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Johan Walden

University of California, Berkeley - Finance Group

Assistant Professor

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

http://www.haas.berkeley.edu/faculty/walden.html

  • University of California, Berkeley - Finance Group

    • Email
    • Tel: (510) 643-0547
SCHOLARLY PAPERS

22

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3,163

CITATIONS
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40

Scholarly Papers (22)

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1.

Real Investments Under Knightian Uncertainty

Yale ICF Working Paper No. 04-08
Number of pages: 84 Posted: 27 Feb 2004
Johan Walden
University of California, Berkeley - Finance Group
Downloads 456 (53,372)
Citation 1

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2.

Beauty is in the Bid of the Beholder: An Empirical Basis for Style

Yale ICF Working Paper No. 04-46
Number of pages: 32 Posted: 17 Nov 2004
William N. Goetzmann, Johan Walden, Mauro M. Maggioni and Peter Jones
Yale School of Management - International Center for Finance, University of California, Berkeley - Finance Group, Yale University - Department of Mathematics and Yale University - Department of Mathematics
Downloads 438 (55,234)

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3.

Investor Networks in the Stock Market

AFA 2012 Chicago Meetings Paper
Number of pages: 44 Posted: 14 Mar 2011
Han N. Özsöylev, Johan Walden, M. Deniz Yavuz and Recep Bildik
Koc University - College of Administrative Sciences and Economics, University of California, Berkeley - Finance Group, Purdue University - Krannert School of Management and Borsa Istanbul (Istanbul Stock Exchange)
Downloads 379 (50,329)
Citation 1

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Information Networks, Heterogeneous Investors, Portfolio Choice, Power Law

4.

Social Transmission Bias and Investor Behavior

Downloads 81 ( 92,424)

Social Transmission Bias and Investor Behavior

Rotman School of Management Working Paper No. 3053655
Number of pages: 66 Posted: 16 Oct 2017 Last Revised: 19 Jan 2018
Bing Han, David A. Hirshleifer and Johan Walden
University of Toronto, Rotman School of Management, University of California, Irvine - Paul Merage School of Business and University of California, Berkeley - Finance Group
Downloads 81 (277,036)

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capital markets, behavioral finance, active investing, social networks, thought contagion, transmission bias

5.

Value at Risk Under Dependence and Heavy-Tailedness: Models with Common Shocks

Harvard Institute of Economic Research Discussion Paper No. 2139
Number of pages: 38 Posted: 10 Oct 2007
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of California, Berkeley - Finance Group
Downloads 235 (110,287)

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6.

Asset Pricing in Large Information Networks

Number of pages: 43 Posted: 05 Mar 2009 Last Revised: 29 Jun 2012
Han N. Özsöylev and Johan Walden
Koc University - College of Administrative Sciences and Economics and University of California, Berkeley - Finance Group
Downloads 201 (117,013)
Citation 9

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Information networks, noisy rational expectations equilibrium, power law

7.

The Limits of Diversification When Losses May Be Large

Harvard Institute of Economic Research Discussion Paper No. 2104
Number of pages: 36 Posted: 03 Feb 2006
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of California, Berkeley - Finance Group
Downloads 183 (139,917)
Citation 15

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value at risk, coherent measures of risk, heavy-tailed risks, portfolios, riskiness, diversification, catastrophe insurance, risk bounds

8.

Portfolio Diversification Under Local, Moderate and Global Deviations from Power Laws

Harvard Institute of Economic Research Discussion Paper No. 2116
Number of pages: 23 Posted: 22 Mar 2006
Rustam Ibragimov and Johan Walden
Harvard University - Department of Economics and University of California, Berkeley - Finance Group
Downloads 146 (176,513)
Citation 4

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heavy-tailed risks, nonlinear transformations, portfolios, diversification, riskiness, value at risk, coherent measures of risk, risk bounds, robustness, Pareto-type distributions, power laws, local, moderate and global deviations

9.

The Term Structure in an Exchange Economy with Two Trees

Number of pages: 35 Posted: 23 Jan 2009 Last Revised: 22 Mar 2011
Christine A. Parlour, Richard Stanton and Johan Walden
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Finance Group
Downloads 120 (194,642)
Citation 1

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Term structure, yield curve, risk-free rate puzzle, two trees, Lucas model, asset pricing

10.

Recovery with Unbounded Diffusion Processes

Review of Finance, Forthcoming
Number of pages: 49 Posted: 12 Oct 2014 Last Revised: 04 Nov 2016
Johan Walden
University of California, Berkeley - Finance Group
Downloads 60 (180,496)
Citation 2

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Recovery theorem, asset pricing

11.

Hedging Labor Income Risk

Riksbank Research Paper Series No. 86, Sveriges Riksbank Working Paper Series No. 255
Number of pages: 48 Posted: 23 Feb 2012
Sebastien Betermier, Thomas Jansson, Christine A. Parlour and Johan Walden
McGill University - Desautels Faculty of Management, Sveriges Riksbank - Research Division, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
Downloads 50 (308,234)

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12.

Trading, Profits, and Volatility in a Dynamic Information Network Model

Number of pages: 58 Posted: 07 Feb 2015
Johan Walden
University of California, Berkeley - Finance Group
Downloads 49 (169,873)

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Information diffusion, information networks, heterogeneous investors, portfolio choice, asset pricing, trading volume

13.

Industrial Asset Pricing with Endogenous Business Cycles

Number of pages: 36 Posted: 29 Nov 2011 Last Revised: 17 Jul 2014
Marcus M. Opp, Christine A. Parlour and Johan Walden
Stockholm School of Economics - Department of Finance, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
Downloads 48 (331,925)

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14.

Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs

Number of pages: 38 Posted: 07 Feb 2015
Christian Heyerdahl-Larsen and Johan Walden
London Business School - Department of Finance and University of California, Berkeley - Finance Group
Downloads 34 (266,653)

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Speculation, heterogeneous beliefs, mispricing, investments, welfare

15.

Limited Capital Market Participation and Human Capital Risk

NBER Working Paper No. w15709
Number of pages: 33 Posted: 01 Feb 2010 Last Revised: 23 Mar 2010
Jonathan Berk and Johan Walden
Stanford Graduate School of Business and University of California, Berkeley - Finance Group
Downloads 24 (420,913)
Citation 5

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16.

Markup Cycles, Dynamic Misallocation, and Amplification

Journal of Economic Theory, Forthcoming
Number of pages: 49 Posted: 11 Jul 2014
Marcus M. Opp, Christine A. Parlour and Johan Walden
Stockholm School of Economics - Department of Finance, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
Downloads 19 (429,731)

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Oligopolistic Competition, Markup Cycles, Allocative Efficiency, Dynamic Games, DSGE Models

17.

Pricing and Capital Allocation for Multiline Insurance Firms

Downloads 3 (564,895)
Citation 2

Pricing and Capital Allocation for Multiline Insurance Firms

Journal of Risk and Insurance, Vol. 77, No. 3, pp. 551-578, September 2010
Number of pages: 28 Posted: 04 Aug 2010
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
Downloads 3 (591,795)
Citation 2
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Pricing and Capital Allocation for Multiline Insurance Firms

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 551-578, 2010
Number of pages: 28 Posted: 08 Mar 2018
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
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Citation 2
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18.

Social Transmission Bias and Investor Behavior

NBER Working Paper No. w24281
Number of pages: 67 Posted: 05 Feb 2018
Bing Han, David A. Hirshleifer and Johan Walden
University of Toronto, Rotman School of Management, University of California, Irvine - Paul Merage School of Business and University of California, Berkeley - Finance Group
Downloads 0 (572,433)
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19.

Making Money: Commercial Banks, Liquidity Transformation and the Payment System

Ross School of Business Paper No. 1337
Number of pages: 34 Posted: 03 Jan 2017 Last Revised: 18 Dec 2017
Christine A. Parlour, Uday Rajan and Johan Walden
University of California, Berkeley - Finance Group, Stephen M. Ross School of Business, University of Michigan and University of California, Berkeley - Finance Group
Downloads 0 (204,422)

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Payment Systems, Bank Lending, Digital Claims, FinTech, liquidity flows

20.

The Industrial Organization of the US Residential Mortgage Market

Annual Review of Financial Economics, Vol. 6, pp. 259-288, 2014
Posted: 25 Nov 2014
Richard Stanton, Johan Walden and Nancy Wallace
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Finance Group and University of California, Berkeley - Real Estate Group

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21.

Optimal Insurance with Costly Internal Capital

Risk Management and Insurance Review, Vol. 17, Issue 2, pp. 137-161, 2014
Number of pages: 25 Posted: 16 Sep 2014
Dwight M. Jaffee and Johan Walden
University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group
Downloads 0 (597,214)
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22.

Nondiversification Traps in Catastrophe Insurance Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 959-993, 2009
Posted: 17 Mar 2009
Rustam Ibragimov, Dwight M. Jaffee and Johan Walden
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of California, Berkeley - Finance Group

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Other Papers (1)

Total Downloads: 69    Citations: 0
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1.

The Long-Term Discount Rate

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 19 Feb 2009 Last Revised: 14 Jul 2009
Christine A. Parlour, Richard Stanton and Johan Walden
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of California, Berkeley - Finance Group
Downloads 69

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Term structure, yield curve, risk-free rate puzzle, two trees, Lucas model, asset pricing