Frederik Lundtofte

Lund University - Department of Economics

P.O. Box 7082

Lund

Sweden

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

SCHOLARLY PAPERS

20

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1,957

SSRN CITATIONS
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Top 26,622

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6

CROSSREF CITATIONS

24

Scholarly Papers (20)

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 252 (131,489)

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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 (589,204)
Citation 1
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2.

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

Number of pages: 55 Posted: 20 Dec 2013 Last Revised: 19 Nov 2019
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 203 (162,664)
Citation 3

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Households’ stock ownership, institutional quality, trust, immigration, direct and indirect effects, learning ability

3.

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 197 (167,253)
Citation 2

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

4.

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 192 (171,201)
Citation 1

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

5.

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 144 (219,133)
Citation 2

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

6.

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 141 (222,870)
Citation 1

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Learning, incomplete information, equilibrium, asset pricing models

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 122 (249,231)
Citation 2

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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 119 (255,018)

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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 (722,035)
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9.

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 113 (263,589)

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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 82 (325,036)

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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 78 (334,713)
Citation 2

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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 77 (337,314)

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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 69 (358,546)

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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 46 (433,964)

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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, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 36 (475,512)
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 32 (494,345)

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Common value auctions, informativeness, stochastic dominance

17.

Foreign and Domestic Loans over the Business Cycle

Number of pages: 41 Posted: 27 Mar 2019 Last Revised: 13 Feb 2020
Lund University - Department of Economics, Lund University - Department of Economics, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 29 (509,699)

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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 (671,842)
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19.

The Effect of Stricter Capital Regulation on Banks’ Risk‐Taking: Theory and Evidence

European Financial Management, Vol. 25, Issue 5, pp. 1229-1248, 2019
Number of pages: 20 Posted: 19 May 2020
Frederik Lundtofte and Caren Yinxia Nielsen
Lund University - Department of Economics and Copenhagen Business School - Center for Corporate Governance
Downloads 0 (720,567)
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Banks, Asset risk, credit risk, portfolio choice, risk‐based capital regulation G11

20.

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