Ansattprofil

Paul Ehling

Professor - Institutt for finans

Paul Ehling

Biografi

Paul Ehling is a professor of finance at BI Norwegian Business School in Oslo, Norway. Before joining BI in 2005, he served on the faculty of the Pennsylvania State University. He received a PhD in Finance from HEC Lausanne and FAME in December 2003. Ehling has consulted on corporate risk management, interest rate risk management, risk capital, valuation of derivatives for several corporations and worked for a consultancy firm.

My SSRN webpage: https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=327263

Teaching areas
Asset Pricing Theory (PhD) and Derivatives (MSc)

Ekspertområder

Publikasjoner

Ehling, Paul; Lundeby, Stig Roar Haukø & Sørensen, Lars Qvigstad (2023)

Portfolio Choice with ESG Disagreement: Customizing Sustainability through Direct Indexing

14(3) , s. 132- 149. Doi: https://doi.org/10.3905/jbis.2023.1.041

Ehling, Paul & Xiouros, Costas (2023)

Cyclical β

Doi: https://doi.org/10.2139/ssrn.4558796

Zhanhui, Chen; Cooper, Ilan, Ehling, Paul & Xiouros, Costas (2020)

Risk Aversion Sensitive Real Business Cycles

67(4) Doi: https://doi.org/10.1287/mnsc.2019.3561 - Fulltekst i vitenarkiv

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

Zhanhui, Chen; Ehling, Paul & Xiouros, Costas (2020)

Risk Aversion Sensitive Real Business Cycles

Doi: https://doi.org/10.1287/mnsc.2019.3561

Ehling, Paul; Gallmeyer, Michael, Heyerdahl-Larsen, Christian & Illeditsch, Philipp (2018)

Disagreement about Inflation and the Yield Curve

127(3) , s. 459- 484. Doi: https://doi.org/10.1016/j.jfineco.2018.01.001

Ehling, Paul & Heyerdahl-Larsen, Christian (2017)

Correlations

63(6) , s. 1919- 1937. Doi: https://doi.org/10.1287/mnsc.2015.2413

Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu (2017)

Portfolio Tax Trading with Carryover Losses

64(9) , s. 4157- 4176. Doi: https://doi.org/10.1287/mnsc.2017.2733 - Fulltekst i vitenarkiv

We study portfolio choice with multiple stocks and capital gain taxation assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using Value and Growth or Small and Large portfolios, the backtests show that allocations remain persistently under-diversified. Carry-over losses have large economic significance since they can dramatically shrink the no-trade region. Finally, the backtested economic cost of incorrectly modeling capital losses is at least 8 percent of lifetime wealth.

Ehling, Paul; Graniero, Alessandro & Heyerdahl-Larsen, Christian (2017)

Asset prices and portfolio choice with learning from experience

85(3) , s. 1752- 1780. Doi: https://doi.org/10.1093/restud/rdx077 - Fulltekst i vitenarkiv

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.

Ehling, Paul & Heyerdahl-Larsen, Christian (2015)

Complete and incomplete financial markets in multi-good economies

160, s. 438- 462. Doi: https://doi.org/10.1016/j.jet.2015.10.006

Aunon-Nerin, Daniel & Ehling, Paul (2008)

Why firms purchase property insurance

90(3) , s. 298- 312. Doi: https://doi.org/10.1016/j.jfineco.2008.01.003

Ehling, Paul & Ramos, Sofia B. (2006)

Geographic versus industry diversification: Constraints matter

13(4/5) , s. 396- 416.

Xiouros, Costas & Ehling, Paul (2021)

Dissecting beta

[Conference Lecture]. Event

Konermann, Patrick; Ehling, Paul & Graniero, Alessandro (2020)

Asset Pricing with a CEO

[Conference Lecture]. Event

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2019)

Risk Aversion Sensitive Real Business Cycles

[Report Research].

Graniero, Alessandro; Ehling, Paul & Konermann, Patrick (2019)

Asset Pricing with a CEO

[Conference Lecture]. Event

Graniero, Alessandro; Ehling, Paul & Heyerdahl-Larsen, Christian (2016)

Asset Prices and Portfolio Choice with Learning from Experience

[Report Research].

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2016)

Portfolio Tax Trading with Carry-Over Losses

[Conference Lecture]. Event

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2015)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Conference Lecture]. Event

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2014)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Conference Lecture]. Event

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2013)

Risk Aversion Sensitive Real Business Cycles

[Conference Lecture]. Event

Ehling, Paul & Haushalter, David (2011)

When does cash matter? Evidence from private corporations

[Report Research].

Ehling, Paul (2010)

Some Like it Safe: Agency and Corporate Purchase of Insurance

[Conference Lecture]. Event

Ehling, Paul (2009)

Risk Management with Cash and Insurance in Non-Listed Firms

[Conference Lecture]. Event

Akademisk grad
År Akademisk institusjon Grad
2003 HEC Lausanne Ph.D.
1998 University of Basel Master of Science
1996 University of Basel B.S.
Arbeidserfaring
År Arbeidsgiver Tittel
2018 - Present BI Norwegian Business School Professor of Finance
2005 - 2017 BI Norwegian Business School Associate Professor of Finance
2004 - 2005 Penn State Visiting Assistant Professor of Finance