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

8

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SSRN CITATIONS
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Top 13,614

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59

CROSSREF CITATIONS

23

Scholarly Papers (8)

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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 9,580 (588)
Citation 31

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2.

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

Downloads 7,356 ( 925)
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 7,354 (916)
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 (756,582)
Citation 8
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

3.

Time Variation of the Equity Term Structure

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 21 Jun 2017 Last Revised: 24 Aug 2020
Niels Joachim Gormsen
University of Chicago - Booth School of Business
Downloads 1,378 (15,806)
Citation 14

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asset pricing, equity term structure, time varying discount rates

4.

Duration-Driven Returns

Number of pages: 70 Posted: 14 Jun 2019 Last Revised: 06 Nov 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 1,088 (22,483)
Citation 9

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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 723 (40,150)
Citation 7

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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 419 (80,181)

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

7.

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 171 (204,344)

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8.

Equity Factors and Firms’ Perceived Cost of Capital

Number of pages: 55 Posted: 11 Dec 2020
Niels Joachim Gormsen
University of Chicago - Booth School of Business
Downloads 126 (256,555)

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