Niels Joachim Gormsen

University of Chicago, Booth School of Business

Assistant Professor of Finance

Chicago

United States

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
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
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