Erik Hjalmarsson

University of Gothenburg - Centre for Finance

Box 640

Gothenburg, 403 50

Sweden

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 2,074

SSRN RANKINGS

Top 2,074

in Total Papers Downloads

29,021

SSRN CITATIONS
Rank 5,862

SSRN RANKINGS

Top 5,862

in Total Papers Citations

253

CROSSREF CITATIONS

63

Scholarly Papers (44)

1.
Downloads 16,069 ( 453)
Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,069 (483)
Citation 12

Abstract:

Loading...

nonstandard errors, multi-analyst study, liquidity

2.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Clara Vega
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 4,378 (4,540)
Citation 97

Abstract:

Loading...

algorithmic trading, volatility, liquidity provision, private information

3.

Analysts Are Good at Ranking Stocks

Number of pages: 76 Posted: 10 Jul 2023
Adam Farago, Erik Hjalmarsson and Ming Zeng
University of Gothenburg - Centre for Finance, University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 1,006 (44,589)

Abstract:

Loading...

Sell-side analysts, Cross-section of stock returns, Relative valuation, Target price, Earnings forecasts, Recommendations

4.

Stock Price Co-Movement and the Foundations of Pairs Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 10 Feb 2018
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 968 (47,079)
Citation 3

Abstract:

Loading...

Pairs trading, Stock price co-movement, Cointegration

5.

Testing for Cointegration Using the Johansen Methodology When Variables are Near-Integrated

IMF Working Paper No. 07/141, FRB International Finance Discussion Paper No. 915
Number of pages: 22 Posted: 23 Aug 2007
Erik Hjalmarsson and Pär Österholm
University of Gothenburg - Centre for Finance and International Monetary Fund (IMF)
Downloads 948 (48,433)

Abstract:

Loading...

Working Paper, Financial integration, Economic models

6.

Predicting Global Stock Returns

Board of Governors of the Federal Reserve System, International Finance Discussion Paper No. 933
Number of pages: 56 Posted: 10 Jul 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 751 (66,402)
Citation 45

Abstract:

Loading...

Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability

7.

Compound Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 81 Posted: 15 Jun 2019 Last Revised: 01 Oct 2019
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 718 (70,433)
Citation 1

Abstract:

Loading...

Compound returns, Diversification, Long-run returns, Skewness

8.

Diversification Across Characteristics

FRB International Finance Discussion Paper No. 986
Number of pages: 15 Posted: 11 Mar 2010
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 639 (81,613)
Citation 2

Abstract:

Loading...

Diversification, portfolio choice, stock characteristics

9.

Long-Horizon Stock Returns Are Positively Skewed

Number of pages: 66 Posted: 29 Apr 2021
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 486 (114,690)
Citation 4

Abstract:

Loading...

Compound returns, Long-run returns, Portfolio choice, Skewness

10.

What Drives Volatility Persistence in the Foreign Exchange Market?

FRB International Finance Discussion Paper No. 862
Number of pages: 56 Posted: 07 Jun 2006
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and EBS Group Limited
Downloads 277 (213,850)
Citation 12

Abstract:

Loading...

Volatility persistence, news sensitivity, exchange rates, long memory

11.

Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns?

FRB International Finance Discussion Paper No. 855
Number of pages: 15 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 239 (247,611)
Citation 7

Abstract:

Loading...

Stock return predictability, Out-of-sample tests

12.

Predictive Regressions with Panel Data

FRB International Finance Discussion Paper No. 869
Number of pages: 44 Posted: 05 Dec 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 231 (255,855)

Abstract:

Loading...

Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability.

13.

Interactions Among High-Frequency Traders

Bank of England Working Paper No. 523
Number of pages: 49 Posted: 27 Feb 2015
Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes
Bank of England, University of Melbourne - Department of Finance, University of Gothenburg - Centre for Finance and Bank of England
Downloads 227 (260,216)
Citation 15

Abstract:

Loading...

High-frequency trading, correlated trading strategies, price discovery

14.

Jackknifing Stock Return Predictions

FRB International Finance Discussion Paper No. 932
Number of pages: 31 Posted: 27 Jun 2008
Ben Chiquoine and Erik Hjalmarsson
Federal Reserve Board - Division of International Finance and University of Gothenburg - Centre for Finance
Downloads 207 (283,587)
Citation 1

Abstract:

Loading...

Bias correction, Jackknifing, Predictive regression, Stock return predictability

Characteristic-Based Mean-Variance Portfolio Choice

International Finance Discussion Paper No. 981
Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
Erik Hjalmarsson and Peter Manchev
University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

Loading...

Characteristic-Based Mean-Variance Portfolio Choice

FRB International Finance Discussion Paper No. 981
Number of pages: 30 Posted: 06 Nov 2009
Erik Hjalmarsson and Peter B. Manchev
University of Gothenburg - Centre for Finance and International Monetary Fund (IMF)
Downloads 206 (285,248)
Citation 15

Abstract:

Loading...

mean-variance analysis, momentum strategies, portfolio choice, stock characteristics, value strategies

16.

New Methods for Inference in Long-Run Predictive Regressions

FRB International Finance Discussion Paper No. 853
Number of pages: 44 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 204 (287,395)
Citation 13

Abstract:

Loading...

Predictive regressions, long-horizon regressions, stock return predictability

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

FRB International Finance Discussion Paper No. 905
Number of pages: 54 Posted: 06 Nov 2007
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 115 (464,392)
Citation 4

Abstract:

Loading...

Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

BIS Working Paper No. 249
Number of pages: 49 Posted: 16 Apr 2008
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 77 (608,169)
Citation 2

Abstract:

Loading...

realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

18.

A Residual-Based Cointegration Test for Near Unit Root Variables

FRB International Finance Discussion Paper No. 907
Number of pages: 36 Posted: 09 Dec 2007
Erik Hjalmarsson and Pär Österholm
University of Gothenburg - Centre for Finance and Uppsala University - Department of Economics
Downloads 174 (331,762)
Citation 6

Abstract:

Loading...

Bonferroni test, cointegration, near unit roots

19.

The Stambaugh Bias in Panel Predictive Regressions

FRB International Finance Discussion Paper No. 914
Number of pages: 23 Posted: 30 Jan 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 165 (347,344)
Citation 4

Abstract:

Loading...

Panel data, pooled regression, predictive regression, stock return predictability

20.

The Evolution of Price Discovery in an Electronic Market

FEDS Working Paper No. 2020-51
Number of pages: 41 Posted: 25 Jun 2020
Alain Chaboud, Erik Hjalmarsson and Filip Zikes
Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 132 (416,099)
Citation 5

Abstract:

Loading...

21.

Maximal Predictability Under Long-Term Mean Reversion

Number of pages: 36 Posted: 30 Nov 2017 Last Revised: 13 Dec 2017
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 120 (447,405)

Abstract:

Loading...

Return Predictability, Variance Ratios

22.

Testing the Expectations Hypothesis When Interest Rates are Near Integrated

FRB International Finance Discussion Paper No. 953
Number of pages: 38 Posted: 17 Nov 2008
Meredith J. Beechey, Erik Hjalmarsson and Pär Österholm
Monetary Policy Division, Sveriges Riksbank, University of Gothenburg - Centre for Finance and Uppsala University - Department of Economics
Downloads 115 (462,025)
Citation 1

Abstract:

Loading...

Bonferroni tests, cointegration, expectations hypothesis, near integration, term premium

23.

Estimation of Average Local-to-Unity Roots in Heterogenous Panels

FRB International Finance Discussion Paper No. 852
Number of pages: 33 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 110 (477,428)
Citation 1

Abstract:

Loading...

Local-to-unity, panel data, pooled regression, median estimation, bias correction

24.

Fully Modified Estimation with Nearly Integrated Regressors

FRB International Finance Discussion Paper No. 854
Number of pages: 12 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 110 (477,428)
Citation 1

Abstract:

Loading...

Fully modified estimation, Near-unit-roots, Predictive regressions

25.

Interpreting Long-Horizon Estimates in Predictive Regressions

FRB International Finance Discussion Paper No. 928
Number of pages: 23 Posted: 23 Apr 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 106 (490,324)
Citation 4

Abstract:

Loading...

Predictive regressions, long-horizon regressions, stock return predictability

26.

Efficiency in Housing Markets: Do Home Buyers Know How to Discount?

FRB International Finance Discussion Paper No. 879
Number of pages: 47 Posted: 22 Jan 2007
Erik Hjalmarsson and Randi Hjalmarsson
University of Gothenburg - Centre for Finance and University of Maryland - School of Public Policy
Downloads 79 (591,217)
Citation 1

Abstract:

Loading...

Housing markets, Market efficiency, Cooperative housing

27.

Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog

Number of pages: 26 Posted: 19 Jun 2019 Last Revised: 28 Jun 2019
Erik Hjalmarsson and Tamás Kiss
University of Gothenburg - Centre for Finance and Örebro University - School of Business
Downloads 72 (622,499)
Citation 1

Abstract:

Loading...

Predictive regressions, Present-value relationship, Stock-return predictability

28.

Understanding Wealth-Tax Rates: An Investor-Utility Mapping to Capital-Gains Taxes

Number of pages: 45 Posted: 25 Sep 2023
Adam Farago, Erik Hjalmarsson and Tamás Kiss
University of Gothenburg - Centre for Finance, University of Gothenburg - Centre for Finance and Örebro University - School of Business
Downloads 71 (627,224)
Citation 1

Abstract:

Loading...

Wealth taxes, Capital-gains taxes, Risk averse investors, Horizon effects

29.

Inference in Long-Horizon Regressions

International Finance Discussion Paper No. 853
Number of pages: 59 Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 11 (1,087,717)
Citation 1

Abstract:

Loading...

30.

Efficiency in Housing Markets: Do Home Buyers Know How to Discount?

International Finance Discussion Paper No. 879
Number of pages: 44 Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson and Randi Hjalmarsson
University of Gothenburg - Centre for Finance and affiliation not provided to SSRN
Downloads 10

Abstract:

Loading...

31.

What Drives Volatility Persistence in the Foreign Exchange Market?

International Finance Discussion Paper No. 862
Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

Loading...

32.

Testing the Expectations Hypothesis When Interest Rates are Near Integrated

International Finance Discussion Paper No. 953
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Meredith J. Beechey, Erik Hjalmarsson and Pär Österholm
affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

Loading...

33.

Jackknifing Stock Return Predictions

International Finance Discussion Paper No. 932
Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
Benjamin Chiquoine and Erik Hjalmarsson
affiliation not provided to SSRN and University of Gothenburg - Centre for Finance

Abstract:

Loading...

34.

Diversification Across Characteristics

International Finance Discussion Paper No. 986
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

35.

Estimation of Average Local-to-Unity Roots in Heterogenous Panels

International Finance Discussion Paper No. 852
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

36.

Fully Modified Estimation with Nearly Integrated Regressors

International Finance Discussion Paper No. 854
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

37.

Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns?

International Finance Discussion Paper No. 855
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

38.

Predictive Regressions with Panel Data

International Finance Discussion Paper No. 869
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

39.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

International Finance Discussion Paper No. 980
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System

Abstract:

Loading...

40.

Predicting Global Stock Returns

International Finance Discussion Paper No. 933
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

41.

Interpreting Long-Horizon Estimates in Predictive Regressions

International Finance Discussion Paper No. 928
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

42.

Testing for Cointegration Using the Johansen Methodology When Variables are Near-Integrated

International Finance Discussion Paper No. 915
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson and Pär Österholm
University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

Loading...

43.

The Stambaugh Bias in Panel Predictive Regressions

International Finance Discussion Paper No. 914
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Erik Hjalmarsson
University of Gothenburg - Centre for Finance

Abstract:

Loading...

44.

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

International Finance Discussion Paper No. 905
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

Loading...

Foreign exchange market, bond markets