Stig Vinther Møller

Professor

Stig Vinther Møller

 

 

 

Profil

Professor
Member of section: Accounting and Finance
Research Secretaries: Solveig Nygaard Sørensen and Bodil Krog

Personal web page

Stig Vinther Møller is Professor at the Department of Economics and Business Economics and Research Fellow at Center for Research in Econometric Analysis of Time Series (CREATES). Fields of specialization: Asset Pricing, Financial Econometrics, Applied Time Series Econometrics.

 

Administrative Assistant: Solveig Nygaard Sørensen

 

Recent publications

Global economic growth and expected returns around the world: The end-of-the-year effect, with Jesper Rangvid. Accepted at Management Science.

Housing price forecastability: A factor analysis, with Lasse Bork. Accepted at Real Estate Economics.

Cross-sectional consumption-based asset pricing: A reappraisal, with Tom Engsted. Economics Letters 132, 2015, 101-104. For a discussion, see John Cochrane's blog.

End-of-the-year economic growth and time-varying expected returns, with Jesper Rangvid. Journal of Financial Economics 115, 2015, 136-154. Coverage in the CFA digest

Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection, with Lasse Bork. International Journal of Forecasting 31, 2015, 63-78.

 

Working papers

Bond market asymmetries across recessions and expansions: New evidence on risk premia, with Martin M. Andreasen, Tom Engsted, and Magnus Sander.

Consumption Fluctuations and Expected Returns, with Victoria Atanasov and Richard Priestley. 

Macro and Momentum.

Stock return and dividend growth predictability across the business cycle, with Magnus Sander.

A New Index of Housing Sentiment, with Lasse Bork and Thomas Q. Pedersen. Sentiment index.

Global connectedness across bond markets, with Jesper Rangvid.

 

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