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

SCHOLARLY PAPERS

20

DOWNLOADS
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2,929

CITATIONS
Rank 10,946

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Top 10,946

in Total Papers Citations

38

Scholarly Papers (20)

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 (49,156)
Citation 1

Abstract:

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
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 (50,634)

Abstract:

3.

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 California, Berkeley - Finance Group, Purdue University - Krannert School of Management and Borsa Istanbul (Istanbul Stock Exchange)
Downloads 379 (51,084)
Citation 1

Abstract:

Information Networks, Heterogeneous Investors, Portfolio Choice, Power Law

4.

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 (101,639)

Abstract:

5.

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 California, Berkeley - Finance Group
Downloads 201 (112,646)
Citation 8

Abstract:

Information networks, noisy rational expectations equilibrium, power law

6.

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 (132,476)
Citation 15

Abstract:

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

7.

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 (163,391)
Citation 4

Abstract:

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

8.

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 - Finance Group and University of California, Berkeley - Finance Group
Downloads 120 (181,306)
Citation 1

Abstract:

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

9.

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 (171,995)
Citation 2

Abstract:

Recovery theorem, asset pricing

10.

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 California, Berkeley - Finance Group
Downloads 50 (298,743)

Abstract:

11.

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 (179,118)

Abstract:

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

12.

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 California, Berkeley - Finance Group
Downloads 48 (311,584)

Abstract:

13.

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 (265,132)

Abstract:

Speculation, heterogeneous beliefs, mispricing, investments, welfare

14.

Limited Capital Market Participation and Human Capital Risk

NBER Working Paper No. w15709
Number of pages: 33 Posted: 01 Feb 2010
Jonathan Berk and Johan Walden
Stanford Graduate School of Business and University of California, Berkeley - Finance Group
Downloads 24 (397,484)
Citation 5

Abstract:

15.

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 California, Berkeley - Finance Group
Downloads 19 (410,807)

Abstract:

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

16.

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 California, Berkeley - Finance Group
Downloads 2 (530,637)
Citation 1
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Abstract:

17.

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

Ross School of Business Paper No. 1337
Number of pages: 36 Posted: 03 Jan 2017 Last Revised: 18 Feb 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 (259,025)

Abstract:

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

18.

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 - Finance Group, University of California, Berkeley - Finance Group and University of California, Berkeley - Real Estate Group

Abstract:

19.

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 (561,066)
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Abstract:

20.

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 California, Berkeley - Finance Group

Abstract:

Other Papers (1)

Total Downloads: 69    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 - Finance Group and University of California, Berkeley - Finance Group
Downloads 69

Abstract:

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