Professor of Finance
Email: pf.fi@cbs.dk
Phone: +45 38153753
Department of Finance
Copenhagen Business School
Solberg Plads 3, A4.02
2000 Frederiksberg
Denmark
PUBLISHED AND FORTHCOMING PAPERS
Is Capital Structure Irrelevant with ESG investors? (with Lasse Heje Pedersen), Review of Financial Studies, forthcoming
Pricing of Sustainability-Linked Bonds (with Kristoffer Halskov and Arthur Krebbers), 2024, Journal of Financial Economics, 162, 103944
Debt Dynamics and Credit Risk (with Stephen Schaefer), 2023, Journal of Financial Economics, 149, 497-535
Leveraged Buyouts and Bond Credit Spreads (with Yael Eisenthal-Berkovitz and Vikrant Vig), 2020, Journal of Financial Economics, 135, 577-601
The Myth of The Credit Spread Puzzle (with Stephen Schaefer), 2018, Review of Financial Studies, 31, 2897-2942.
Jack Treynor Prize Winner, 2015
Risk Premia and Volatilities in a Nonlinear Term Structure Model (with Christian Heyerdahl-Larsen and Philipp Illeditsch), 2018, Review of Finance, 22, 337-380
Outstanding Paper Award, Wharton’s Jacobs Levy Equity Management Center for Quantitative Research, 2014
The Value of Creditor Control in Corporate Bonds (with Edith Hotchkiss and Oğuzhan Karakaş), 2016, Journal of Financial Economics, 121, 1-27.
Can Affine Models Match the Moments in Bond Yields?, 2016, Quarterly Journal of Finance, 2, 1650009
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (with Jens Dick-Nielsen and David Lando), 2012, Journal of Financial Economics, 103, 471-492.
Our results are used in an Oliver Wyman study on the impact of the Volcker Rule on corporate bond liquidity. The study and our results are discussed in New York Times and Financial Times.
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures, 2012, Review of Financial Studies, 25, 1155-1206.
Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets (with Mads Stenbo Nielsen), 2012, Journal of Financial Econometrics, 10, 292-324.
Previously entitled ‘‘An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches”
Decomposing Swap Spreads (with David Lando), 2008, Journal of Financial Economics, 88, 375-405.
Society of Quantitative Analysts award for best paper on quantitative investment, Western Finance Association, 2006
WORKING PAPERS
The Financial Premium, R&R JF (with Jens Dick-Nielsen and David Lando)
Corporate Bond Factors: Replication Failures and a New Framework, R&R RFS (with Jens Dick-Nielsen, Lasse Heje Pedersen and Christian Stolborg)
Winner of the Utah Winter Finance Conference Best Paper Award 2024
Capital Regulation, Market-Making, and Liquidity (with Rainer Haselmann, Thomas Kick, Shikhar Singla and Vikrant Vig)
A New Test for an Old Puzzle (with Lorenzo Bretscher, Andrew Kane, and Lukas Schmid)
Marking to Market Corporate Debt (with Lorenzo Bretscher, Andrew Kane, and Lukas Schmid)
Winner of the Jacob Gold & Associates Best Paper Award, ASU Sonoran Winter Finance Conference 2021
What Determines Bid-Ask Spreads in Over-the-Counter Markets? (with Thomas Kjær Poulsen)
Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty (with Linda S. Larsen, Claus Munk, and Anders B. Trolle)
COMING SOON!
A new test for informational efficiency: Implications for credit markets (with Felix Akilles and David Lando)
DATA
Corporate Bond Factors: Replication Failures and a New Framework: Data on corporate bond factors
Pricing of Sustainability-Linked Bonds: Replication package
Is Capital Structure Irrelevant with ESG investors?: Replication package
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis :
Monthly time series 2002:07-2009:12 of illiquidity of all US corporate bonds, industrial bonds, and financial bonds in the paper: Download. Updated data through 2023:06: Download.