Jens Dick-Nielsen

Copenhagen Business School - Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 6,004

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13,160

SSRN CITATIONS
Rank 2,060

SSRN RANKINGS

Top 2,060

in Total Papers Citations

698

CROSSREF CITATIONS

132

Scholarly Papers (18)

1.

How to Clean Enhanced TRACE Data

Number of pages: 25 Posted: 10 Oct 2013 Last Revised: 03 Dec 2014
Jens Dick-Nielsen
Copenhagen Business School - Department of Finance
Downloads 4,095 (4,775)
Citation 85

Abstract:

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Enhanced TRACE data; Error filter; SAS code

2.

Corporate Bond Factors: Replication Failures and a New Framework

Number of pages: 41 Posted: 26 Oct 2023 Last Revised: 02 Dec 2023
Copenhagen Business School - Department of Finance, Copenhagen Business School, AQR Capital Management, LLC and Copenhagen Business School - Department of Finance
Downloads 2,527 (10,576)

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asset pricing, factors, data mining, replication, multiple testing, external validity

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 07 Jul 2011
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 1,415 (25,285)
Citation 122

Abstract:

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Corporate bonds, Liquidity, Liquidity risk, Subprime crisis

Corporate Bond Liquidity Before and after the Onset of the Subprime Crisis

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 10 Feb 2009
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 282 (198,100)
Citation 19

Abstract:

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Corporate bonds, Yield spreads, Liquidity, Subprime Crisis, TRACE

4.

How to Clean Academic TRACE Data

Number of pages: 21 Posted: 28 Sep 2019
Jens Dick-Nielsen and Thomas K. Poulsen
Copenhagen Business School - Department of Finance and BI Norwegian Business School
Downloads 902 (49,036)
Citation 3

Abstract:

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Academic TRACE data, Error filter, SAS code

5.
Downloads 699 (68,966)
Citation 99

The Cost of Immediacy for Corporate Bonds

Number of pages: 74 Posted: 02 Sep 2012 Last Revised: 20 Feb 2018
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 595 (83,529)
Citation 20

Abstract:

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Dealer inventory, Lehman/Barclay bond index, Market making, Transaction costs, Dodd-Frank Act

The Cost of Immediacy for Corporate Bonds

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 01 Jun 2016
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 104 (474,092)
Citation 42

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Dealer inventory, Lehman/Barclay bond index, Market making, Transaction costs, Dodd-Frank Act

6.

Learning Paths to Offshore Outsourcing - From Cost Reduction to Knowledge Seeking

Number of pages: 30 Posted: 26 Apr 2007
Peter Maskell, Torben Pedersen, Björn Preuss and Jens Dick-Nielsen
Copenhagen Business School (CBS), Copenhagen Business School - Department of Strategic Management and Globalization, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 524 (99,216)
Citation 19

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Offshore outsourcing, cost reduction, innovation, experiential learning, low-cost countries

7.

The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts

Journal of Finance, Forthcoming
Number of pages: 95 Posted: 16 Apr 2019 Last Revised: 22 Oct 2021
Jens Dick-Nielsen, Jacob Gyntelberg and Christoffer Thimsen
Copenhagen Business School - Department of Finance, University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 504 (104,104)
Citation 15

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Bank funding; Cost of equity; Total cost of capital; Capital requirements; Government subsidies.

8.

Arbitrage Crashes: Slow-Moving Capital or Market Segmentation?

Number of pages: 68 Posted: 06 Dec 2013 Last Revised: 03 Jun 2020
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 400 (137,378)
Citation 1

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Convertible bonds, arbitrage crashes, market segmentation, slow moving capital, investment mandates

9.

Dealer Networks and the Cost of Immediacy

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 79 Posted: 19 Feb 2021 Last Revised: 04 Jan 2023
Jens Dick-Nielsen, Thomas K. Poulsen and Obaidur Rehman
Copenhagen Business School - Department of Finance, BI Norwegian Business School and BI Norwegian Business School
Downloads 369 (149,590)

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Dealer network, dealer inventory, search frictions, transaction costs

10.

Bank Equity Risk

Number of pages: 48 Posted: 02 Feb 2023 Last Revised: 03 Jul 2023
Jens Dick-Nielsen, Zhuolu Gao and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 309 (181,030)

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Bank equity, capital requirements, equity risk, bank debt, market-to-book ratio

11.

Index Driven Price Pressure in Corporate Bonds

Number of pages: 38 Posted: 16 Mar 2012
Jens Dick-Nielsen
Copenhagen Business School - Department of Finance
Downloads 213 (262,009)
Citation 1

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Short-term reversals, Lehman/Barclay bond index, Liquidity Provision, Illiquid Market, TRACE

12.

The Value of Bond Underwriter Relationships

Number of pages: 66 Posted: 15 May 2017 Last Revised: 22 Oct 2021
Stine von Rueden, Jens Dick-Nielsen and Mads Stenbo Nielsen
Copenhagen Business School, Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 210 (265,466)
Citation 1

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Underwriter relationship; Corporate bonds; Certification; Rollover risk; Relationship banking

13.
Downloads 200 (277,532)
Citation 4

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 29 Posted: 21 Dec 2012
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, University of Copenhagen - Department of Economics and affiliation not provided to SSRN
Downloads 101 (484,115)
Citation 10

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Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 30 Posted: 05 Jan 2013
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, University of Copenhagen - Department of Economics and Danish Central Bank
Downloads 99 (490,825)

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Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

14.

The Blind Spot of Unrealized Losses

Number of pages: 50 Posted: 05 Jul 2023 Last Revised: 01 Feb 2024
Jens Dick-Nielsen and Christoffer Thimsen
Copenhagen Business School - Department of Finance and Aarhus University - Department of Economics and Business Economics
Downloads 170 (320,796)
Citation 1

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Interest Rate Risk, Uninsured Depositors, Bank Runs, Capital Regulation, Unrealized Losses

15.

Personal Taxes and Corporate Cash Holdings

Number of pages: 57 Posted: 25 Mar 2020 Last Revised: 27 Jul 2022
Jens Dick-Nielsen, Kristian R. Miltersen and Ramona Westermann
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 137 (382,935)

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Dividend Tax; Capital Gains Tax; Cash holdings; Agency Costs; Tax Savings Motive

16.

Safe and Liquid Mortgage Bonds: The Match Funding Principle

Number of pages: 66 Posted: 22 Dec 2015 Last Revised: 03 Nov 2016
Jens Dick-Nielsen and Jacob Gyntelberg
Copenhagen Business School - Department of Finance and University of Copenhagen - Department of Economics
Downloads 137 (382,935)
Citation 1

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Mortgage bonds, Covered bonds, Housing crisis, Market design, Banking regulation, Financial intermediation

17.

The Financial Premium

Number of pages: 53 Posted: 27 Dec 2022 Last Revised: 01 Feb 2024
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 67 (618,839)

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Credit spreads, risk premia, financial institutions, systematic risk, bond beta

18.

Liquidity Biases in TRACE

Journal of Fixed Income, Vol. 19, No. 2, 2009, https://doi.org/10.3905/jfi.2009.19.2.043
Posted: 21 May 2019
Jens Dick-Nielsen
Copenhagen Business School - Department of Finance

Abstract:

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corporate bonds, liquidity, TRACE, bias, error filter