Department of Economics and Business Economics

Associate Professor
Member of section: Accounting and Finance
Research Secretaries: Pernille Vorsø Jachobsen and Malene Vindfeldt Skals

Thomas Quistgaard Pedersen acquired his PhD in 2010 from the School of Economics and Management, Aarhus University. He currently holds a position as Associate Professor at the Department of Economics and Business, Aarhus University, and he is a Research Fellow at the Center for Research in Econometric Analysis of Time Series (CREATES) funded by the Danish National Research Foundation (Danmarks Grundforskningsfond).

Research and teaching interests

Empirical finance, Asset pricing, Financial econometrics

Selected publications

A new index of housing sentiment, with Lasse Bork and Stig Vinther Møller. Accepted at Management Science. Housing sentiment index is available for download here.

The log-linear return approximation, bubbles, and return predictability, with Tom Engsted and Carsten Tanggaard. Journal of Financial and Quantitative Analysis 47, 2012, 643-665.

Pitfalls in VAR based return decompositions: A clarification, with Tom Engsted and Carsten Tanggard. Journal of Banking and Finance 36, 2012, 1255-1265. Cited in Robert Shiller's Nobel lecture.

The dividend-price ratio does predict dividend growth: International evidence, with Tom Engsted. Journal of Empirical Finance 17, 2010, 585-605. 

Recent working papers

Disappearing money illusion, with Tom Engsted. 

Testing for explosive bubbles in the presence of autocorrelated innovations, with Erik Christian Montes Schütte. MATLAB programs implementing the bootstrap tests are available for download here.