Andreas Johansson

Lund University

Associate Senior Lecturer

Lund University School of Economics and Management

P.O. Box 7080

Lund, 22007

Sweden

http://lusem.lu.se

SCHOLARLY PAPERS

3

DOWNLOADS

1,449

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Tradable Risk Factors for Institutional and Retail Investors

Swedish House of Finance Research Paper No. 20-21
Number of pages: 100 Posted: 24 Sep 2020 Last Revised: 09 Feb 2024
Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni
Lund University, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,225 (32,309)

Abstract:

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Smart beta, factor investing, tradable factors, shorting costs, borrowing fees

2.

Characterizing the Tail-Risk of Factor Mimicking Portfolios

Number of pages: 42 Posted: 30 Jun 2019 Last Revised: 07 Dec 2019
Andreas Johansson
Lund University
Downloads 118 (434,707)
Citation 1

Abstract:

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intertemporal dependency, risk factors, skewness, kurtosis, bootstrap

3.

Bitcoin's Price Alchemy: Unraveling the Influence of Macro Announcements on Volatility and Trading Volume in an Era of Rising Inflation

Number of pages: 45 Posted: 15 Jun 2023
Andreas Johansson and Anders Vilhelmsson
Lund University and Lund University - Department of Economics
Downloads 106 (470,356)

Abstract:

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Bitcoin, Cryptocurrency, Macro announcements, FOMC, CPI, Volume, Volatility, Market microstructure, Intraday patterns