Johan Walden

University of Lausanne

Lausanne, Vaud CH-1015

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

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

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 13,069

SSRN RANKINGS

Top 13,069

in Total Papers Downloads

3,570

CITATIONS
Rank 10,514

SSRN RANKINGS

Top 10,514

in Total Papers Citations

40

Scholarly Papers (23)

1.

Investor Networks in the Stock Market

AFA 2012 Chicago Meetings Paper
Number of pages: 44 Posted: 14 Mar 2011
Koc University - College of Administrative Sciences and Economics, University of Lausanne, Purdue University - Krannert School of Management and Borsa Istanbul (Istanbul Stock Exchange)
Downloads 521 (51,611)
Citation 22

Abstract:

Loading...

Information Networks, Heterogeneous Investors, Portfolio Choice, Power Law

2.

Real Investments Under Knightian Uncertainty

Yale ICF Working Paper No. 04-08
Number of pages: 84 Posted: 27 Feb 2004
Johan Walden
University of Lausanne
Downloads 474 (58,193)

Abstract:

Loading...

3.

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
Yale School of Management - International Center for Finance, University of Lausanne, Yale University - Department of Mathematics and Yale University - Department of Mathematics
Downloads 461 (60,205)
Citation 3

Abstract:

Loading...

4.
Downloads 137 ( 78,540)
Citation 2

Social Transmission Bias and Investor Behavior

Rotman School of Management Working Paper No. 3053655
Number of pages: 66 Posted: 16 Oct 2017 Last Revised: 03 Jun 2019
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 Lausanne
Downloads 137 (207,476)

Abstract:

Loading...

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 Lausanne
Downloads 249 (120,627)
Citation 1

Abstract:

Loading...

6.

Asset Pricing in Large Information Networks

Number of pages: 43 Posted: 05 Mar 2009 Last Revised: 29 Jun 2012
Han N. Ozsoylev and Johan Walden
Koc University - College of Administrative Sciences and Economics and University of Lausanne
Downloads 244 (123,144)
Citation 31

Abstract:

Loading...

Information networks, noisy rational expectations equilibrium, power law

7.

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

Number of pages: 47 Posted: 07 Feb 2015 Last Revised: 13 Aug 2018
Johan Walden
University of Lausanne
Downloads 203 (147,225)
Citation 9

Abstract:

Loading...

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

8.

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 Lausanne
Downloads 200 (149,221)
Citation 33

Abstract:

Loading...

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

9.

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 Lausanne
Downloads 178 (165,991)
Citation 4

Abstract:

Loading...

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

Visibility Bias in the Transmission of Consumption Beliefs and Undersaving

Rotman School of Management Working Paper No. 2798638
Number of pages: 58 Posted: 23 Jun 2016 Last Revised: 02 Jun 2019
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 Lausanne
Downloads 158 (184,343)
Citation 5

Abstract:

Loading...

visibility bias, overconsumption, saving, behavioral economics, social influence, social learning

Visibility Bias in the Transmission of Consumption Beliefs and Undersaving

NBER Working Paper No. w25566
Number of pages: 59 Posted: 19 Feb 2019
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 Lausanne
Downloads 5 (629,504)
Citation 3
  • Add to Cart

Abstract:

Loading...

11.

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 Lausanne
Downloads 151 (191,207)
Citation 20

Abstract:

Loading...

Recovery theorem, asset pricing

12.

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 Lausanne
Downloads 151 (191,207)
Citation 7

Abstract:

Loading...

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

13.

The Term Structure in an Exchange Economy with Two Trees

Number of pages: 35 Posted: 23 Jan 2009 Last Revised: 22 Mar 2011
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of Lausanne
Downloads 137 (206,859)
Citation 2

Abstract:

Loading...

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

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
Indiana University - Kelley School of Business - Department of Finance and University of Lausanne
Downloads 95 (269,635)
Citation 2

Abstract:

Loading...

Speculation, heterogeneous beliefs, mispricing, investments, welfare

15.

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
McGill University - Desautels Faculty of Management, Sveriges Riksbank - Research Division, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 72 (318,824)
Citation 30

Abstract:

Loading...

16.

Industrial Asset Pricing with Endogenous Business Cycles

Number of pages: 36 Posted: 29 Nov 2011 Last Revised: 17 Jul 2014
Stockholm School of Economics - Department of Finance, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 58 (356,551)

Abstract:

Loading...

17.

Markup Cycles, Dynamic Misallocation, and Amplification

Journal of Economic Theory, Forthcoming
Number of pages: 49 Posted: 11 Jul 2014
Stockholm School of Economics - Department of Finance, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 34 (441,389)
Citation 6

Abstract:

Loading...

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

18.

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 Lausanne
Downloads 32 (449,922)
Citation 29

Abstract:

Loading...

19.

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 Lausanne
Downloads 6 (596,005)
  • Add to Cart

Abstract:

Loading...

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
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 3 (645,638)
  • Add to Cart

Abstract:

Loading...

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
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne
Downloads 1 (671,144)
Citation 11
  • Add to Cart

Abstract:

Loading...

21.

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 Lausanne and University of California, Berkeley - Real Estate Group

Abstract:

Loading...

22.

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 Lausanne
Downloads 0 (657,341)
  • Add to Cart

Abstract:

Loading...

23.

Nondiversification Traps in Catastrophe Insurance Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 959-993, 2009
Posted: 17 Mar 2009
Harvard University - Department of Economics, University of California, Berkeley - Finance Group and University of Lausanne

Abstract:

Loading...

Other Papers (1)

Total Downloads: 70    Citations: 0
1.

The Long-Term Discount Rate

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 19 Feb 2009 Last Revised: 14 Jul 2009
University of California, Berkeley - Finance Group, University of California, Berkeley - Haas School of Business and University of Lausanne
Downloads 70

Abstract:

Loading...

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