Department of Economics and Business Economics

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

Research and teaching interests

Empirical finance, Asset pricing, Financial econometrics

Selected publications

Testing for explosive bubbles in the presence of autocorrelated innovations, with Erik Christian Montes Schütte. Journal of Empirical Finance 58, 2020, 207-255. MATLAB programs implementing the bootstrap tests are available for download here. 

A new index of housing sentiment, with Lasse Bork and Stig Vinther Møller. Management Science 66, 2020, 1563-1583. 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 and works in progress

In Search of Housing, with Stig Vinther Møller, Allan Timmermann and Erik Christian Montes Schütte

Countercycical Expected Returns, with Stig Vinther Møller and Sigurd Steffensen

Disappearing money illusion, with Tom Engsted.