrick Konermann, Christoph Meinerding and Olga Sedova

  Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

  Review of Financial Economics, 2013, 22(1), 36-46.

• Journal Michael R. King, Carol L. Osler and Dagfinn Rime

  The market micorstructure approach to foreign exchange: Looking back and looking forward

  Journal of International Money and Finance, 38, s. 95- 119.

• Journal Espen Henriksen, Finn Kydland and Roman Šustek

  Globally Correlated Nominal Fluctuations

  Journal of Monetary Economics, Volume 60(6), pp. 613-631, 2013. 

• Journal Herve Roche, Stathis Tompaidis and Chunyu (Ben) Yang

  Why does Junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios

  Journal of Financial Economics, Volume 109, Issue 3, September 2013, Pages 775-796.

• Publication Ilan Cooper and Richard Priestley

  The World Business Cycle and Expected Returns

  Review of Finance, Volume 17, No. 3, July 2013, Pages 1029-1064.

2012

• Dagfinn Rime, Lucio Sarno and Elvira Sojli

  Exchange rate forecasting, order flow and macroeconomic information

  Journal of International Economics, 80(1), s. 72- 88.

• Publication Matti Keloharju, Samuli Knüpfer and Juhani T. Linnainmaa

  Do Investors Buy What They Know? Product Market Choices and Investment Decisions

  Review of Financial Studies, 2012.

• Journal Espen Henriksen and Steve Spear

  Endogenous market incompleteness without market frictions: Dynamic suboptimality of competitive equilibrium in multiperiod OLG economies

  Journal of Economic Theory 147:2 (2012)

• Journal Samuli Knüpfer and Markku Kaustia

  Peer performance and stock market entry

  Journal of Financial Economics, 2012.

• Publication Dagfinn Rime, Hans Jørgen Tranvåg

  Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence

  Pacific Economic Review, 17(3), s. 434- 466.

• Publication Ilan Cooper and Richard Priestley

  The World Business Cycle and Expected Returns

  Review of Finance, 17(3), s. 1029- 1064.

• Publication Ian Garrett and Richard Priestley

  Dividend Growth, Cash Flow and Discount Rate News

  Journal of Financial and Quantitative Analysis, Volume 47, No. 05, 2012, Page 1003-1028.

• Journal Vikas Agarwal, Juan-Pedro Gomez and Richard Priestley

  Management Compensation and Market Timing Under Portfolio Constraints

  Journal of Economic Dynamics and Control, Volume 36, Issue 10, October 2012, Pages 1600-1625.

• Publication Long Chen, Zhi Da, and Richard Priestley

  Dividend Predictability and Dividend Smoothing

  Management Science, Volume 58, No. 10, October 2012.

2011

• Article Ilan Cooper and Richard Priestley

  Real Investment and Risk Dynamics

  Journal of Financial Economics, 2011.

2010

• Publication Espen Henriksen and Finn E. Kydland

  Endogenous Money, Inflation and Welfare

  Review of Economic Dynamics 13:2 (2010)

• Publication David K. Backus, Federico Gavazzoni, Christopher Telmer and Stanley E. Zin

  Monetary Policy and the Uncovered Interest Rate Parity Puzzle

  Social Science Research Network (SSRN)

• Publication Pål Boug and Andreas Fagereng

  Exchange rate volatility and export performance: A cointegrated VAR approach

  Applied Economics, 42 (7) pp.851-864, 2010.

• Article Costas Xiouros and Fernando Zapatero

  The Representative Agent of an Economy with External Habit-Formation and Heterogeneous Risk-Aversion

  Review of Financial Studies, 2010.

2009

• Publication Richard Priestley and Ilan Cooper

  Time-Varying Risk Premiums and the Output Gap

  The Review of financial studies, 22(7), s. 2801- 2833.

• Journal Farooq Q. Akram, Dagfinn Rime and Lucio Sarno

  Does the law of one price hold in international financial markets? Evidence from tick data

  Journal of Banking & Finance, 33(10), s. 1741- 1754.

• Journal Juan-Pedro Gómez, Richard Priestley and Fernando Zapatero

  Implications of Keeping-Up-with-the-Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence

  Journal of Finance 2009. Vol, 64.(6) p. 2703-2730. 

2008

• Publication Samuli Knüpfer and Elias Rantapuska

  Which investors leave money on the table? Evidence from rights issues

  Review of Finance, 2008.

• Journal Dave Backus, Kjetil Storesletten and Espen Henriksen

  Taxes and the Global Allocation of Capital

  Journal of Monetary Economics 55:1 (2008)

• Publication Matti Keloharju, Samuli Knüpfer and Sami Torstila

  Do retail incentives work in privatizations?

  Review of Financial Studies, 2008.

• Journal Markku Kaustia and Samuli Knüpfer

  Do investors overweight personal experience? Evidence from IPO subscriptions

  Journal of Finance, 2008.

• Publication Genaro Sucarrat, Luc Bauwens and Dagfinn Rime

  Exchange Rate Volatility and the Mixture of Distribution Hypothesis

  Bauwenns, Luc; Pohlmeier, Winfried & Veredas, David (red.). High-Frequency Financial Econometrics.

• Journal Farooq Q. Akram, Dagfinn Rime and Lucio Sarno

  Arbitrage in the Foreign Exchange Market: Turning on the Microscope

  Journal of International Economics, 76, s. 237- 253.

• Journal Daniel Aunon-Nerin and Paul Ehling

  Why firms purchase property insurance

  Journal of Financial Economics 2008. Vol, 90.(3) p. 298-312.

• Journal David K. Backus, Espen Henriksen and Kjetil Storesletten

  Taxes and the global allocation of capital

  Journal of Monetary Economics, Volume 55(1), pp. 48-61, 2008.

2007

• Publication David Saunders, Costas Xiouros and Stavros Zenios

  Credit Risk Optimization Using Factor Models

  Annals of Operations Research, 152(1), s. 49- 77.

2006

• Publication Luc Bauwens, Dagfinn Rime and Genaro Sucarrat

  Exchange Rate Volatility and the Mixture of Distribution Hypothesis

  Empirical Economics, 30, s. 889- 911, 2006.

• Journal Marios Neroupposm, David Saunders, Costas Xiouros and Stavros Zenios

  Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests

  Multinational Finance Journal, 10(3), s. 179- 221.

• Journal Ilan Cooper

  Asset pricing implications of nonconvex adjustment costs and irreversibility of investment

  Journal of Finance 2006. Vol, 61.(1) p. 139-170. 

• Journal G.A. Hardouvelis, D. Malliaropulos and Richard Priestley

  EMU and European stock market integration

  Journal of Business 2006. Vol, 79.(1) p. 365-392.

2005

• Journal Geir Høidal Bjønnes, Dagfinn Rime and Haakon Solheim

  Liquidity provision in the overnight foreign exchange market

  Journal of International Money and Finance, 24(2), s. 175- 196.

• Journal Geir Høidal Bjønnes and Dagfinn Rime

  Dealer behavior and trading systems in foreign exchange markets

  Journal of Financial Economics 2005. Vol, 75.(3) p. 571-605.

2004

• Publication Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime

  Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets

  Economic Policy, 17, s. 536- 552.

2000

• Journal I. Garrett and Richard Priestley

  Dividend Behaviour and Dividend Signaling

  Journal of Financial and Quantitative Analysis 2000. Vol, 35.(2) p.