Publications
2025
A modified wild bootstrap procedure for Laplace transforms of volatilityA modified wild bootstrap procedure for Laplace transforms of volatility.ÌýUlrich Hounyo, Zhi Liu, Rasmus T. Varneskov,ÌýEconomics Letters,ÌýVol. 247.
2024
Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?ÌýAndreas Neuhierl, Xiaoxiao Tang, Rasmus T. Varneskov, Guofu Zhou, Management Science, forthcoming. DOI:Ìý
The Ostrich in Us: Selective Attention to Personal Finances.ÌýArna Olafsson, Michaela Pagel,ÌýReview of Economics and Statistics (ReStat), forthcoming. Link:Ìý
Equity Return Expectations and Portfolios: Evidence From Large Asset Managers. Magnus Dahlquist, Markus Ibert,ÌýReview of Financial Studies, Vol. 37, No. 6,Ìýp. 1887-1928. DOI:Ìý
Big Broad Banks: How Does Cross-selling Affect Lending?, Yingjie Qi, Review of Finance, forthcoming. DOI:Ìý
How Integrated Are Credit and Equity Markets? Evidence from Index Options, Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle, Journal of Finance, Vol. 79, No. 2, p. 949-992. DOI:Ìý
Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-Cost Loan Borrowers, Leandro Carvalho, Arna Olafsson, Daniel Silverman, Journal of Political Economy, 132(9), 3173-3213. DOI:Ìý
Pricing of Sustainability-Linked Bonds, Peter Feldhütter, Kristoffer Halskov and Arthur Krebbers, Journal of Financial Economics, forthcoming. DOI:Ìý
Is Capital Structure Irrelevant with ESG Investors?, Peter Feldhütter, and Lasse Heje Pedersen, The Review of Financial Studies, forthcoming. DOI:Ìý
The Co-holding Puzzle: New Evidence from Transaction-Level Data,ÌýJohn Gathergood, and Arna Olafsson,ÌýReview of Financial Studies, forthcoming. DOI:Ìý
Broken Promises, Competition, and Capital Allocation in the Mutual Fund Industry,ÌýSimona Abis, andÌýAnton Lines, Journal of Financial Economics, Vol. 162, no.103948. DOI:Ìý
2023
Debt Dynamics and Credit Risk, Peter Feldhütter, andÌýStephen Schaefer, Journal of Financial Economics, Vol. 149(3), pp. 497-535. DOI:Ìý
Is There a Replication Crisis in Finance?ÌýTheis Ingerslev Jensen, Bryan Kelly, andÌýLasse Heje Pedersen,ÌýJournal of Finance, Vol. 78(5), pp. 2465-2518. DOI:Ìý
Principal Portfolios, Bryan Kelly, Semyon Malamud, andÌýLasse Heje Pedersen,ÌýJournal of Finance,ÌýVol. 78(1), pp. 347-387. DOI:Ìý
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