Professor
Member of section: Accounting and Finance
Research Secretary: Pernille Vorsø Jachobsen

Research and teaching interests

Empirical finance, Asset pricing, Financial econometrics

Selected publications

Search and Predictability of Prices in the Housing Market, with Stig Vinther Møller, Allan Timmermann and Erik Christian Montes Schütte. Management Science, forthcoming.

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.

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. 

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.