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

11

DOWNLOADS
Rank 1,603

SSRN RANKINGS

Top 1,603

in Total Papers Downloads

26,544

SSRN CITATIONS
Rank 12,703

SSRN RANKINGS

Top 12,703

in Total Papers Citations

50

CROSSREF CITATIONS

43

Scholarly Papers (11)

Actions:
Email selected abstracts
1.

Coronavirus: Impact on Stock Prices and Growth Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22
Number of pages: 34 Posted: 17 Mar 2020 Last Revised: 04 Aug 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 11,170 (610)
Citation 39

Abstract:

Loading...

2.

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

Downloads 8,070 ( 1,076)
Citation 13

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 8,068 (1,071)
Citation 5

Abstract:

Loading...

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 (912,865)
Citation 9
  • Add to Cart

Abstract:

Loading...

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

3.

Time Variation of the Equity Term Structure

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 21 Jun 2017 Last Revised: 07 Apr 2021
Niels Joachim Gormsen
University of Chicago - Booth School of Business
Downloads 1,947 (11,803)
Citation 18

Abstract:

Loading...

asset pricing, equity term structure, time varying discount rates

4.

Duration-Driven Returns

Journal of Finance, Forthcoming
Number of pages: 91 Posted: 14 Jun 2019 Last Revised: 20 Jun 2022
Niels Joachim Gormsen and Eben Lazarus
University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,929 (11,967)
Citation 14

Abstract:

Loading...

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

5.

Higher-Moment Risk

Number of pages: 69 Posted: 15 Nov 2017 Last Revised: 25 Jul 2022
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago - Booth School of Business and Bocconi University
Downloads 1,006 (31,935)
Citation 9

Abstract:

Loading...

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

6.

Equity Factors and Firms’ Perceived Cost of Capital

Number of pages: 1 Posted: 11 Dec 2020 Last Revised: 28 Mar 2022
Niels Joachim Gormsen and Kilian Huber
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 764 (46,530)
Citation 1

Abstract:

Loading...

7.

Conditional Risk

Number of pages: 80 Posted: 16 Nov 2017 Last Revised: 21 Jul 2022
Niels Joachim Gormsen and Christian Skov Jensen
University of Chicago - Booth School of Business and Bocconi University
Downloads 580 (66,578)

Abstract:

Loading...

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

8.

Implied Dividend Volatility and Expected Growth

Number of pages: 15 Posted: 23 Dec 2020 Last Revised: 31 Dec 2020
Niels Joachim Gormsen, Ralph S. J. Koijen and Ian Martin
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 526 (75,259)

Abstract:

Loading...

9.

Selfish Corporations

Chicago Booth Research Paper No. 20-51, Chicago Booth: George J. Stigler Center for the Study of the Economy & the State Working Paper No. 305, Fama-Miller Working Paper
Number of pages: 100 Posted: 02 Dec 2020 Last Revised: 27 Sep 2021
Emanuele Colonnelli, Niels Joachim Gormsen and Timothy McQuade
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Stanford University
Downloads 434 (94,699)
Citation 2

Abstract:

Loading...

big business, corporations, information experiment, economic policies, ESG, beliefs, bailouts

10.

Corporate Discount Rates

Number of pages: 59 Posted: 02 Aug 2022
Niels Joachim Gormsen and Kilian Huber
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 67 (482,915)

Abstract:

Loading...

Discount rates, cost of capital, aggregate investment, missing investment, Tobin's Q

11.

Does the Market Understand Time Variation in the Equity Premium?

Number of pages: 62 Posted: 04 Aug 2022
Mihir Gandhi, Niels Joachim Gormsen and Eben Lazarus
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 51 (547,087)

Abstract:

Loading...

asset pricing, expected stock returns, rational expectations, diagnostic expectations, time-varying discount rates