Publications in financial economics

Selected publications

Ming Zeng: "Currency Carry, Momentum, and Global Interest Rate Volatility", Journal of Financial and Quantitative Analysis, forthcoming.

Felix Holzmeister, Martin Holmen, Michael Kirchler, Matthias Stefan, and Erik Wengström; "Delegation Decisions in Finance", Management Science 69, 2023, 4828-4844.

Martin Holmen, Felix Holzmeister, Michael Kirchler, Matthias Stefan, and Erik Wengström: "Economic Preferences and Personality Traits Among Finance Professionals and the General Population", Economic Journal 133, 2023, 2949–2977.

Adam Farago and Erik Hjalmarsson (2023). “Long-Horizon Stock Returns Are Positively Skewed”, Review of Finance 27, 495–538.

Adam Farago, Martin Holmén, Felix Holzmeister, Michael Kirchler, and Michael Razen (2022). “Cognitive Skills and Economic Preferences in the Fund Industry”, Economic Journal 132, 1737–1764.

Dawei Fang, Thomas Noe, and Philipp Strack (2020). “Turning up the heat: The discouraging effect of competition in contests”, Journal of Political Economy 128, 1940-1975.

Adam Farago and Erik Hjalmarsson (2019). “Stock Price Co-Movement and the Foundations of Pairs Trading”. Journal of Financial and Quantitative Analysis 54, 629-665.

Adam Farago and Romeo Tedongap (2018). “Downside Risks and the Cross-Section of Asset Returns", Journal of Financial Economics, 129, 69-86.

Magnus Dahlquist, Adam Farago, and Romeo Tedongap (2017). “Asymmetries and Portfolio Choice", Review of Financial Studies 30, 667-702

Evangelos Benos, James Brugler, Erik Hjalmarsson, and Filip Zikes (2017). “Interactions among High-Frequency Traders”, Journal of Financial and Quantitative Analysis 52, 1375-1402.

Benjamin Chiquoine, Alain Chaboud, Erik Hjalmarsson, and Clara Vega (2014). “Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market”. Journal of Finance 69, 2045-2084.

Erik Hjalmarsson (2011). “New Methods for Inference in Long-Horizon Regressions”, Journal of Financial and Quantitative Analysis 46, 815-839.

Erik Hjalmarsson (2010). “Predicting Global Stock Returns”, Journal of Financial and Quantitative Analysis 45, 49-80.

David Berger, Alain Chaboud, and Erik Hjalmarsson (2009). “What Drives Volatility Persistence in the Foreign Exchange Market?”, Journal of Financial Economics 94, 192-213.

Martin Holmén and John Knopf (2004). “Minority Shareholder Protection and Private Benefits of Control for Swedish Mergers”, Journal of Financial and Quantitative Analysis 39, 167-191.

Other publications

Xiyu Jiao, Felix Pretis, and Moritz Schwarz (2024). “Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change”, Journal of Econometrics 239(1), 105547.

Xiyu Jiao and Felix Pretis (2022). “Testing the presence of outliers in regression models”, Oxford Bulletin of Economics and Statistics 84, 1452-1484.

Adam Farago and Erik Hjalmarsson (2023). “Small Rebalanced Portfolios Often Beat the Market Over Long Horizons”. Review of Asset Pricing Studies 13, 307-342.

Dawei Fang and Thomas Noe (2022). “Less competition, more meritocracy?”, Journal of Labor Economics 40, 669-701.

Erik Hjalmarsson and Tamás Kiss (2022). “Long-run Predictability Tests are Even Worse than You Thought”, Journal of Applied Econometrics, Forthcoming.

Sanjay Banerji and Dawei Fang (2021). “Money as a weapon: Financing a winner-take-all competition”, Journal of Corporate Finance 66, 101783.

Alain Chaboud, Erik Hjalmarsson, and Filip Zikes (2021). “The evolution of price discovery in an electronic market”, Journal of Banking and Finance 130, 106171.

Erik Hjalmarsson and Tamás Kiss (2021). “Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog”, Critical Finance Review 10, 445-464.

Erik Hjalmarsson and Pär Österholm (2021). “Anchoring in Surveys of Household Expectations”, Economics Letters 198, 109687.

Dawei Fang, Martin Holmén, and Taylan Mavruk (2021). “Meeting New Peers: The Effects of Morningstar Category Assignment on Fund Flows and Star Ratings”, International Review of Financial Analysis 77.

Tommy Gärling, Dawei Fang, Martin Holmén, and Patrik Michaelsen (2021). “Fast and slow investments in asset markets: Influences on risk taking”, Journal of Behavioral Finance 22, 84-96.

Erik Hjalmarsson and Pär Österholm (2020). “Heterogeneity in Households’ Expectations of Mortgage Rates and Housing Prices – Evidence from Micro Data”, Journal of Housing Economics 50, 101731.

Tommy Gärling, Dawei Fang, Martin Holmén, and Patrik Michaelsen (2020). “Financial risk-taking related to individual risk preference, social comparison and competition”, Review of Behavioral Finance 13, 125-140.

Dawei Fang (2019). “Dry powder and short fuses: Private equity funds in emerging markets”, Journal of Corporate Finance 59, 48-71.

Erik Hjalmarsson and Pär Österholm (2019). “A Micro-Data Analysis of Households’ Expectations of Mortgage Rates”, Economics Letters 185, 108693.

Tommy Gärling, Dawei Fang, and Martin Holmén (2019). “Review of behavioral explanations of how rank-based incentives influence risk taking by investment managers in mutual fund companies”, Review of Behavioral Finance 12, 136-150.

Dawei Fang (2017). “Dry powder and short fuses: Private equity funds in emerging markets”. Journal of Corporate Finance, Forthcoming.

Erik Hjalmarsson (2018). “Maximal predictability under long-term mean reversion”, Journal of Empirical Finance, 45, 269-282.

Annalisa Fabretti, Stefano Herzel, Martin Holmén, and Tommy Gärling (2017). “Convex Incentives in Financial Markets: an Agent-Based Analysis”, Decisions in Economics and Finance 40, 375-395.

Dawei Fang, Martin Holmén, Michael Kirchler, and Daniel Kleinlercher (2017). “How tournament incentives affect asset markets: A comparison between winner-take-all tournaments and elimination contests”, Journal of Economic Dynamics and Control 75, 1-27.

Oege Dijk and Martin Holmén (2017). “Charity, Incentives, and Performance”, Journal of Behavioral and Experimental Economics 66, 119-128.

Tom Berglund and Martin Holmén (2016). “Employees on Corporate Boards”, Multinational Finance Journal 20, 237–271.

Hsin-Hui Chiu, Lars Oxelheim, Clas Wihlborg, and Jian Hua Zhang (2016). “Macroeconomic Fluctuations as Sources of Luck in CEO Compensation”, Journal of Business Ethics 136, 371–384

Martin Holmén and Peng Wang (2015). “Pyramid IPOs on the Chinese Growth Enterprise Market”, Emerging Markets Finance and Trade 51, 160-173.

Taylan Mavruk and Evert Carlsson (2015). How long is a long-term-firm investment in the presence of governance mechanisms? Eurasian Business Review 5, 117—149.

Daniel Peterson, Anders Carlander, Amelie Gamble, Tommy Gärling and Martin Holmén (2015). “Lay people beliefs in professional and naïve stock investors’ proneness to judgmental biases”, Journal of Behavioral and Experimental Finance 5, 27-34.

Tomasz Bielecki, Areski Cousin, Stephane Crépey, and Alexander Herbertsson (2014). Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. Journal of Optimization Theory and Applications 161, 90-102.

Tomasz Bielecki, Areski Cousin, Stephane Crépey, and Alexander Herbertsson (2014). “A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries”, Communications in Statistics - Theory and Methods 43, 1362-1389.

Oege Dijk, Martin Holmén, and Michael Kirchler (2014). “Rank Matters - The impact of social competition on portfolio choice”, European Economic Review 66, 97-110.

Alexander Herbertsson and Rudiger Frey (2014). “Parameter Estimation in Credit Models Under Incomplete Information”, Communications in Statistics - Theory and Methods 43, 1409-1436.

Martin Holmén, Michael Kirchler, Daniel Kleinlercher (2014). “Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets”, Journal of Economic Dynamics and Control 40, 179-194.