Niels Joachim Gormsen

Copenhagen Business School - Department of Finance, Students

PhD Student

Frederiksberg

Denmark

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 62 Posted: 08 Feb 2017 Last Revised: 30 Jun 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, Copenhagen Business School - Department of Finance, Students and AQR Capital Management, LLC
Downloads 5,705 (1,009)

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asset pricing, leverage constraints, lottery demand, margin, sentiment

Betting Against Correlation: Testing Theories of the Low-Risk Effect

CEPR Discussion Paper No. DP12686
Number of pages: 65 Posted: 14 Feb 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, Copenhagen Business School - Department of Finance, Students and AQR Capital Management, LLC
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

2.

Conditional Risk

Number of pages: 67 Posted: 16 Nov 2017 Last Revised: 26 Jan 2018
Niels Joachim Gormsen and Christian Skov Jensen
Copenhagen Business School - Department of Finance, Students and Copenhagen Business School - Department of Finance
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Asset Pricing, Conditional CAPM, Factor Models, Time-Varying Discount Rates

3.

Higher-Moment Risk

Number of pages: 60 Posted: 15 Nov 2017
Niels Joachim Gormsen and Christian Skov Jensen
Copenhagen Business School - Department of Finance, Students and Copenhagen Business School - Department of Finance
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asset pricing, financial economics, higher order moments, tail risk

4.

Time Variation of the Equity Term Structure

Number of pages: 80 Posted: 21 Jun 2017 Last Revised: 24 Jan 2018
Niels Joachim Gormsen
Copenhagen Business School - Department of Finance, Students
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asset pricing, equity term structure, time varying discount rates