Thomas Quistgaard Pedersen

Lektor

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Thomas Quistgaard Pedersen

Lektor

  • Institut for Økonomi
  • Institut for Økonomi - CREATES
Postaddresse:
Fuglesangs Allé 4
2631, 140
8210
Aarhus V
Danmark

E-mail: tqpedersen@econ.au.dk

Telefon: +4587166074

Education

PhD in Economics and Management, Aarhus Universtity, 2010

Academic work experience

Associate Professor, Department of Economics and Business, Aarhus University, 2013-now
Assistant Professor, Department of Economics and Business, Aarhus University, 2010-2012
Visiting Research Scholar, Rady School of Management, University of California San Diego, Fall 2009

Research interests

Empirical finance, Asset pricing, Financial econometrics

Publications

Bork, L, Møller, SV & Pedersen, TQ 2018, 'A new index of housing sentiment' Management Science.
Engsted, T, Hviid, SJ & Pedersen, TQ 2016, 'Explosive bubbles in house prices? Evidence from the OECD countries' Journal of International Financial Markets, Institutions & Money, bind 40, s. 14-25. https://doi.org/10.1016/j.intfin.2015.07.006
Pedersen, TQ 2015, 'Predictable return distributions' Journal of Forecasting, bind 34, nr. 2, s. 114-132. https://doi.org/10.1002/for.2323
Engsted, T & Pedersen, TQ 2015, 'Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries' Journal of International Money and Finance, bind 53, s. 257-275. https://doi.org/10.1016/j.jimonfin.2015.02.001
Engsted, T & Pedersen, TQ 2014, 'Bias-correction in vector autoregressive models: A simulation study' Econometrics, bind 2, nr. 1, s. 45-71. https://doi.org/10.3390/econometrics2010045
Engsted, T & Pedersen, TQ 2014, 'Housing market volatility in the OECD area: Evidence from VAR based return decompositions' Journal of Macroeconomics, bind 42, s. 91-103. https://doi.org/10.1016/j.jmacro.2014.07.005
Engsted, T, Pedersen, TQ & Tanggaard, C 2012, 'Pitfalls in VAR based return decompositions: A clarification' Journal of Banking & Finance, bind 36, nr. 5, s. 1255–1265. https://doi.org/10.1016/j.jbankfin.2011.11.004
Engsted, T & Pedersen, TQ 2012, 'Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model' Journal of Empirical Finance, bind 19, nr. 2, s. 241-253. https://doi.org/10.1016/j.jempfin.2012.01.003
Engsted, T, Pedersen, TQ & Tanggaard, C 2012, 'The Log-Linear Return Approximation, Bubbles, and Predictability' Journal of Financial and Quantitative Analysis, bind 47, nr. 3, s. 643-665. https://doi.org/10.1017/S0022109012000191
Engsted, T & Pedersen, TQ 2010, 'The dividend-price ratio does predict dividend growth: International evidence' Journal of Empirical Finance, bind 17, nr. 4, s. 585-605. https://doi.org/10.1016/j.jempfin.2010.01.003
Larsen, AL & Pedersen, TQ 2006, 'Strategisk og taktisk aktivallokering - forudsigelige afkasts betydning for den langsigtede investor' Finans/Invest, nr. 6, s. 9-15.

Teaching

Empirical Finance (MSc course), 2013-now
VAR models in empirical asset pricing (PhD course), 2012
Econometrics 1 (BSc course), 2010-2013
Applied Time Series and Financial Econometrics (MSc course), 2008
Thesis supervisor (BSc and MSc), 2011-now

Scholarships and awards

The Danish Council for Independent Research | Social Sciences, DKK 3,856,032, "The International Housing Market: What Drives Prices and their Comovement". (PI)
The Danish Council for Independent Research | Social Sciences, DKK 1,584,576, "Time-varying Expected Returns and Regime Shifts". (PI)
Tuborgfondets Erhvervsøkonomiske Pris 2009
Nominated for the Golden Pointer 2012-2014