Frederik Lundtofte

Lund University - Department of Economics

P.O. Box 7082

Lund

Sweden

http://www.nek.lu.se/nekflu

SCHOLARLY PAPERS

19

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17

Scholarly Papers (19)

The Effect of Information Quality on Optimal Portfolio Choice

Number of pages: 38 Posted: 10 Jan 2005
Frederik Lundtofte
Lund University - Department of Economics
Downloads 250 (120,900)

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incomplete information, learning, estimation risk, portfolio choice, hedging demands

The Effect of Information Quality on Optimal Portfolio Choice

The Financial Review, Vol. 41, No. 2, pp. 157-185, May 2006
Number of pages: 29 Posted: 20 Nov 2006
Frederik Lundtofte
Lund University - Department of Economics
Downloads 19 (543,383)
Citation 1
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2.

The Quality of Public Information and the Term Structure of Interest Rates

Swiss Finance Institute Research Paper No. 06-24
Number of pages: 40 Posted: 27 Feb 2006 Last Revised: 08 Sep 2011
Frederik Lundtofte
Lund University - Department of Economics
Downloads 195 (154,527)
Citation 2

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learning, information quality, incomplete information, term structure of interest rates

3.

Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth

Number of pages: 18 Posted: 10 Mar 2006 Last Revised: 26 Oct 2009
Frederik Lundtofte
Lund University - Department of Economics
Downloads 191 (157,445)
Citation 1

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parameter uncertainty, option pricing, implied volatility, implied risk aversion

4.

Institutional Quality, Trust and Stock-Market Participation: Learning to Forget

Number of pages: 44 Posted: 20 Dec 2013 Last Revised: 29 Mar 2017
Hossein Asgharian, Lu Liu and Frederik Lundtofte
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University and Lund University - Department of Economics
Downloads 185 (162,113)
Citation 2

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institutional quality, learning, trust, stock-market participation

5.

Can an 'Estimation Factor' Help Explain Cross-Sectional Returns?

Number of pages: 32 Posted: 08 Jan 2005 Last Revised: 13 Jan 2009
Frederik Lundtofte
Lund University - Department of Economics
Downloads 138 (207,903)
Citation 1

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Learning, incomplete information, equilibrium, asset pricing models

6.

The Effect of Stricter Capital Regulation on Banks' Risk-Taking: Theory and Evidence

Number of pages: 44 Posted: 16 Oct 2015 Last Revised: 19 Oct 2018
Frederik Lundtofte and Caren Yinxia Nielsen
Lund University - Department of Economics and Copenhagen Business School - Center for Corporate Governance
Downloads 132 (215,550)

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Banks; asset risk; credit risk; portfolio choice; risk-based capital regulation

7.

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Swiss Finance Institute Research Paper No. 06-23
Number of pages: 45 Posted: 08 Jan 2005
Frederik Lundtofte
Lund University - Department of Economics
Downloads 120 (231,686)
Citation 1

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Learning, incomplete information, equilibrium, hedging demands

Endogenous Acquisition of Information and the Equity Home Bias

Number of pages: 34 Posted: 18 May 2006 Last Revised: 16 Apr 2008
Frederik Lundtofte
Lund University - Department of Economics
Downloads 117 (237,178)

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information acquisition, information costs, equity home bias

Endogenous Acquisition of Information and the Equity Home Bias

Economica, Vol. 76, No. 304, pp. 741-759, October 2009
Number of pages: 19 Posted: 08 Oct 2009
Frederik Lundtofte
Lund University - Department of Economics
Downloads 2 (666,280)
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A Note on the Pricing of IPOs

Number of pages: 9 Posted: 25 Feb 2009 Last Revised: 28 Sep 2009
Frederik Lundtofte
Lund University - Department of Economics
Downloads 112 (243,594)

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IPO underpricing, Monopoly pricing, Fixed-price auction, Risk aversion

10.

Unequal Returns: Using the Atkinson Index to Measure Financial Risk

Number of pages: 61 Posted: 01 Dec 2017 Last Revised: 30 Jan 2019
Thomas Fischer and Frederik Lundtofte
Lund University - School of Economics and Management and Lund University - Department of Economics
Downloads 78 (307,944)

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risk, performance, non-Gaussian distributions, cumulants, hedge funds

11.

Risk Premia: Exact Solutions vs. Log-Linear Approximations

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 28 Jun 2012 Last Revised: 29 Jul 2013
Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 76 (312,671)

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log-linear approximations, equity premium puzzle, cumulants, NIG distribution, long-run risk

12.

Growth Forecasts, Belief Manipulation and Capital Markets

Number of pages: 46 Posted: 27 Mar 2010 Last Revised: 07 Aug 2013
Frederik Lundtofte and Patrick L. Leoni
Lund University - Department of Economics and Kedge Business School
Downloads 75 (315,052)

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social welfare, information, forecasting, asset pricing, heterogeneous beliefs

13.

Banks' Pooling of Corporate Debt: An Application of the Restated Diversification Theorem

Number of pages: 31 Posted: 09 Sep 2010 Last Revised: 03 Oct 2014
Frederik Lundtofte
Lund University - Department of Economics
Downloads 65 (340,625)

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risk pooling, probability of default, default correlation, corporate debt

14.

Loan Pricing over the Business Cycle

Number of pages: 70 Posted: 10 Feb 2017
Jens Forssbæck, Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 41 (418,191)

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Business Cycles, Loan Pricing, Screening, Default Risk

15.

Does the 'Foreignness' of Bank Loans Matter? Evidence from a New Dataset

Number of pages: 36 Posted: 03 Dec 2018
Lund University - Department of Economics, Lund University - Department of Economics, Lund University and Lund University - Department of Economics
Downloads 33 (450,901)
Citation 1

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cross-border lending, syndicated loans

16.

Information, Stochastic Dominance and Bidding: The Case of Treasury Auctions

Number of pages: 13 Posted: 29 Apr 2016 Last Revised: 06 Aug 2016
Patrick L. Leoni and Frederik Lundtofte
Kedge Business School and Lund University - Department of Economics
Downloads 30 (464,796)

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Common value auctions, informativeness, stochastic dominance

17.

Foreign and Domestic Loans over the Business Cycle

Number of pages: 37 Posted: 27 Mar 2019 Last Revised: 07 Jun 2019
Lund University - Department of Economics, Lund University - Department of Economics, Lund University and Lund University - Department of Economics
Downloads 17 (536,500)

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foreign banks, cross-border loans, business cycles

18.

Can an ‘Estimation Factor’ Help Explain Cross-Sectional Returns?

Journal of Business Finance & Accounting, Vol. 36, Issue 5-6, pp. 705-724, June/July 2009
Number of pages: 20 Posted: 13 Oct 2009
Frederik Lundtofte
Lund University - Department of Economics
Downloads 4 (618,022)
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19.

Risk Aversion, Noise and Optimal Investments

Posted: 07 Jun 2015 Last Revised: 22 May 2019
Hjördis Hardardottir and Frederik Lundtofte
Lund University and Lund University - Department of Economics

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noisy-market hypothesis, portfolio choice