Magnus Dahlquist

Stockholm School of Economics

Drottninggatan 98

Stockholm, SE-111 60

Sweden

Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

SCHOLARLY PAPERS

24

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Top 2,272

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16,237

SSRN CITATIONS
Rank 3,584

SSRN RANKINGS

Top 3,584

in Total Papers Citations

139

CROSSREF CITATIONS

211

Scholarly Papers (24)

1.

Global Tactical Asset Allocation

Number of pages: 22 Posted: 09 Sep 2005
Magnus Dahlquist and Campbell R. Harvey
Stockholm School of Economics and Duke University - Fuqua School of Business
Downloads 5,327 (1,566)
Citation 12

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Benchmarks, strategic asset allocation, tactical asset allocation, dynamic trading strategies, return predictability, trading strategies, active management, passive management, business cycle, yield curve, term structure

Dynamic Trading Strategies and Portfolio Choice

Number of pages: 27 Posted: 24 Sep 2004
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 1,486 (13,299)

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Dynamic strategies, mean-variance optimization, multiperiod choice, efficient frontier, buy-and-hold investment

Dynamic Trading Strategies and Portfolio Choice

NBER Working Paper No. w10820
Number of pages: 28 Posted: 19 Oct 2004 Last Revised: 27 Jul 2010
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 136 (236,849)

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3.

Economic Momentum and Currency Returns

Swedish House of Finance Research Paper No. 16-14
Number of pages: 70 Posted: 18 Mar 2015 Last Revised: 04 Apr 2019
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 1,312 (16,458)
Citation 6

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Carry trade, foreign exchange rates, predictability, trend following, trends.

4.

Corporate Governance, Investor Protection, and the Home Bias

Tuck-JQFA Contemporary Corporate Governance Issues II Conference
Number of pages: 48 Posted: 30 Jul 2002
Stockholm School of Economics, Georgetown University - Department of Finance, Ohio State University (OSU) - Department of Finance and Georgetown University - McDonough School of Business
Downloads 1,288 (16,947)
Citation 60

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5.
Downloads 1,084 ( 21,936)
Citation 5

Individual Investor Activity and Performance

Swedish House of Finance Research Paper No. 14-08 (revised version)
Number of pages: 44 Posted: 01 Nov 2011 Last Revised: 01 Jun 2016
Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 540 (56,283)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

University of St. Gallen, School of Finance Research Paper No. 2014/8, Forthcoming in Review of Financial Studies
Number of pages: 52 Posted: 07 May 2014 Last Revised: 16 Sep 2016
Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 267 (127,743)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 03 Jun 2016
Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 153 (215,106)
Citation 1

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Netspar Discussion Paper No. 10/2011-091 - revised version
Number of pages: 46 Posted: 25 Nov 2011 Last Revised: 05 Jan 2016
Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 115 (269,236)
Citation 1

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Coordinated fund changes, defined contribution, 401(k)

Individual Investor Activity and Performance

CEPR Discussion Paper No. DP8744
Number of pages: 43 Posted: 20 Jan 2012
Magnus Dahlquist, Jose Vicente Martinez and Paul Söderlind
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 9 (681,865)
Citation 1
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401(k), Coordinated fund changes, Financial advisors, Fire sales

6.
Downloads 1,022 ( 23,948)
Citation 10

An Evaluation of International Asset Pricing Models

Number of pages: 38 Posted: 01 Apr 2002
Magnus Dahlquist and Torbjorn Saellstrom
Stockholm School of Economics and Stockholm School of Economics - Department of Finance
Downloads 982 (24,982)
Citation 19

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Characteristics, Conditional Information, Foreign Exchange Risk, HML, SMB, World CAPM

An Evaluation of International Asset Pricing Models

Number of pages: 41 Posted: 31 Jan 2002
Magnus Dahlquist and Torbjorn Sallstrom
Stockholm School of Economics and Stockholm School of Economics - Department of Finance
Downloads 40 (481,125)
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Characteristics, conditional information, foreign exchange risk, HML, SMB, world CAPM

7.
Downloads 714 ( 39,512)
Citation 19

International Bond Risk Premia

Journal of International Economics, Vol. 90, No. 1, 2013
Number of pages: 49 Posted: 03 Sep 2010 Last Revised: 14 Aug 2015
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 394 (82,714)
Citation 5

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Affine model, local and global factors, time-varying risk premia

International Bond Risk Premia

Swiss Finance Institute Research Paper No. 11-16
Number of pages: 50 Posted: 22 Apr 2011
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 320 (105,292)
Citation 19

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Affine model, local and global factors, time-varying risk premia

8.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 57 Posted: 14 Dec 2016 Last Revised: 28 Oct 2020
Magnus Dahlquist and Julien Penasse
Stockholm School of Economics and University of Luxembourg
Downloads 641 (45,699)
Citation 6

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Currency returns, forward premium puzzle, purchasing power parity, state-space model, uncovered interest rate parity.

9.
Downloads 470 ( 67,704)
Citation 11

On the Asset Allocation of a Default Pension Fund

Swedish House of Finance Research Paper No. 16-02
Number of pages: 84 Posted: 10 Jan 2016 Last Revised: 26 Nov 2017
Magnus Dahlquist, Ofer Setty and Roine Vestman
Stockholm School of Economics, Tel Aviv University - Eitan Berglas School of Economics and Stockholm University - Department of Economics
Downloads 275 (123,800)

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Age-based investing, default fund, life-cycle model, pension-plan design

On the Asset Allocation of a Default Pension Fund

Netspar Discussion Paper No. 01/2016-001
Number of pages: 53 Posted: 09 Jan 2016 Last Revised: 12 Jan 2016
Magnus Dahlquist, Ofer Setty and Roine Vestman
Stockholm School of Economics, Tel Aviv University - Eitan Berglas School of Economics and Stockholm University - Department of Economics
Downloads 195 (173,816)

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Age-based investing, default fund, life-cycle model, pension plan design

On the Asset Allocation of a Default Pension Fund

CEPR Discussion Paper No. DP11052
Number of pages: 54 Posted: 20 Jan 2016
Magnus Dahlquist, Ofer Setty and Roine Vestman
Stockholm School of Economics, Tel Aviv University - Eitan Berglas School of Economics and Stockholm University - Department of Economics
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Citation 8
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age-based investing, default fund, life-cycle model, pension plan design

10.

Expropriation Risk and Return in Global Equity Markets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 16 Feb 2002
Magnus Dahlquist and Ravi Bansal
Stockholm School of Economics and Duke University and NBER
Downloads 460 (69,682)
Citation 11

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Sample Selectivity, Sovereign Risk, Peso Problem, World CAPM.

11.

Performance and Characteristics of Swedish Mutual Funds

Journal of Financial and Quantitative Analysis, Vol. 35, pp. 409-423, 2000
Number of pages: 21 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Magnus Dahlquist, Stefan Engstrom and Paul Söderlind
Stockholm School of Economics, Stockholm School of Economics, Department of Finance and University of St. Gallen
Downloads 459 (69,682)
Citation 2

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flows, persistence, portfolio evaluation, survivorship bias, style analysis

12.
Downloads 352 ( 95,195)
Citation 9

Direct Evidence of Dividend Tax Clienteles

Number of pages: 29 Posted: 20 Nov 2006 Last Revised: 19 Feb 2014
Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist
Stockholm School of Economics, Swedish National Debt Office and State University of New York at Binghamton - School of Management
Downloads 328 (102,305)
Citation 5

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Tax-CAPM, stock ownership, institutional investors, private corporations, foundations, partnerships

Direct Evidence of Dividend Tax Clienteles

CEPR Discussion Paper No. 6005
Number of pages: 36 Posted: 11 Apr 2007
Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist
Stockholm School of Economics, Swedish National Debt Office and State University of New York at Binghamton - School of Management
Downloads 24 (570,534)
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Capital gains tax, dividend tax clienteles, stock ownership, tax incidence

13.

Pseudo Market Timing: a Reappraisal

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 3, 2008
Number of pages: 41 Posted: 28 Jul 2004 Last Revised: 13 Aug 2015
Magnus Dahlquist and Frank De Jong
Stockholm School of Economics and Tilburg University - Department of Finance
Downloads 245 (140,132)
Citation 3

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Abnormal return measures, Endogenous events, Event studies, Initial public offerings, Long-run underperformance

14.
Downloads 236 (145,234)
Citation 14

Asymmetries and Portfolio Choice

Swedish House of Finance Research Paper No. 15-09
Number of pages: 51 Posted: 13 May 2015 Last Revised: 20 Jul 2016
Magnus Dahlquist, Adam Farago and Roméo Tédongap
Stockholm School of Economics, University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 236 (144,743)

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Asset allocation, disappointment aversion, downside risk, loss aversion, reference-dependent preferences, skewness.

Asymmetries and Portfolio Choice

CEPR Discussion Paper No. DP10706
Number of pages: 52 Posted: 13 Jul 2015
Magnus Dahlquist, Adam Farago and Roméo Tédongap
Stockholm School of Economics, University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 0
Citation 5
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Asset allocation, Downside risk

15.

A Review of Norges Bank's Active Management of the Government Pension Fund Global

Swedish House of Finance Research Paper No. 18-7
Number of pages: 147 Posted: 17 Feb 2018 Last Revised: 13 Apr 2018
Magnus Dahlquist and Bernt Arne Ødegaard
Stockholm School of Economics and University of Stavanger
Downloads 223 (153,408)
Citation 5

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Active management; asset management; GPFG; Norway; performance evaluation; Sovereign wealth fund

16.

Foreigners' Trading and Price Effects Across Firms

Journal of Banking and Finance, Vol. 28, 2004
Number of pages: 29 Posted: 10 Mar 2002 Last Revised: 14 Aug 2015
Magnus Dahlquist and Göran Robertsson
Stockholm School of Economics and Swedish National Debt Office
Downloads 170 (196,389)
Citation 3

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Feedback Trading, Momentum, Portfolio Flows

17.

Hedge Funds and Financial Intermediaries

Swedish House of Finance Research Paper No. 19-8
Number of pages: 73 Posted: 19 Jun 2019 Last Revised: 16 Jun 2020
Magnus Dahlquist, Valeri Sokolovski and Erik Sverdrup
Stockholm School of Economics, HEC Montreal - Department of Finance and Stanford University
Downloads 161 (205,746)
Citation 4

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Hedge funds, prime brokers, systematic risk, idiosyncratic risk

18.

Evaluating Portfolio Performance with Stochastic Discount Factors

Journal of Business, Vol. 72, No. 3, pp. 347-384, 1999
Number of pages: 46 Posted: 20 Aug 1999 Last Revised: 15 Jun 2013
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 140 (230,722)

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Investor Inattention: A Hidden Cost of Choice in Pension Plans?

Netspar Discussion Paper No. 11/2010-072
Number of pages: 31 Posted: 24 Dec 2010 Last Revised: 02 Apr 2011
Magnus Dahlquist and Jose Vicente Martinez
Stockholm School of Economics and University of Connecticut
Downloads 125 (252,985)
Citation 1

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Flows, Inertia, Pension Plan Design, Performance, Redemptions

Investor Inattention: A Hidden Cost of Choice in Pension Plans?

European Financial Management, Vol. 21, Issue 1, pp. 1-19, 2015
Number of pages: 19 Posted: 29 Jan 2015
Magnus Dahlquist and Jose Vicente Martinez
Stockholm School of Economics and University of Connecticut
Downloads 0
Citation 4
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flows, inertia, pension plan design, performance, redemptions

20.

Expectations of Mutual Fund Performance

Swedish House of Finance Research Paper No. 20-4
Number of pages: 55 Posted: 10 Feb 2020 Last Revised: 11 Jun 2020
Magnus Dahlquist, Markus Ibert and Felix Wilke
Stockholm School of Economics, Board of Governors of the Federal Reserve System and Stockholm School of Economics
Downloads 116 (266,273)

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Alpha, expectations formation, mutual funds

21.

Sovereign Risk and Return in Global Equity Markets

Number of pages: 40 Posted: 20 Nov 2001
Ravi Bansal and Magnus Dahlquist
Duke University and NBER and Stockholm School of Economics
Downloads 36 (489,016)
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Credibility, dynamic general equilibrium model, international CAPM, sample selectivity, peso problems

22.

Foreigners Trading and Price Effects Across Firms

Number of pages: 30 Posted: 19 Nov 2001
Magnus Dahlquist and Göran Robertsson
Stockholm School of Economics and Swedish National Debt Office
Downloads 19 (585,797)
Citation 5
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Feedback trading, momentum, portfolio flows

23.

Pseudo Market Timing: Fact or Fiction?

Number of pages: 39 Posted: 28 Oct 2004
Magnus Dahlquist and Frank De Jong
Stockholm School of Economics and Tilburg University - Department of Finance
Downloads 15 (612,225)
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Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

24.

International Bond Risk Premia

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc
Posted: 01 Jul 2015 Last Revised: 13 Aug 2015
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN

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bond risk premia, interest rates, local and global factors, predictability