Theis Ingerslev Jensen

Yale University

493 College St

New Haven, CT CT 06520

United States

SCHOLARLY PAPERS

5

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Top 2,170

in Total Papers Downloads

30,049

TOTAL CITATIONS
Rank 4,079

SSRN RANKINGS

Top 4,079

in Total Papers Citations

86

Scholarly Papers (5)

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1.

Is There a Replication Crisis in Finance?

Downloads 15,930 ( 555)
Citation 72

Is There a Replication Crisis in Finance?

NYU Stern School of Business Forthcoming
Number of pages: 106 Posted: 05 Mar 2021 Last Revised: 07 Mar 2022
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 15,632 (559)

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Asset Pricing, Factors, Data Mining, Replication, Multiple Testing, External Validity, Empirical Bayes, Bayesian Statistics

Is There a Replication Crisis in Finance?

NBER Working Paper No. w28432
Number of pages: 54 Posted: 08 Feb 2021 Last Revised: 10 Mar 2023
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 298 (215,860)
Citation 72

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2.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 88 Posted: 18 Aug 2022 Last Revised: 24 Jul 2024
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale University, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 8,198 (1,701)
Citation 12

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asset pricing, machine learning, transaction costs, economic significance, investments

3.

In Search of the True Greenium

Number of pages: 93 Posted: 04 Apr 2024 Last Revised: 08 Jan 2025
Marc Eskildsen, Markus Ibert, Theis Ingerslev Jensen and Lasse Heje Pedersen
Copenhagen Business School - Department of Finance, Copenhagen Business School - Department of Finance, Yale University and AQR Capital Management, LLC
Downloads 3,170 (8,517)

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Greenium, cost of capital, ESG, replication, climate, sustainable finance

4.

Big Data Asset Pricing: Exercises

Number of pages: 14 Posted: 24 Apr 2022 Last Revised: 27 Apr 2023
Theis Ingerslev Jensen and Lasse Heje Pedersen
Yale University and AQR Capital Management, LLC
Downloads 1,910 (18,823)

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5.

Subjective Risk and Return

Number of pages: 78 Posted: 22 Nov 2022 Last Revised: 15 Aug 2024
Theis Ingerslev Jensen
Yale University
Downloads 841 (62,398)
Citation 2

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Asset pricing, asset pricing models, equity factors, subjective risk, mispricing, optimism bias JEL Codes: G4, G11, G12, G14