Niels Joachim Gormsen

University of Chicago - Booth School of Business

Assistant Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

  • University of Chicago - Booth School of Business

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 24,109

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21

CROSSREF CITATIONS

11

Scholarly Papers (6)

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1.

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

Downloads 7,011 ( 882)
Citation 10

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 7,009 (876)
Citation 5

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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
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (701,762)
Citation 6
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

2.

Coronavirus: Impact on Stock Prices and Growth Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22
Number of pages: 27 Posted: 17 Mar 2020 Last Revised: 27 Mar 2020
Niels Joachim Gormsen and Ralph S. J. Koijen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 2,663 (4,953)

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3.

Time Variation of the Equity Term Structure

Number of pages: 65 Posted: 21 Jun 2017 Last Revised: 03 Oct 2019
Niels Joachim Gormsen
University of Chicago - Booth School of Business
Downloads 1,112 (19,625)
Citation 6

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asset pricing, equity term structure, time varying discount rates

4.

Duration-Driven Returns

Number of pages: 57 Posted: 14 Jun 2019 Last Revised: 02 Jan 2020
Niels Joachim Gormsen and Eben Lazarus
University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 758 (34,055)
Citation 2

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asset pricing, cross-section of stock returns, cash-flow growth, duration, survey expectations, dividend strips

5.

Higher-Moment Risk

Number of pages: 62 Posted: 15 Nov 2017 Last Revised: 19 Feb 2020
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago - Booth School of Business and Bocconi University
Downloads 615 (45,006)
Citation 3

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asset pricing, financial economics, higher order moments, tail risk

6.

Conditional Risk in Global Stock Returns

Number of pages: 73 Posted: 16 Nov 2017 Last Revised: 09 Jan 2020
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago - Booth School of Business and Bocconi University
Downloads 360 (86,754)

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Asset Pricing, Conditional CAPM, Factor Models, Time-Varying Discount Rates