Nydalsveien 37
Oslo, 0442
Norway
BI Norwegian Business School
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return predictability, risk premia, output gap
asset pricing; linear multifactor models; APT; equity risk factors; statistical factors; stock market anomalies; cross-section of stock returns; asymptotic principal components; spanning regressions
value, momentum, global macroeconomic risk
real investment, corporate governance, financial constraints, underinvestment
Asset pricing models; Equity risk factors; Intertemporal CAPM; Predictability of stock returns; Cross-section of stock returns; stock market anomalies
asset pricing models; conditional factor models; conditional CAPM; equity risk factors; investment and profitability risk factors; stock market anomalies; cross-section of stock returns; time-varying betas
asset pricing, stock market anomalies, linear multifactor models, CAPM, cross-section of stock returns, realized return variance, realized return skewness, cross-sectional return moments, ICAPM
Real Investment, Systematic Risk, Real Options, Mispricing, Tobin's q
Irreversible investment, capacity utilization, value premium
State-contingent technology; Time-varying risk aversion; Conditional volatility of investment; Predictability of returns
Tobin's q; Marginal profits-to-q ratio; Investment return; Marginal profit of capital; Variance decomposition; VAR implied predictability; Aggregation bias; Long-horizon regressions; Dividend-to-price ratio; Structural estimation
Discount rates, risk factors, term structure of equity risk premium
Real Investment, Systematic Risk, Mispricing, q-theory, Investment Returns, Cost of Capital, Private Firms, Public Firms
Value Premium, Adjustment Costs, Irreversible Investment, Conditional Factor Loadings
Endogenous truncation bias, Tobin's q, cash flow coefficient, bias correction
Tobin's q; Present-value model; Investment return; Variance decomposition; VAR implied predictability; Aggregation bias; Marginal profit of capital; cross-section of q
Real Investment, Capital Utilization, Expected Returns
E44, G12, G14