Niels Joachim Gormsen

University of Chicago, Booth School of Business

Assistant Professor of Finance

Chicago

United States

  • University of Chicago, Booth School of Business

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

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

Downloads 6,568 ( 903)

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 6,566 (890)

Abstract:

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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 (651,297)
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Abstract:

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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

2.

Time Variation of the Equity Term Structure

Number of pages: 57 Posted: 21 Jun 2017 Last Revised: 05 Dec 2018
Niels Joachim Gormsen
University of Chicago, Booth School of Business
Downloads 884 (25,233)

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asset pricing, equity term structure, time varying discount rates

3.

Higher-Moment Risk

Number of pages: 52 Posted: 15 Nov 2017 Last Revised: 26 Mar 2019
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago, Booth School of Business and Bocconi University
Downloads 478 (57,206)

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

4.

Conditional Risk

Number of pages: 67 Posted: 16 Nov 2017 Last Revised: 21 Dec 2018
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago, Booth School of Business and Bocconi University
Downloads 298 (99,139)

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

5.

Duration-Driven Returns

Number of pages: 44
Niels Joachim Gormsen and Eben Lazarus
University of Chicago, Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 67

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