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

22

DOWNLOADS
Rank 2,151

SSRN RANKINGS

Top 2,151

in Total Papers Downloads

14,194

CITATIONS
Rank 989

SSRN RANKINGS

Top 989

in Total Papers Citations

548

Scholarly Papers (22)

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 4,994 (1,312)
Citation 6

Abstract:

Loading...

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 1,571 ( 9,597)
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 1,454 (10,656)
Citation 11

Abstract:

Loading...

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 117 (219,136)
Citation 11

Abstract:

Loading...

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 1,255 (13,752)
Citation 401

Abstract:

Loading...

4.
Downloads 976 ( 20,281)
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 512 (48,478)
Citation 2

Abstract:

Loading...

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 219 (127,719)
Citation 2

Abstract:

Loading...

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 146 (183,775)
Citation 2

Abstract:

Loading...

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 (263,303)
Citation 2

Abstract:

Loading...

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 (564,998)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

5.
Downloads 976 ( 20,159)
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 936 (21,061)
Citation 10

Abstract:

Loading...

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 (399,395)
Citation 10
  • Add to Cart

Abstract:

Loading...

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

6.

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 affiliation not provided to SSRN
Downloads 821 (26,131)

Abstract:

Loading...

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

7.
Downloads 634 ( 36,982)
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 affiliation not provided to SSRN
Downloads 333 (81,295)
Citation 5

Abstract:

Loading...

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 301 (91,143)
Citation 5

Abstract:

Loading...

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

8.

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 448 (57,608)
Citation 7

Abstract:

Loading...

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

9.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 62 Posted: 14 Dec 2016 Last Revised: 29 Nov 2017
Magnus Dahlquist and Julien Penasse
Stockholm School of Economics and University of Luxembourg
Downloads 444 (58,891)

Abstract:

Loading...

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

10.

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 377 (70,886)
Citation 27

Abstract:

Loading...

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

11.
Downloads 368 ( 72,911)
Citation 1

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 188 (147,117)
Citation 1

Abstract:

Loading...

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 180 (153,113)
Citation 1

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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

12.
Downloads 335 ( 81,622)
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 311 (88,162)
Citation 6

Abstract:

Loading...

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 (474,619)
Citation 6
  • Add to Cart

Abstract:

Loading...

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 236 (118,405)
Citation 4

Abstract:

Loading...

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

14.
Downloads 210 (132,680)

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 210 (132,353)

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

Asset allocation, Downside risk

15.

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 158 (171,612)
Citation 17

Abstract:

Loading...

Feedback Trading, Momentum, Portfolio Flows

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 132 (200,101)
Citation 23

Abstract:

Loading...

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 119 (216,378)

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

flows, inertia, pension plan design, performance, redemptions

18.

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 70 (307,996)

Abstract:

Loading...

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

19.

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 (406,641)
Citation 7
  • Add to Cart

Abstract:

Loading...

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

20.

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 (487,572)
Citation 12
  • Add to Cart

Abstract:

Loading...

Feedback trading, momentum, portfolio flows

21.

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 (509,028)
Citation 9
  • Add to Cart

Abstract:

Loading...

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

22.

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

Abstract:

Loading...

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