Magnus Dahlquist

Stockholm School of Economics

Drottninggatan 98

Stockholm, SE-111 60

Sweden

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 2,112

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12,916

CITATIONS
Rank 978

SSRN RANKINGS

Top 978

in Total Papers Citations

553

Scholarly Papers (21)

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 4,496 (1,172)
Citation 5

Abstract:

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

2.
Downloads 1,531 ( 8,591)
Citation 11

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 1,423 (9,458)
Citation 11

Abstract:

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
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 108 (208,211)
Citation 11

Abstract:

3.

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 1,206 (12,121)
Citation 405

Abstract:

4.
Downloads 968 ( 17,685)
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 928 (18,480)
Citation 10

Abstract:

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

An Evaluation of International Asset Pricing Models

CEPR Discussion Paper No. 3145
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 (360,570)
Citation 10

Abstract:

Characteristics, conditional information, foreign exchange risk, HML, SMB, world CAPM

5.
Downloads 876 ( 20,519)
Citation 2

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 467 (47,666)
Citation 2

Abstract:

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 173 (141,639)
Citation 2

Abstract:

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 137 (173,230)
Citation 2

Abstract:

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 90 (236,339)
Citation 2

Abstract:

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 (516,199)
Citation 2

Abstract:

401(k), Coordinated fund changes, Financial advisors, Fire sales

6.
Downloads 593 ( 35,453)
Citation 5

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 Lynx Asset Management
Downloads 299 (81,100)
Citation 5

Abstract:

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 Lynx Asset Management
Downloads 294 (82,728)
Citation 5

Abstract:

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

7.

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 430 (51,476)
Citation 7

Abstract:

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

8.
Downloads 330 ( 73,129)
Citation 6

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 306 (78,986)
Citation 6

Abstract:

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 (430,755)
Citation 6

Abstract:

Capital gains tax, dividend tax clienteles, stock ownership, tax incidence

9.

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 282 (71,347)
Citation 28

Abstract:

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

10.
Downloads 236 (105,379)
Citation 1

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 154 (156,928)
Citation 1

Abstract:

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

On the Asset Allocation of a Default Pension Fund

Swedish House of Finance Research Paper No. 16-02
Number of pages: 88 Posted: 10 Jan 2016 Last Revised: 12 Apr 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 82 (250,817)
Citation 1

Abstract:

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
Downloads 0
Citation 1

Abstract:

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

11.

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 222 (108,201)
Citation 4

Abstract:

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

12.

Economic Momentum and Currency Returns

Swedish House of Finance Research Paper No. 16-14
Number of pages: 48 Posted: 18 Mar 2015 Last Revised: 16 Jan 2017
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and Lynx Asset Management
Downloads 214 (39,863)

Abstract:

Foreign exchange rates, predictability, surveys, trend following, trends.

13.
Downloads 182 (135,389)

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, Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 182 (135,269)

Abstract:

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, Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 0

Abstract:

Asset allocation, Downside risk

14.

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 146 (156,730)
Citation 17

Abstract:

Feedback Trading, Momentum, Portfolio Flows

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 112 (202,658)

Abstract:

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

Abstract:

flows, inertia, pension plan design, performance, redemptions

16.

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 111 (185,776)
Citation 24

Abstract:

17.

Sovereign Risk and Return in Global Equity Markets

CEPR Discussion Paper No. 3034
Number of pages: 40 Posted: 20 Nov 2001
Ravi Bansal and Magnus Dahlquist
Duke University and NBER and Stockholm School of Economics
Downloads 36 (367,235)
Citation 7

Abstract:

Credibility, dynamic general equilibrium model, international CAPM, sample selectivity, peso problems

18.

Foreigners Trading and Price Effects Across Firms

CEPR Discussion Paper No. 3033
Number of pages: 30 Posted: 19 Nov 2001
Magnus Dahlquist and Göran Robertsson
Stockholm School of Economics and Swedish National Debt Office
Downloads 19 (443,736)
Citation 12

Abstract:

Feedback trading, momentum, portfolio flows

19.

Pseudo Market Timing: Fact or Fiction?

CEPR Discussion Paper No. 4609
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 (464,225)
Citation 9

Abstract:

Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

20.

The Missing Risk Premium in Exchange Rates

Number of pages: 50 Posted: 14 Dec 2016 Last Revised: 26 Mar 2017
Magnus Dahlquist and Julien Penasse
Stockholm School of Economics and University of Luxembourg
Downloads 0 (170,845)

Abstract:

Currency returns, forward premium puzzle, present-value model, real exchange rates, uncovered interest rate parity.

21.

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 Lynx Asset Management

Abstract:

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