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

5

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CITATIONS
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in Total Papers Citations

11

Scholarly Papers (5)

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1.

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

Downloads 6,704 ( 894)
Citation 4

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 6,702 (882)
Citation 5

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 (666,657)
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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 937 (23,626)
Citation 2

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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 516 (52,892)
Citation 3

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

4.

Duration-Driven Returns

Number of pages: 44 Posted: 14 Jun 2019
Niels Joachim Gormsen and Eben Lazarus
University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 346 (85,604)
Citation 1

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

5.

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 309 (97,062)

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