Magnus Dahlquist

Stockholm School of Economics

Drottninggatan 98

Stockholm, SE-111 60

Sweden

Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

  • Stockholm School of Economics

  • Swedish House of Finance

SCHOLARLY PAPERS

31

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271

Scholarly Papers (31)

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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 6,415 (2,415)
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

2.

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 2,106 (15,105)
Citation 32

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

3.

Dynamic Trading Strategies and Portfolio Choice

Downloads 1,826 (18,964)

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 1,569 (23,516)

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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 2022
Ravi Bansal, Campbell R. Harvey and Magnus Dahlquist
Duke University and NBER, Duke University - Fuqua School of Business and Stockholm School of Economics
Downloads 257 (235,392)

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4.

Individual Investor Activity and Performance

Downloads 1,502 (25,540)
Citation 13

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 - Department of Finance and University of St. Gallen
Downloads 628 (84,383)

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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 - Department of Finance and University of St. Gallen
Downloads 430 (134,598)

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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 - Department of Finance and University of St. Gallen
Downloads 239 (253,104)
Citation 2

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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 - Department of Finance and University of St. Gallen
Downloads 196 (305,606)
Citation 2

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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 - Department of Finance and University of St. Gallen
Downloads 9 (1,183,340)
Citation 9
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401(k), Coordinated fund changes, Financial advisors, Fire sales

5.

Corporate Governance, Investor Protection, and the Home Bias

Tuck-JQFA Contemporary Corporate Governance Issues II Conference
Number of pages: 48 Posted: 30 Jul 2002
Magnus Dahlquist, Lee Pinkowitz, René M. Stulz and Rohan Williamson
Stockholm School of Economics, Georgetown University - Department of Finance, Ohio State University (OSU) - Department of Finance and Georgetown University - McDonough School of Business
Downloads 1,338 (30,328)
Citation 63

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6.

Equity Return Expectations and Portfolios: Evidence from Large Asset Managers

Swedish House of Finance Research Paper No. 21-1
Number of pages: 99 Posted: 14 Jan 2021 Last Revised: 28 Dec 2023
Magnus Dahlquist and Markus Ibert
Stockholm School of Economics and Copenhagen Business School - Department of Finance
Downloads 1,271 (32,645)
Citation 4

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Asset management, beliefs, expectations formation, semi-elasticity of demand

7.

An Evaluation of International Asset Pricing Models

Downloads 1,085 (41,031)
Citation 21

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 1,043 (42,777)
Citation 21

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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 42 (836,733)
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Characteristics, conditional information, foreign exchange risk, HML, SMB, world CAPM

8.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 71 Posted: 14 Dec 2016 Last Revised: 14 Apr 2021
Magnus Dahlquist and Julien Pénasse
Stockholm School of Economics and University of Luxembourg
Downloads 912 (52,382)
Citation 6

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

9.

International Bond Risk Premia

Downloads 876 (55,378)
Citation 24

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 501 (112,045)
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 375 (157,510)
Citation 19

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

10.

On the Asset Allocation of a Default Pension Fund

Downloads 688 (76,478)
Citation 9

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 434 (133,842)

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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 253 (239,067)

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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
Downloads 1 (1,288,060)
Citation 9
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age-based investing, default fund, life-cycle model, pension plan design

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 661 (80,155)
Citation 12

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

12.

Hedge Funds and Prime Broker Risk

Swedish House of Finance Research Paper No. 19-8
Number of pages: 51 Posted: 19 Jun 2019 Last Revised: 04 Jun 2024
Magnus Dahlquist, Simon Rottke, Valeri Sokolovski and Erik Sverdrup
Stockholm School of Economics, University of Amsterdam - Finance Group, University of Alberta - School of Business and Stanford University
Downloads 651 (81,714)
Citation 4

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Hedge funds, financial intermediary risk, prime brokers, systematic risk, idiosyncratic risk.

13.

Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?

Downloads 599 (90,835)
Citation 2

Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?

Swedish House of Finance Research Paper No. 20-4
Number of pages: 109 Posted: 10 Feb 2020 Last Revised: 13 Jan 2024
Magnus Dahlquist, Markus Ibert and Felix Wilke
Stockholm School of Economics, Copenhagen Business School - Department of Finance and Nova School of Business and Economics
Downloads 596 (90,226)

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Alpha, expectations formation, mutual funds

Expectations of Active Mutual Fund Performance

CEPR Discussion Paper No. DP15548
Number of pages: 68 Posted: 23 Dec 2020
Magnus Dahlquist, Markus Ibert and Felix Wilke
Stockholm School of Economics, Copenhagen Business School - Department of Finance and Nova School of Business and Economics
Downloads 3 (1,260,921)
Citation 2
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14.

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 529 (106,162)
Citation 4

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

15.

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 496 (114,826)
Citation 10

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

16.

International Capital Markets and Wealth Transfers

Downloads 478 (119,940)
Citation 2

International Capital Markets and Wealth Transfers

Swedish House of Finance Research Paper No. 22-15
Number of pages: 78 Posted: 27 Apr 2022 Last Revised: 24 Jun 2023
Magnus Dahlquist, Christian Heyerdahl-Larsen, Anna Pavlova and Julien Pénasse
Stockholm School of Economics, BI Norwegian Business School, London Business School and University of Luxembourg
Downloads 477 (118,845)
Citation 2

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Currency risk premium, habit formation, net foreign assets, wealth transfers

International Capital Markets and Wealth Transfers

CEPR Discussion Paper No. DP17334
Number of pages: 61 Posted: 23 Jun 2022
Magnus Dahlquist, Christian Heyerdahl-Larsen, Anna Pavlova and Julien Pénasse
Stockholm School of Economics, BI Norwegian Business School, London Business School and Universite du Luxembourg
Downloads 1 (1,288,060)
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currency risk premium, Habit formation, Net Foreign Assets, wealth transfers

17.

An anatomy of currency strategies: The role of emerging markets *

Downloads 470 (123,028)

An anatomy of currency strategies: The role of emerging markets *

Number of pages: 88 Posted: 23 Apr 2024
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 462 (124,126)

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JEL classification codes: F31, G12, G15 Currency risk premiums, factor models, mean-variance efficiency

An Anatomy of Currency Strategies: The Role of Emerging Markets

NBER Working Paper No. w32900
Number of pages: 89 Posted: 10 Sep 2024
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 8 (1,196,130)
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18.

Individual Forecasts of Exchange Rates

Downloads 448 (129,558)
Citation 1

Individual Forecasts of Exchange Rates

Swedish House of Finance Research Paper No. 22-06
Number of pages: 37 Posted: 09 Feb 2022 Last Revised: 23 Jan 2023
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 374 (157,943)

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Beliefs, currencies, expectations, foreign exchange rates, predictability

Individual Forecasts of Exchange Rates

Number of pages: 48 Posted: 28 Jan 2023 Last Revised: 19 Jan 2024
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 74 (640,473)
Citation 1

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Beliefs, currencies, expectations, foreign exchange rates, predictability

19.

Direct Evidence of Dividend Tax Clienteles

Downloads 409 (144,178)
Citation 10

Direct Evidence of Dividend Tax Clienteles

Number of pages: 29 Posted: 20 Nov 2006 Last Revised: 02 Mar 2022
Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist
Stockholm School of Economics, Swedish House of Finance at Stockholm School of Economics and State University of New York at Binghamton - School of Management
Downloads 384 (153,364)
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 House of Finance at Stockholm School of Economics and State University of New York at Binghamton - School of Management
Downloads 25 (992,382)
Citation 5
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Capital gains tax, dividend tax clienteles, stock ownership, tax incidence

20.

Asymmetries and Portfolio Choice

Downloads 300 (202,831)
Citation 5

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 298 (202,866)

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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 2 (1,274,032)
Citation 5
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Asset allocation, Downside risk

21.

Currency Risk Premiums: A Multi-Horizon Perspective

Downloads 277 (219,675)

Currency Risk Premiums: A Multi-Horizon Perspective

Number of pages: 65 Posted: 26 Jun 2023 Last Revised: 17 Jul 2023
Mikhail Chernov and Magnus Dahlquist
UCLA Anderson and Stockholm School of Economics
Downloads 266 (227,346)

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Bond return, bond risk premium, currency excess return, currency risk premium, expectations hypothesis, foreign exchange rate, forward exchange rate, monetary policy, nominal exchange rate, present-value approach, real exchange rate, spot exchange rate, stochastic discount factor, uncovered interest

Currency Risk Premiums: A Multi-Horizon Perspective

NBER Working Paper No. w31418
Number of pages: 66 Posted: 03 Jul 2023 Last Revised: 19 Jul 2023
Mikhail Chernov and Magnus Dahlquist
UCLA Anderson and Stockholm School of Economics
Downloads 11 (1,158,017)
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22.

Institutions' Return Expectations across Assets and Time

Number of pages: 48 Posted: 17 Jun 2024 Last Revised: 13 Nov 2024
Magnus Dahlquist and Markus Ibert
Stockholm School of Economics and Copenhagen Business School - Department of Finance
Downloads 271 (224,456)

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Beliefs, expectations formation, institutional investors G11, G12, H23

23.

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 265 (229,584)
Citation 3

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

24.

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 House of Finance at Stockholm School of Economics
Downloads 252 (241,348)
Citation 3

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Feedback Trading, Momentum, Portfolio Flows

25.

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 168 (351,726)

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26.

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 - Department of Finance
Downloads 163 (360,975)
Citation 7

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Flows, Inertia, Pension Plan Design, Performance, Redemptions

27.

Pricing Currency Risks

Downloads 87 (574,755)
Citation 18

Pricing Currency Risks

NBER Working Paper No. w28260
Number of pages: 51 Posted: 21 Mar 2021 Last Revised: 15 May 2023
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 85 (590,059)

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Pricing Currency Risks

CEPR Discussion Paper No. DP15571
Number of pages: 57 Posted: 23 Dec 2020 Last Revised: 11 Feb 2021
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 2 (1,274,032)
Citation 18
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28.

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 37 (854,172)
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Credibility, dynamic general equilibrium model, international CAPM, sample selectivity, peso problems

29.

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 House of Finance at Stockholm School of Economics
Downloads 20 (1,015,285)
Citation 6
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Feedback trading, momentum, portfolio flows

30.

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 16 (1,060,080)
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Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

31.

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