1. finance

Assistant Professor Nigel J. Barradale (born 1966)
Primary research areas:
Behavioural finance, asset pricing, experimental economics, evolutionary anthropology
Education:
Ph.D. (Financial Economics), Haas School of Business, UC Berkeley, 2010
M.B.A. (Finance), Wharton School of Business, University of Pennsylvania, 1996
A.C.A., Association of Chartered Accountants in England and Wales, 1991
B.A. and M.A. (Mathematics), Oxford University, 1988
Academic Positions:
2010Assistant Professor in Finance, Department of Finance, CBS
Teaching activities:
Behavioural Finance (B.Sc., H.D.)
Selected publications:
“Social Status and the Demand for Privacy and Security”, in Privacy Enhancing Technologies,
Springer 2014.
“A Better Moustrap? The Beta of Glamor Portfolios Captures Market Sentiment and Defeats the
CAPM.” (with Søren Hvidkjær) Unpublished Working Paper, 2014
“Factor Covariances Predict Factor Returns.” (with Søren Hvidkjær) Unpublished Working Paper,
2013
“Social Status and Intertemporal Preferences.” Unpublished Working Paper, 2010
“Firms Investing Badly: The Long Run Return on Reinvested Earnings” Unpublished Working
Paper, 2009
Other selected activities:
Professor Ken L. Bechmann (born 1970)
Primary research areas:
Corporate finance/corporate governance, financial markets and regulations, market microstructure,
executive compensation, and capital structure theory.
Education:
ITP (International Teachers Program), IMD, Switzerland, 2005-2006.
PhD, Finance, University of Aarhus, 1999.
M.Sc. (Mathematical Economics, cand. scient. oecon.), University of Aarhus, 1996.
Academic Positions:
2007Professor (MSO)/Professor, Department of Finance, CBS.
2009-2010
Visiting Professor, Finance Department, HEC Paris.
1999-2007
Assistant/Associate Professor, Department of Finance, CBS.
1996-1997
Visiting Scholar, Finance Department, Wharton, University of Pennsylvania.
1996-1999
PhD student, Department of Management, University of Aarhus.
Teaching activities:
Corporate Finance (B.Sc., M.Sc., PhD, MBA, CBS Executive Board Education), Fixed Income
Theory (HD), Advanced Security Analysis (HD), Private Equity (HD), Financial Instruments
(M.Sc.), Term Structure Theory (M.Sc.), Risk Management (M.Sc., CBS Summer School), Option
Theory (CBS Summer School), Interest rate risk (CBS Summer School).
Selected publications:
“In- and out-of-the-money convertible bond calls: Signaling or price pressure?” (with Asger Lunde
and Allan A. Zebedee), Journal of Corporate Finance, Vol. 24, 2014, 135-148.
“Disclosed Values of Option-Based Compensation – Incompetence, Deliberate Underreporting or
the Use of Expected Option Life?” (with Toke Hjortshøj), European Accounting Review, Vol. 18
(3), 2009, 475-513.
“Rating mutual funds: Construction and information content of an investor-cost based rating of
Danish mutual funds” (with Jesper Rangvid), Journal of Empirical Finance, Vol. 14 (5), 2007, 662693.
“Short Sales, Price Pressure, and the Stock Price Response to Convertible Bond Calls”, Journal of
Financial Markets, Vol. 7, No. 4, 2004, 427-451.
“A Regulation of Bids for Dual Class Shares. Implication: Two Shares – One Price” (with Johannes
Raaballe), European Journal of Law and Economics, Vol. 15, No. 1, 2003, 17-46.
Other selected activities:
- Executive Editor of Finans/Invest (Danish finance journal similar to Financial Analyst Journal).
- Board member of CFA Society Denmark, founding member of Board of Directors Network of
Denmark, and member of DVCA’s (Danish Venture Capital and Private Equity Association’s)
Analysis committee.
- Member of DCGN (Danish Corporate Governance Network), Center for Corporate Governance,
and VL (The Danish Management Society).
- Major contributions to several reports and recommendations (The Ministry of Economic and
Business Affairs, The Danish Society of Financial Analysts, The Danish Ministry of Employment
and The Committee for Good Corporate Governance).
- Around 50 publications in Danish finance related journals many with significant media attention.
- Member of several assessment committees (PhD, assistant/associate professor).
Professor Peter Christoffersen (born 1967)
Primary research areas:
Risk Management, Option Valuation, Asset Pricing
Education:
BA in Economics (University of Copenhagen, 1991)
PhD in Economics (University of Pennsylvania, 1996)
Academic Positions:
International Monetary Fund, Economist, 1996-1998
Assistant Professor of Finance, McGill University, 1998-2004
Associate Professor of Finance, McGill University, 2004-2010
Professor of Finance, University of Toronto, 2010-Now
Visiting Professor of Finance, Copenhagen Business School, 2007-Now
Teaching activities:
None at CBS
Selected publications:
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel, Review of Financial
Studies, 26, 2013, 1963-2006, (with Heston and Jacobs).
Market Skewness Risk and the Cross Section of Stock Returns, Journal of Financial Economics,
107, 2013, 46-68, (with Chang and Jacobs).
Is the Potential for International Diversification Disappearing? Review of Financial Studies, 25,
2012, 3711-3751, (with Errunza, Jacobs and Langlois).
Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options,
Journal of Financial Economics, 106, 2012, 447-472, (with Jacobs and Ornthanalai).
Models for S&P 500 Volatility Dynamics: Evidence from Realized Volatility, Daily Returns, and
Option Prices, Review of Financial Studies, 23, 2010, 3141-3189, (with Jacobs and Mimouni).
Other selected activities:
- Model Validation Council, Board of Governors, Federal Reserve System, 2012–Now
- Bank of Canada Fellow, 2013–Now
- Associate Editor,
Review of Finance, 2014–Now,
Review of Financial Studies, 2012–Now,
Journal of Financial Econometrics, 2007–Now,
Journal of Risk, 2006–Now,
Journal of Applied Econometrics, 2004–Now.
Associate Professor Susan Christoffersen (born 1967)
Primary research areas:
Mutual Funds, Capital Markets, Financial Institutions
Education:
BA (Honours) in Economics (Queen’s University, 1989)
Masters in Economics (University of British Columbia, 1991)
PhD in Finance (The Wharton School, University of Pennsylvania, 1998)
Academic Positions:
Assistant Professor of Finance, McGill University, 1998-2007
Associate Professor of Finance, McGill University, 2007-2010
Associate Professor of Finance, University of Toronto, 2010-Present
Visiting Professor of Finance, Copenhagen Business School, 2007-Present
Teaching activities:
None at CBS
Selected publications:
Christoffersen, Susan E. K., 2001, “Why Do Money Fund Managers Voluntarily Waive Their
Fees?" Journal of Finance, 56(3), 1117-1140.
Christoffersen, Susan E. K. and David K. Musto, 2002, “Demand Curves and the Pricing of Money
Management” (with David Musto), Review of Financial Studies, 15(5), 1499 - 1524.
Christoffersen, Susan E. K., Christopher Geczy, David K. Musto, and Adam V. Reed, 2005,
“Cross-border dividend taxation and the preferences of taxable and non-taxable investors: Evidence
from Canada”, Journal of Financial Economics, 78(1), October, 121-144.
Christoffersen, Susan E. K., Christopher Geczy, David K. Musto, and Adam V. Reed, 2007, “Vote
Trading and Information Aggregation”, Journal of Finance 62(6), December, 2897-2929.
Christoffersen, Susan E. K. and Sergei Sarkissian, 2009, “City Size and Fund Performance”,
Journal of Financial Economics 92(2), May, 252-275.
Other selected activities:
 Associate Editor: Canadian Journal of Administrative Sciences, 2012-Present, Journal of
Financial Services Research, 2007–Present
 Program Committee: AFA Meetings (2006 and 2009), WFA Meetings (2006-Present), EFA
Meetings (2009 – Present) , FMA Meetings (2006 – Present), NFA Meetings (2006-Present),
 Board Member: Terry Fox Humanitarian Award Program (2003- Present); WU Gutmann Center
(2010 – Present)
 Awards: BSI Gamma Foundation (2001); Q-Group (2002); INQUIRE (2004); Swiss Finance
Institute (2007)
Professor Peter Dalgaard (born 1959)
Primary research areas:
Computational statistics. General statistical methodology.
Education:
M.Sc in statistics, University of Copenhagen, 1985
Ph.D. in biostatistics, University of Copenhagen, 1991
Academic Positions:
1985-1986 Project financed statistician, University of Copenhagen
1986-1989 Ph.D. scholar, Dept. of Biostatistics (then: Statistical Research Unit),
University of Copenhagen
1989-1992 Postdoc, same place
1992-1996 Assistant professor, same place
1996-2010 Associate professor, same place
2010Professor of Statistics, Center for Statistics, Copenhagen Business School
Teaching activities:
Probability and Statistics (B.Sc. Math.Bus.Ec.), Statistics and Research methods (B.Sc.
International Business and Politics), Multivariate Statistical Methods (M.Sc. Math.Bus.Ec.).
Upcoming: Statistical Analysis of Financial Data (M.Sc. Math.Bus.Ec.) (Fall 2014).
Selected publications:
R Foundation for Statistical Computing, Vienna, Austria, 2014.
(ed., with Søren Højsgaard) Proceedings of DSC 2009. Springer, 2011. Special Issue (26:3) of
Computational Statistics.
Introductory Statistics with R. Springer, New York, 2nd ed., 2008.
New functions for multivariate analysis. R News, 7(2): 2-7, 2007.
A primer on the {R-Tcl/Tk} package. R News, 1(3): 27-31, 2001.
Other selected activities:
- Member of the Core Team for the statistical computing environment ”R” (1997--present).
- Editorial board member for R Journal (was: R News) 2008--2011 (Editor in Chief for 2010); now
member of advisory board.
- Elected as co-editor for Scandinavian Journal of Statistics 2015--2018.
- Invited speaker at useR! 2009, Nordstat 2010, and R Users Conf. in Korea (2014). Invited
introductory R courses/workshops at U.Pompeu Fabra (2010) and U.South.Denm. (2012).
- Member of Biometric Society since 1985. Elected member of the ISI. Founding member of the R
Foundation.
Associate Professor Jens Dick-Nielsen (born 1982)
Primary research areas:
Empirical asset pricing, corporate bonds, credit risk, liquidity risk.
Education:
PhD in finance, Copenhagen Business School (CBS), 2010.
M.Sc. (Management Science and Business Adm., cand.merc.mat), CBS, 2007.
Academic Positions:
2014Associate Professor, Department of Finance, CBS.
2011-2013 PostDoc, Danish Council for Independent Research, Department of Finance, CBS.
2010-2011 Assistant Professor, Department of Finance, CBS.
2008-2008 Visiting PhD student, Stern School of Business, New York University.
2007-2010 PhD student, Department of Finance, CBS
Teaching activities:
Risk Management and Corporate Finance (M.Sc.), Corporate Finance (M.Sc., HD), Credit risk
modelling: Theory and application (M.Sc.), Time series analysis (M.Sc.), Statistical modelling
(B.Sc.), Probability Theory and Statistics (B.Sc.).
Selected publications:
“Corporate bond liquidity before and after the onset of the subprime crisis” (with Peter Feldhutter
and David Lando), Journal of Financial Economics, Vol. 103, 2012, 471-492.
“Liquidity biases in TRACE”, Journal of Fixed Income, Vol. 19, 2009, 43-55.
“Arbitrage crashes: Slow-moving capital or market segmentation?” (with Marco Rossi), Revise and
resubmit at Journal of Finance.
“Dealer inventory and the cost of immediacy” (with Marco Rossi), working paper.
“Market-based liquidity metrics for High Quality Liquid Assets: Evidence from Danish bond
markets” (with Thomas Sangill and Jacob Gyntelberg), working paper.
Other selected activities:
- PostDoc fellowship from the Danish council for independent research, 2011.
- BIS research fellowship, 2012, Bikuben academic scholar, 2008.
- SPIVA 2012 awards 2nd prize (USD15,000) for the paper ‘Dealer inventory and the cost of
immediacy’.
- Research grant from Solar Fonden af 1978 (DKK60,000), 2008.
- PhD supervisor for Stine Louise Daetz.
- Work in progress with David Lando (CBS), Jesper Lund (CBS), Mads Stenbo Nielsen (CBS),
Stine Louise Daetz (CBS), Marco Rossi (Notre Dame), Jean Helwege (South Carolina), Steven
Mann (South Carolina), Peter Feldhutter (LBS), Jacob Gyntelberg (BIS), Thomas Sangill (Danish
central bank).
Associate Professor Marcel Fischer (born December 1979)
Primary research areas:
Dynamic asset allocation
Portfolio choice
Asset pricing
Taxation
Real estate finance
Education:
Dr. rer. pol., Goethe University, 2008.
Diploma in Bioinformatics, Goethe University, 2004.
Diploma in Economics, University Hagen, 2004.
Diploma in Business Management, University Hagen, 2002.
Academic Positions:
2013 Associate Professor in Finance, Department of Finance, CBS
2008-2013
Assistant Professor in Finance, Department of Finance, CBS
2007-2008
Research Assistant, Department of Real Estate, University of Regensburg
2004-2007
PhD student, Department of Finance, Goethe University
Teaching activities:
Asset Allocation (M.Sc.), Investments (B.Sc.), Optimeringsmetoder (M.Sc.), Pension Finance
(B.Sc.), Quantitative Methods in Finance and Economics (B.Sc.).
Selected publications:
“Taxation, Transfer Income and Stock Market Participation” (with Bjarne Astrup Jensen), Review
of Finance, forthcoming
“Optimal Life Cycle Portfolio Choice with Housing Market Cycles” (with Michael Stamos), Review
of Financial Studies, Vol. 26, No. 9, 2013, 2311-2352.
“Asset Allocation over the Life Cycle: How Much do Taxes Matter?” (with Holger Kraft and Claus
Munk), Journal of Economic Dynamics and Control, Vol. 37, No. 11, 2013, 2217-2240.
“Optimal Tax-Timing and Asset Allocation when Tax Rebates on Capital Losses are Limited”,
Journal of Banking and Finance, Vol. 36, No. 7, 2012, 2048-2063.
“Optimal Portfolio Choice with Wash Sale Constraints” (with Bjarne Astrup Jensen), Journal of
Economic Dynamics and Control, Vol. 35, No. 11, 2011, 1916-1937.
Associate Professor Bjarne Brænder Florentsen (born 1958)
Primary research areas:
Corporate Finance, Pension Economics and Personal Finance
Education:
PhD, Copenhagen Business School, 1995.
MSc (Economics and Business Administration, cand.merc.), CBS, 1984.
Academic Positions:
1993Associate Professor, Department of Finance, CBS.
1987-1993
Assistant Professor, Department of Finance, CBS.
1984-1987
Research scholarship, Department of Finance, CBS
1996
Visiting scholar, Indiana University (Bloomington), USA.
Teaching activities:
Corporate Finance (BSc, HD, MSc (Commercial Law)) and Pension Economics (HD)
Selected publications:
“Kapitalpensionsomlægningen i økonomisk perspektiv” (in Danish), Fagtidsskriftet Finans/Invest,
2013, Nr. 2: 4-13.
“Rateopsparing i et rådgivningsmæssigt perspektiv” (in Danish), Fagtidsskriftet Finans/Invest,
2007, Nr. 2: 17-26.
“Reimbursement of VAT on written-off Receivables”, (with Niels Christian Nielsen and Michael
Møller), International Tax Journal, Vol. 29 (2003), Issue 4, 43-59.
“Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of
Danish Lottery Bonds”, (with Kristian Rydqvist), Journal of Financial Intermediation, Volume 11,
Number 2, April 2002, 152-175.
”Bør kapitalpensionsordningen afskaffes?” (in Danish), Nationaløkonomisk Tidsskrift,
vol. 133 (1995), 284-301.
Other selected activities:
- Deputy head of department, Department of Finance, CBS, 1999-2001 and 2004-present.
- Member of the Cand.merc. Study Board (MSc in Economics and Business Administration), 2009-.
Associate Professor Gorm Gabrielsen (born 1945)
Primary research areas:
Variance-components models and the connection to random utility theory; application of these
models to understand and utilize market variations and market inhomogeneity in business and
research consultancy. Development of methodology within applied areas such as food research,
innovation and design research, forensic psychiatry.
Education:
1976: Master of Science, (Cand. Stat.), Mathematical statistics, University of Copenhagen
Academic Positions:
1984 1987 – 1995:
1981 – 1983:
1980 – 1981:
1977 – 1980:
1976 – 1977:
Associate Professor in Statistics, Copenhagen Business School
Part Time Assistant Professor in Theoretical Statistics, Department of
Statistics, University of Copenhagen
Senior Research Fellow, Department of Statistics, University of
Copenhagen
Assistant Professor Substitute, Aalborg University Centre
Research Fellow, Department of Statistics, University of Copenhagen
Teaching Assistant, Department of Mathematics, University of
Copenhagen/Teaching Assistant, Department of Economics, University
of Copenhagen/Teaching Assistant, Roskilde University
Teaching activities All levels from introductionary to high level i.e. multivariate variance
components and Box/Jenkins time series analysis. PhD courses at CBS and other countries.
Selected publications (totally approx. 80 refereed papers):
Kramp, P & Gabrielsen, G.: “The organization of the psychiatric service and criminality committed
by mentally ill” The European Journal of Psychiatry 2008/2009.
Aaslyng, M.D. (et. al.): ’The impact of sensory quality of pork on consumer preference.’ Meat
Science 2007, vol. 76, nr. 1
Gosden, N.P., P. Kramp, G. Gabrielsen, T.F. Andersen & D. Sestoft: ’Violence of Young Criminals
Predict Schizophrenia: A 9-Year Register-Based Follow up of 5- to 19- Year-Old Criminals.’
Schizophrenia Bulletin, vol. 31, no. 3, 2005
Gabrielsen, G., J.D. Gramlich & T. Plenborg: ’Managerial Ownership, Information Content of
Earnings, and Discretionary Accurals in a Non-US Setting.’ Journal of Business Finance &
Accounting, 29 sept/okt, No. 7/8, 2002
Gabrielsen, G.: ’A multi-level model for preferences.’ Food Quality and Preference 12 (2001) 337344, Elsevier 2001
Other selected activities:
Member of scientific organisation committee for international conferences:
- Beijing Design meeting, November 2014. Upcoming
- Hong Kong Design Week, 2011
- Design 2 Business, Shanghai, 2006 and Beijing April 2009
- Rasch Symposium. In the honour of Professor Georg Rasch 100 years birthday, 2001
Joining scientific conferences with papers 2-4 times every year
Referee for scientific journals and conferences:
Scandinavian Journal of Statistics, Food Quality and preferences, Acta Psychiatrica
Scandinavica, Rhetorica Scandinavica, Biometrics.etc.
Visiting fellow at Department of Mathematics, Indiana University, Bloomington, IN, USA
President (1994-1996) for Danish Society for Theoretical Statistic, Committee Member
(1992-1996)
Professor Søren Hvidkjær (born 1969)
Primary research areas:
Empirical asset pricing, market microstructure, behavioural finance
Education:
PhD (finance), Johnson Graduate School of Management, Cornell University, 2002
Cand.merc.(int.) Aarhus School of Business, 1995.
Academic Positions:
20012Head of Department, Copenhagen Business School, Department of Finance
2008Professor, Copenhagen Business School, Department of Finance
2007-2008 Associate professor (finance), INSEAD
2001-2007 Assistant professor (finance), Smith School of Business, University of Maryland
(tenured 2007)
Teaching activities:
Investments (M.Sc.), empirical finance (PhD).
Selected publications:
“Factoring Information into Returns”, with David Easley and Maureen O’Hara, 2010, Journal of
Financial and Quantitative Analysis 45, no. 2, 293-309
“Small trades and the cross-section of stock returns”, 2008, Review of Financial Studies 21, no. 3,
1123–1151
“A Trade-based Analysis of Momentum”, 2006, Review of Financial Studies 19, no. 2, 457–491
“The Cross-section of Expected Corporate Bond Returns: Betas or Characteristics?” with William
Gebhardt and Bhaskaran Swaminathan, 2005, Journal of Financial Economics 75, no. 1, 85 –114
“Is Information Risk a Determinant of Asset Returns?” with David Easley and Maureen O’Hara,
2002, Journal of Finance 57, no. 5, 2185–2221. This article received the Journal of Finance Smith
Breeden Distinguished Paper Prize for 2002
Other selected activities:
Member of the board of directors, Danske Invest Management A/S, 2013 – present. Vice-chairman
since 2014.
Editorial board member: Journal of Financial Services Research 2007-12
CV of Professor (MSO) Bjarne Astrup Jensen (born 1951)
Primary research areas:
Asset pricing, term structure theory and bond markets, mathematical finance and derivatives in
general, capital markets and taxation
Education:
M.Sc. (Mathematics and Economics), Aarhus University, 1977.
Advancement to Ph.D. candicacy, UCLA, 1980.
Academic Positions:
Professor (MSO) of Finance, Department of Finance, CBS, 2007Visiting professor, Centre for Finance, Gothenburg University, 2004. (On leave from CBS)
Research professor of finance, Department of Finance, CBS, 1998-2001.
Assistant and Associate professor of finance, Department of Finance, CBS, 1982-1998, 2001-2007.
Ph.D. Scholarships, 1978-1982. Graduate and Ph.D. studies at Dept. of System Science, School of
Engineering, University of California at L.A. 1978-1980.
Vacationing assistant professor, Department of Mathematics, Aarhus University, 1977-1978.
Teaching activities:
Mathematical Finance 1, 2 and 3 (M.Sc.), Bond Markets and Term Structure Theory (M.Sc.), Asset
Pricing 2 (Ph.D.), Financial Instruments (M.Sc.), Valuation and Taxation of Derivatives (M.Sc.),
Corporate Finance (B.Sc.).
Selected publications:
Fischer, M., and B. A. Jensen, 2014, “Taxation, Transfer Income and Stock Market Participation,"
Review of Finance, forthcoming.
Fischer, M., and B. A. Jensen, 2011, “Optimal portfolio choice with wash sale constraints.” Journal
of Economic Dynamics and Control, vol. 35, no. 11, pp. 1916-1937.
Jensen, B. A. 2009, “Valuation before and after tax in the discrete time, finite state no arbitrage
model.” Annals of Finance, vol. 5, pp. 91-123.
Armerin, F., T. Björk and B.A. Jensen, 2007, “Term structure models with constant and
proportional shifts.” Applied Mathematical Finance, vol. 14, no. 3, July 2007, pp. 243-260.
Jensen, B.A. and C. Sørensen: “Paying for minimum interest rate guarantees - Who should
compensate who?' European Financial Management, volume 7, no. 2, June 2001, pp. 183-211.
Other selected activities:
European Finance Association, President 1994.
European Finance Review (founding co-editor, 1997-2004). (Later on Review of Finance.)
Section Editor (Finance), 1992-2001. The Great Danish Encyclopedia. (Publication completed).
Two books in Danish, published by Jurist- og Økonomforbundets Forlag.
Member of the Bond Market Committee under the Danish Society of Financial Analysts.
International Financial Management Award, 1990.
Work in progress with Marcel Fischer, Stephen Buser and Jørgen Aase Nielsen.
Associate Professor Dorte Kronborg (born 1954)
Primary research areas:
Statistical methods, productivity analysis, benchmarking
Education:
Cand.scient (M.Sc) in mathematical statistics, University of Århus, Institute of Mathematics, 1981.
Academic Positions:
1990- Associate professor in Statistics, CBS
1986-1990: Assistant professor, Statistical Research Unit, University of Copenhagen
1982-1985: Research Assistant, Statistical Research Unit, University of Copenhagen
1981-1981: Assistant professor, Institute of Mathematics, University of Aarhus
Teaching activities:
Stochastic processes and their statistical analysis (M.Sc), Supervision of bachelor and master thesis
projects for students primarily from the BSc and MSc programs in Management Science and
Business Administration programs. Course coordinator for courses in mathematics, numerical
analysis, and operations research at the BSc program in Management Science.
Selected publications:
Asmild, M., Hougaard, J.L., Kronborg, D. (2013). Does the Distribution of Efficiency Scores
Depend on the Input Mix? Annals of Operations Research 211, 37-48. DOI 10.1007/s10479-0131438-9
Asmild, M., Holvad, T., Hougaard, J.L and Kronborg, D. (2009). Railway reforms: Do They
Influence Operating Efficiency. Transportation. 36, 617-638.
Kronborg, D. and Thomsen, S. (2009). Foreign Ownership and Long-term Survival. Strategic
Management Journal. 30, 207-219.
Holvad, T., Hougaard, J.L., Kronborg, D. and Kvist, H.K.(2004). Measuring inefficiency in the
Norwegian bus industry using multi-directional efficiency analysis. Transportation, 31, 349-369.
Asmild, M., Hougaard, J.L., Kronborg, D. and Kvist,H.K. (2003). Measuring Inefficiency Via
Potential Improvements. Journal of productivity analysis, 19, no 1, 59-76.
Other selected activities:
Academic director (BSc and MSc in Management Science programs), Copenhagen Business
School. From August 1994 Head of Center for Statistics, Copenhagen Business School, 2009-2012.
Frequently referee for EJOR and JPA
Chairman of scientific program committee of 17'th Nordic Conference in Mathematical Statistics,
Elsinore, Denmark, 1998.
Professor David Lando (born 1964)
Primary research areas:
Credit risk modeling, term structure theory, contingent claims pricing.
Education:
PhD (statistics), Cornell University, 1994.
Cand.scient.oecon (mathematics/economics), University of Copenhagen, 1990.
Academic Positions:
2012Leader of the Danish National Research Foundation’s Center of Excellence: Center
for Financial Frictions (FRIC)
2003Professor, Copenhagen Business School, Department of Finance
2009-2012 Head of Department, Copenhagen Business School, Department of Finance
2002-2003 Professor, University of Copenhagen, Department of Statistics and Operations
Research
1994-2003 Assistant/Associate professor, University of Copenhagen, various department names
Teaching activities:
Mathematical Finance (M.Sc. PhD), Portfolio Theory (M.Sc.), Credit Risk Modeling (M.Sc. PhD
Summer School), Corporate Finance (PhD).
Selected publications:
“Corporate bond liquidity before and after the onset of the subprime crisis” (with Jens Dick-Nielsen
and Peter Feldhütter), Journal of Financial Economics, Vol. 103, 2012, 471–492.
“Decomposing Swap Spreads” (with Peter Feldhütter), Journal of Financial Economics, Vol. 88,
2008, 375-405.
“Term Structures of Credit Spreads with Incomplete Accounting Information” (with Darrell
Duffie), Econometrica, Vol. 69, No.3, 2001, 633-664.
“On Cox Processes and Credit Risky Securities”, Rev of Derivatives Research, Vol. 2, 1998, 99120.
“A Markov Model for the Term Structure of Credit Risk Spreads” (with Robert Jarrow and Stuart
Turnbull), Review of Financial Studies, Vol. 10, 1997, 481-523.
Other selected activities:
- Editorial board member: Journal of Investment Management, Int. Journal of Central Banking
- Visiting positions at Princeton, Federal Reserve Board, Federal Reserve Bank of NY, Institute
of Advanced Study, Vienna
- Teaching awards at University of Copenhagen and Princeton University,
- Research grants from the Danish Research Council (1999-2001 and 2000-2002), BSI-gamma
foundation (2000), FSE (2007-2009), DNRF (2012-2018)
- Member of Moody’s Academic Advisory Research Committee (2001-2012)
- Member of the Danish Financial Supervisory Authority (2014-)
- Member of the Board of CBS (2012)
Associate Professor Jesper Lund (born 1969)
Primary research areas:
Fixed income models, bond markets and financial econometrics
Education:
Ph.D., Aarhus School of Business, 1998
M.Sc., Aarhus School of Business, 1993
Academic Positions:
Assistant Professor, Department of Finance, Aarhus School of Business, 1996-1998
Associate Professor, Department of Finance, Copenhagen Business School, 2010 – present.
Teaching activities:
Risk Management
Derivatives and Risk Management
Selected publications:
Torben G. Andersen, Luca Benzoni and Jesper Lund, "An Empirical Investigation of ContinuousTime Equity Return Models," Journal of Finance, Vol 57 (2002)
Jesper Lund, "A Model for Studying the Effect of EMU on European Yield Curves," European
Finance Review, Vol 2 (1999), 321-363
Torben G. Andersen and Jesper Lund, "Estimating Continuous-Time Stochastic Volatility Models
of the Short-Term Interest Rate," Journal of Econometrics, Vol 77 (1997), 343-377
Other selected activities:
Member of advisory committee for the Danish Financial Supervisory Authority
Associate Professor Jens Lunde (born 1946)
Primary research areas:
Housing economics and finance. (housing market and the macro economy, owner-occupiers’ capital
structure, taxation of property owners, the mortgage system, private cooperative housing.)
Education:
Master of Economics (cand. polit.), University of Copenhagen, 1973.
Academic Positions:
1984 –
Associate Professor, Department of Finance, CBS.
1980 – 1984 Economist, Danish Ministry of Housing.
1974 – 1979 Research assistant, Danish Building Research Institute
Teaching activities, actual:
Housing economics and finance (M.Sc), inclusive master thesis – tutorial.
Earlier also at other studies.
Selected publications, newer:
Christine Whitehead and Jens Lunde (eds.): “Milestones in European Housing Finance”. Expected
publishing July 2015. Publisher: Wiley-Blackwell, Oxford.
”Impacts on Wealth and Debt of Changes in the Danish Financial Framework Over a Housing
Cycle”. pp. 128-152 in: Colin Jones, Michael White, and Neil Dunse (eds.): “Challenges of the
Housing Economy. An International Perspective.” Wiley-Blackwell. 2012.
“Responding to the Housing and Financial Crises: Mortgage Lending, Mortgage Products and
Government Policies.” (with Kathleen Scanlon and Christine Whitehead). International Journal of
Housing Policy, Vol. 11, Nr. 1, 2011, s. 23-49.
“Financial Soundness Indicators for Owner Occupiers”, Housing Studies, Vol. 24, No. 1, January
2009. pp. 47-66.
“Mortgage Product Innovation in Advanced Economies: More Choice, More Risk” (with Kathleen
Scanlon & Christine Whitehead: European Journal of Housing Policy, Vol. 8, No. 2, June 2008. P.
109-131.
Earlier publications:
Since 1974 published numerous articles in Danish housing and finance related journals.
Other selected activities:
Head / coordinator of the HD (Graduate Diploma) study in Finance and the HD study in Financial
Planning, CBS, 2009-2013. - Head of the HD Finance, CBS, 1993-1999.
Coordinator for the Working Group in Housing Finance, European Network for Housing Research.
Katya Malinova (born 1975)
Primary research areas:
Financial market microstructure, high frequency trading, dark trading, limit order books.
Education:
Ph.D. (Economics), University of Michigan, USA, 2006.
M.A. (Economics), University of Michigan, USA, 2001.
B.Sc. (Physics), St. Petersburg State University, Russia, 1998.
Academic Positions:
2014Visiting Associate Professor in Finance, Department of Finance, CBS.
2005Assistant Professor, Department of Economics, University of Toronto.
Teaching activities:
Economics of Corporate Finance (undergraduate); Investments (undergraduate); Microeconomic
Theory (Master of Financial Economics).
Selected publications:
Malinova, Katya, and Michael Brolley. “Informed Trading and Maker-Taker Fees in a LowLatency Limit Order Market.” Working paper.
Malinova, Katya, and Andreas Park. “Subsidizing Liquidity: The Impact of Make-Take Fees on
Market Quality.” Journal of Finance, forthcoming.
Malinova, Katya, and Andreas Park. “The Impact of Competition and Information on Intraday
Trading.” Journal of Banking and Finance. 2014 (44), 55-71.
Malinova, Katya, and Andreas Park. “Liquidity, Volume, and Price Efficiency: The Impact of Order
vs. Quote Driven Trading.” Journal of Financial Markets, 2013, 16(1), 104-126.
Malinova, Katya, and Andreas Park. “Trading Volume in Dealer Markets.”
Journal of Financial and Quantitative Analysis, 2010, 45(6), 1447-1484.
Other selected activities:
- SSHRC (Social Sciences and Humanities Research Council Grant Holder (Principal
Investigator) : 2010-2011, 2012-2015.
- Financial economics seminar co-organizer 2005-2008 and 2012-2014 (Universiy of Toronto).
- Several presentations and invited discussions at major conferences, including WFA and EFA.
- Invited industry presentations, including the Toronto Stock Exchange, Ontario Securities
Commission, and Alpha Exchange (Canada).
- Referee for Journal of Finance, Review of Financial Studies, Review of Finance,
Management Science, Journal of Financial Markets, Canadian Journal of Economics, Journal of
Economic Theory, UK Foresight.
- Dissertation committee member of two PhD students (University of Toronto).
- MFE (Master of Financial Economics) Admissions Committee, University of Toronto.
- Work in progress with Andreas Park (CBS and University of Toronto), Ryan Riordan (Queen’s
University), and Sean Foley (University of Sydney) on high frequency trading and dark trading.
Professor Kristian R. Miltersen (born 1964)
Primary research areas:
Dynamic corporate finance, real options, competition, industrial organization, commodity (and
energy) markets, fixed income, derivatives, life insurance and pensions
Education:
PhD (lic. oecon), Odense University, 1992
MSc (Mathematical Economics, cand. scient. oecon.), University of Aarhus, 1989
Academic Positions:
2009Professor of Finance, Department of Finance, CBS
2002-2009
Storebrand Professor of Finance, Norwegian School of Economics (NHH)
1997-2002
Danske Bank Professor of Finance at University of Southern Denmark,
1994-1997
Associate Professor at Odense University, Department of Management
1992-1994
Assistant Professor at Odense University, Department of Management
Teaching activities:
Asset Pricing (elite MSc Adv Econ & Fin), Energy Markets (elective on elite MSc Adv Econ &
Fin), Asset Pricing Theory (PhD), Derivatives and Risk Management (NHH), Investments (NHH),
Dynamic Capital Structure Models (elective intensive PhD at NHH), Supervision of 11 PhD
students (8 completed, 3 in progress)
Selected publications:
“R&D Investments with Competitive Interactions”, (with E. Schwartz), Review of Finance, vol. 8,
2004, no. 3, pp. 355-401.
“Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model”, (with P. O.
Christensen and S. E. Graversen), European Finance Review, vol. 4, 2001, no. 2, pp. 129-156.
“Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields
and Interest Rates”, (with E. Schwartz), Journal of Financial and Quantitative Analysis, vol. 33,
1998, no. 1, pp. 33-59.
“State-Dependent Realignments in Target Zone Currency Regimes”, (with P. O. Christensen and D.
Lando), Review of Derivatives Research, vol. 1, 1998 no. 4, pp. 295-323.
“Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates”, (with K.
Sandmann and D. Sondermann), The Journal of Finance, vol. 52, 1997, no. 1, pp. 409-430.
Other selected activities:
Program Director for elite MSc in Advanced Economics and Finance education at CBS, 2011Member of Academic Council at CBS, 2013Professor II at Norwegian School of Economics (NHH), 2000-2002 and 2009-2012
Full year sabbaticals in the US: UCLA, Cornell, and Stanford, 1989-90, 1996-97, 2001-02, 2006-07
Member of the Norwegian Central Bank’s Research Council, 2006-2012
President of the European Finance Association (EFA), 2010
Member of the Executive Committee of EFA, 2000–2002 and 2007-2012
Program and Organizing Chair of the European Finance Association’s Annual Meeting, 2009
Founding organizer of European Winter Finance Summit (Skinance), 2005Norwegian Research Council grant: ”Asset Pricing”, approx. NOK 4 mill., 2003-2006
Danish SSR grant: ”Danish Doctoral School of Finance”, approx. DKK 3 mill., 1999-2003
Professor Claus Munk (born 1969)
Primary research areas:
Households’ consumption and investment decisions, dynamic asset allocation, models of the term
structure of interest rates, asset pricing theory, executive compensation, numerical methods
Education:
1997 PhD in economics, Odense University, Denmark
1993 MSc in mathematics-economics, Odense University, Denmark
Academic Positions:
2012Professor, Dept. of Finance, Copenhagen Business School
2009-2012 Professor, Dept. of Economics and Dept. of Mathematics, Aarhus University
2004-2008 Professor, Dept. of Business and Economics, University of Southern Denmark
1999-2004 Associate professor, Dept. of Accounting and Finance, Univ. of Southern Denmark
1996-1999 Assistant professor, Dept. of Management, University of Southern Denmark
Teaching activities:
Asset pricing theory (PhD, MSc), Dynamic asset allocation (PhD, MSc), Continuous-time finance
(PhD), Investments (MSc), Capital market theory (MSc), Advanced derivatives (MSc), Intermediate
finance theory (MSc), Derivatives and risk management (MSc), Business economics (BSc), Finance
and investments (BSc)
Selected publications:
Options in Compensation: Promises and Pitfalls, Journal of Accounting Research 52: 703-732,
2014 (with H. Frimor and C.R. Flor).
Financial Asset Pricing Theory, 585 pages, Oxford University Press, 2013.
Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market
Strategies, Management Science 59: 485-503, 2013 (with B. Bick and H. Kraft).
Fixed Income Modelling, 576 pages, Oxford University Press, 2011.
Dynamic Asset Allocation with Stochastic Income and Interest Rates, Journal of Financial
Economics 96: 433-462, 2010 (with C. Sørensen).
Other selected activities:
Associate editor, Journal of Economic Dynamics and Control, since 2010.
Referee for 26 journals including Econometrica, Journal of Finance, and Management Science.
Program coordinator, MSc Finance and Investments, Copenhagen Business School, since 2014.
Member of PhD and other evaluation committees at, e.g., Tilburg University, Lund University, and
University of Copenhagen.
Financial research support from, e.g., INQUIRE Europe and the Danish Research Council for
Social Sciences.
Assistant Professor Agatha Valentina Murgoci (born 1979)
Primary research areas:
Mathematical Finance, Credit Risk, Asset Pricing, Portfolio Theory, Financial Networks
Education:
Ph.D in Finance
Department of Finance, Stockholm School of Economics, Stockholm, 2009
Lic in Finance
Department of Finance, Stockholm School of Economics, Stockholm, 2007
MA in Economics Central European University, Budapest, Hungary, 2003
Academic Positions:
2011-present Assistant professor at Copenhagen Business School
2012-present Affiliated Researcher, FRIC, Department of Finance, Copenhagen Business School
2009-2011
Post-Doc, Department of Finance, Copenhagen Business School
2003-2009
PhD Student, Department of Finance, Stockholm School of Economics
Teaching activities:
Financial Derivatives and Their Applications, CBS (BA; Spring/2013, 2014); Exercise classes for
Capital Markets Theory, CBS (MSc; Fall/2012, 2013); Exercise classes for Financial Markets and
Institutions, CBS (MSc; Fall/2011); Credit Risk Modelling and Applications, CBS (MSc;
Spring/2010, Spring/2011, Spring/2012); Convexity Adjustments and Interest Rate DerivativesUniversidad Complutense Madrid (PhD, Spring 2010); An Introduction to Optimal Stopping Time
– ISEG (MSc; May/2008)
Selected publications:
T. Bjork, A. Murgoci and X. Zhou - "Mean-variance portfolio optimization with state dependent
risk aversion", Mathematical Finance, 2014, vol. 24, issue 1 (leading article)
T. Bjork, A. Murgoci - "A Theory of Markovian Time Inconsistent Stochastic Control in
Continuous Time", working paper submitted 2014
D. Lando, R. Kallestrup and A. Murgoci - “Financial sector linkages and the dynamics of bank and
sovereign credit spreads”, working paper submitted 2014
T. Bjork, A. Murgoci - "A Theory of Markovian Time Inconsistent Stochastic Control in Discrete
Time", forthcoming Finance and Stochastics, 2013
A. Murgoci - "Vulnerable Options and Good Deal Bounds. A Structural Model", Applied
Mathematical Finance, 2013, vol. 20, issue 3.
Professor Michael Møller (born 1951)
Primary research areas:
Personal Finance, Investment and taxes, incentives and options, pension systems, art and economics
Education:
Ph.D. (lic. Polit), Copenhagen University, 1984
M. Sc. (cand. polit.) Copenhagen University, 1977
Academic positions:
1988 - Professor in Finance, Department of Finance, CBS
1982-1988: Associate professor, Department of Finance, CBS
1980-1982: Assistant professor, Department of Economics, Den Kongelige
Veterinær-og Landbohøjskole (Agricultural University)
1977-1980: Ph. D. student at Copenhagen University and CBS
Teaching activities:
Personal Finance (B.Sc., HD), Corporate Finance (B.Sc), Financial markets and Institutions (HD),
Corporate finance (Summer School)
Selected publications (all books in Danish)
“Taxi Økonomi”. Gyldendal, 2012 (with Niels Christian Nielsen)
“Din Økonomi”. Børsens Forlag 2005, 320 p. (with Niels Christian Nielsen).
”Den Kapitalmarkedsstyrede Virksomhed”. Handelshøjskolens Forlag, 2004, 287 p. (with Niels
Christian Nielsen)
”Kunst- Økonomisk Set”. Gyldendal 1999, 224 p. (with Niels Chr. Nielsen)
”Dansk realkredit gennem 200 år”. Kbvn 1997, 176 p. (with Niels Chr. Nielsen)
Other selected activities:
-Member of the Board of Directors, The Danish Central Bank, since 2007
-Chairman of The Committee on Systemically Important Financial Institutions in Denmark (20122013)
Associate Professor Mads Stenbo Nielsen (born 1975)
Primary research areas:
Credit risk, financial derivatives, liquidity, capital structure, portfolio optimization
Education:
Ph.D.
M.Sc. (cand.scient.)
Academic Positions:
2005-2007
2008
2009-2012
2012-
Copenhagen Business School, 2011
University of Copenhagen, 2005
Ph.D. student, Copenhagen Business School
Lecturer, University of Copenhagen, Dept. of Mathematics
Assistant Professor, Copenhagen Business School
Associate Professor, Copenhagen Business School
Teaching activities:
Financial derivatives (B.Sc.), Portfolio theory (B.Sc.), Introductory Statistics (B.Sc., HD)
Selected publications:
“Additive Intensity Regression Models in Corporate Default Analysis” (with David Lando,
Mamdouh Medhat, and Søren Feodor Nielsen), Journal of Financial Econometrics, 11(3), 443485, 2013
“Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets” (with Peter Feldhütter),
Journal of Financial Econometrics, 10(2), 292-324, 2012
“Correlation in Corporate Defaults: Contagion or Conditional Independence?” (with David Lando),
Journal of Financial Intermediation, 19 (3) , 355-372, 2010.
Other selected activities:
 CBS Education Prize 2011 (for extraordinary contributions to teaching)
 Member of FRIC
Professor Søren Feodor Nielsen (born 1969)
Primary research areas:
Statistical theory and methods, in particular in connection with incomplete data problems.
Education:
Cand scient (1995) and Phd (1998) from University of Copenhagen.
Academic Positions:
1998-2001 Assistant professor, Institute of Mathematical Sciences, University of Copenhagen
2001-2010 Associate professor, Institute of Mathematical Sciences, University of Copenhagen
2010Professor, Department of Finance, CBS
Teaching activities:
Statistical models (undergraduate; HA(mat)), Statistics (undergraduate; BSc IB), Statistics of
Linguists and the Humanities (PhD-course), and graduate courses (Time series analysis, Event
history analysis) for cand.merc.(mat).
Selected publications:
Additive Intensity Regression Models in Corporate Default Analysis (with D. Lando, M. Medhat,
M. S. Nielsen), Journal of Financial Econometrics (2013), 11, 443-485
Effort reward imbalance, and salivary cortisol in the morning. (with N. Eller, M. Blønd, M. L.
Nielsen, Å. M. Hansen, B. Netterstrøm). Biological Psychology (2012), 89, 342-348.
Deconvoluting preferences and errors: A model for binomial panel data. (with M. Fosgerau).
Econometric Theory (2010), 26, 1846-1854.
Nonparametric regression with a latent time series. (with O. Linton, J. P. Nielsen). Econometrics
Journal (2009), 12, 187-207.
Other selected activities:
Member of the board of the Danish Society of Theoretical Statistics (2009-2004); chairman (20092013).
Associate Professor Ulf Nielsson (born 1979)
Primary research areas:
Equity markets and institutions, behavorial finance
Education:
2009 Ph.D., M.Phil., M.A. in Economics, Columbia University, New York
2004 M.Phil. in Economics with Finance, University of Cambridge, UK
2003 M.Sc. in Economics, University of Iceland
2002 B.Sc. in Economics, University of Iceland
Academic Positions:
2013Associate professor, Dpt. of Finance, Copenhagen Business School
2009-13
Assistant professor, Dpt. of Finance, Copenhagen Business School
2008Visiting professor, University of Iceland
2007Visiting professor, Reykjavik University
Teaching activities:
Corporate Finance (B.Sc.), Financial Computer Techniques (B.Sc., M.Sc.), Asset Pricing (B.Sc.),
Microeconomics (B.Sc.).
Selected publications:
“Subscribing to Transparency”, w/ Yinghua He, Hong Guo and Jiong Yang, Journal of Banking and
Finance, 44, 2014.
“Do Less Regulated Markets Attract Lower Quality Firms? Evidence from the London AIM
Market”, Journal of Financial Intermediation, 22 (3), 335-352, 2013.
“Iceland's Economic Eruption and Meltdown”, w/ Bjarni K. Torfason, Scandinavian Economic
History Review, 60 (1), 3-30, 2012 (lead article).
“Clearing and Settlement of Derivatives: Is a Code-of-Conduct Advisable?”, European Law Journal,
16 (4), July, 2010.
“Stock Exchange Merger and Liquidity: The Case of Euronext”, Journal of Financial Markets, 12
(2), May, 2009.
Other selected activities:
2013 Tietgen-prize, gold medal for research contributions, in memory of C.F. Tietgen
2013 ‘Sapere Aude: Young Elite Researcher’ award, Danish Council for Indep.Research (1m DKK)
2012 Elected ‘Teacher of the year’ by students in the B.Sc. Intern. Business program, CBS
2012 Postdoctoral grant from the Danish Council for Independent Research (1.4 mill. DKK)
2008 Wueller award for outstanding teaching, Columbia University.
2008 Research grant awarded by the Center for International Business Educ. & Research
2007 De La Vega research prize, awarded by Federation of European Securities Exchanges
Visiting Professor Andreas Park (born 1972)
Primary research areas:
Financial market microstructure
Education:
PhD Economics, Cambridge University, 2004.
MPhil Economics ,Cambridge University, 1999.
M.Sc. (Diplom) Mathematical Economics, University of Bielefeld, 1998.
Academic Positions:
2014Visiting Professor, Department of Finance, Copenhagen Business School.
2012Associate Professor, Department of Management, University of Toronto Mississauga.
2011Associate Professor, Department of Economics, University of Toronto Mississauga.
2003-2011 Assistant Professor, Department of Economics, University of Toronto Mississauga.
Teaching activities:
Financial Economics (Asset pricing & Portfolio Theory) (Master in Financial Economics),
Investments (Undergraduate), Corporate Finance (Undergraduate), Financial Market Microstructure
(undergraduate, M.A., MFE), Financial Trading Strategies (undergraduate).
Selected publications:
“Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality”
with Katya Malinova. Journal of Finance, forthcoming.
“Herding and Contrarianism in Financial Markets with Endogenous Timing of Trades”.
with Daniel Sgroi. European Economic Review, 56 (6), August 2012, pp. 1020-1037.
“Herding and Contrarian Behaviour in Financial Markets”
with Hamid Sabourian. Econometrica, 2011, 79 (4), pp. 973-1026 (lead article).
“Trading Volume in Dealer Markets”
with Katya Malinova. Journal of Financial and Quantitative Analysis, 2010, 45 (6), pp. 1447-1484.
“How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing”
with Bjorn Bartling; Journal of Financial and Quantitative Analysis, 2010, 45, (2) , pp. 441-471.
Other selected activities:
- Program Co-Director, Master of Financial Economics Program 2011-2014.
- Search committee for finance/financial economics at UTM Management & Economics 2012-14.
- PI of an SSHRC Standard Research Grant 2010-present.
- Co-investigator on a Global Risk Institute grant (PI: Peter Christoffersen).
- Dean’s merit award 2009, 2011, 2013, 2014.
- Supervisor to three PhD students.
- Public lecture on market structure for PDAC.
- Public lecture on ETF research on the 2014 Toronto ETF conference.
- Panel member and presenter on the TMX Annual Trading Conference.
- Several ongoing research projects on high frequency trading and dark trading.
Associate Professor Claus Parum (born 1960)
Primary research areas:
Corporate finance (cost of capital, capital structure, payout policy, valuation, taxation, risk
premium, stock market, and ownership structure), taxation, and portfolio theory.
Education:
Ph.D. (finance) from CBS. M.Sc. (economics) from University of Copenhagen
Academic Positions:
Associate professor, Department of Finance, CBS
Assistant professor, Department of Finance, CBS
Research fellow, Department of Finance, CBS
Teaching activities (present and past)
CBS Bachelor courses: Corporate Finance
CBS Master courses: Corporate Finance at Applied Economics and Finance line, Corporate Finance
at Finance and Strategic Management line, Corporate Finance at Finance and Accounting line,
Advanced Corporate Finance, and Valuation.
CBS Ph.D. courses: Corporate Finance.
CBS Executive courses: International Corporate Finance at Executive MBA, International
Corporate Finance at Flexible Executive MBA, and Corporate Finance at Full Time MBA
CBS Executive (Summer School): Corporate finance.
Selected publications:
Den omstridte ejendomsværdiskat (with Michael Møller). Finans/Invest. 2013. No. 6. p. 6 – 13
Skattereformen 2012 – en analyse (with Michael Møller). Finans/Invest. 2012. No. 7. p. 4 – 10
Aktieporteføljepolitik og realisationsbeskatning i en flerperiodemodel (with Bjarne Florentsen and
Michael Møller). Finans/Invest. 2011. No. 8. p. 9 – 16
Aktieporteføljepolitik og realisationsbeskatning i en én-periodemodel (with Bjarne Florentsen and
Michael Møller). Finans/Invest. 2011. No. 7. p. 15 – 22
“The Taxation of Intangible Property – Economic General Report” (with Michael Møller) in Jane
Bolander (ed.) “Yearbook for Nordic Tax Research 2011”. DJØF Publishing. p. 13 – 26
Other selected activities:
Member of Full Time MBA Study Board
Teaching awards: Teacher of the Year Full Time MBA Class 2009 / 2010 at CBS. Teacher of the
Semester for the 2nd Semester Executive MBA Class 2006/07 at CBS. Teacher of the Semester for
the 2nd Semester Executive MBA Class 2005/06 at CBS. Outstanding teacher at CBS 1997.
Member of Equity committee in the Danish Finance Society
Editorial board member: Finans/Invest
Professor Lasse Heje Pedersen (born 1972)
Primary research areas:
Liquidity risk, asset pricing, dynamic trading, portfolio choice, financial frictions
Education:
Ph.D., Stanford University, Graduate School of Business, 2001.
M.S., Mathematics-Economics (cand.scient.oecon.), University of Copenhagen, 1997.
B.S. Mathematics-Economics, University of Copenhagen, 1995.
Academic Positions:
2011-present Copenhagen Business School, Professor, Department of Finance, FRIC Center
2009-present NYU Stern School of Business, John A. Paulson Professor of Finance and
Alternative Investments, (on leave).
2007-2009 NYU Stern School of Business, Professor of Finance.
2005-2007 NYU Stern School of Business, Associate Professor of Finance, with tenure.
2003-2006 NYU Stern School of Business, Charles Schaefer Family Fellow.
2001-2005 NYU Stern School of Business, Assistant Professor of Finance.
2010
University of Chicago, Milton Friedman Fellow and IGM Visiting Professor.
2009
Columbia Business School, Visiting Professor.
2010-2011 Federal Reserve Bank of New York, Monetary Policy Panel
2009-2011 Federal Reserve Bank of New York, Liquidity Working Group
2004-2007 Federal Reserve Bank of New York, Academic Consultant.
2011-2014 American Finance Association, Director.
2004-present National Bureau of Economic Research (NBER), Research Associate.
2004-present Centre for Economic Policy Research (CEPR), Research Affiliate.
Teaching activities:
Hedge Fund Strategies, Topics in Hedge Fund Strategies, Faculty Research and Writing a
Dissertation, Foundations of Financial Markets, Liquidity and Asset Pricing, Advanced Topics in
Asset Pricing.
Selected publications:
“Betting Against Beta,” (with Andrea Frazzini), Journal of Financial Economics, 2014, vol. 111,
no. 1, 1-25 (lead paper)
“Margin-Based Asset Pricing and Deviations from the Law of One Price,” (with N.Garleanu), The
Review of Financial Studies, 2011, vol. 24, no. 6, 1980-2022.
“Market Liquidity and Funding Liquidity” (with Markus Brunnermeier), The Review of Financial
Studies, 2009, vol. 22, 2201-2238.
“Asset Pricing with Liquidity Risk” (with Viral Acharya), Journal of Financial Economics, 2005,
vol. 77, 375-410.
“Over-the-Counter Markets” (with Darrell Duffie and Nicolae Garleanu), Econometrica, 2005, vol.
73(6), 1815-1847.
Other selected activities:
 Associate Editor: Quarterly Journal of Economics (2011-present), Journal of Finance, (20062012), Journal of Economic Theory (2005-2012), Review of Asset Pricing Studies (2010-2012).
 Banque de France-TSE Prize in Monetary Economics and Finance, 2013
 Germán Bernácer Prize to the Best European Union Economist Under 40 Years of Age, 2011
Assistant Professor Remy Praz (born 1984)
Primary research areas:
Theoretical Asset Pricing, Over-the-Counter Markets, Search Frictions,
General Equilibrium, Information Asymmetry, Commodity Markets
Education:
PhD in Finance, Swiss Federal Institute of Technology Lausanne (EPFL), Switzerland, 2014
MSc in Mathematics, Swiss Federal Institute of Technology Zurich (ETH), Switzerland, 2008
Academic Positions:
2014 - .: Assistant Professor of Finance, Copenhagen Business School
Teaching activities:
Teaching assistant for the master in financial engineering at EPFL for : stochastic calculus,
investment, advanced derivatives
Selected publications:
My current working papers are
 Equilibrium Asset Pricing with both Liquid and Illiquid Markets
 Asymmetric Information and Inventory Concerns in Over-the-Counter Markets (with Julien
Cujean)
 Equilibrium Commodity Trading (with Emmanuel Leclercq)
They are available on my webpage (people.epfl.ch/remy.praz) and on SSRN
Other selected activities:
Professor Jesper Rangvid (born 1970)
Primary research areas:
Asset pricing, return predictability, international finance, exchange rates, financial crises, currency
crises, household finance, mutual funds.
Education:
Ph.D., Department of Finance, Copenhagen Business School, 1999
M.Sc. in Economics (cand. polit.), University of Copenhagen, 1995
Academic Positions:
2010Professor, Department of Finance, CBS
2007-2010
Professor with special responsibilities (temporary position), CBS
2001-2007
Associate Professor, Department of Finance, CBS
1999-2001
Assistant Professor, Department of Finance, CBS
1995-1999
Ph.D. student, Department of Finance, CBS
Teaching activities:
International Finance, Empirical Finance, Financial Markets and Instruments,
Monetary economics, Fixed income analysis, Exchange Rate Theories: An advanced course.
Selected publications:
“End-of-the-year
economic
growth
and
time-varying
expected
Stig V. Møller). Forthcoming in the Journal of Financial Economics.
returns”
(with
“Dividend predictability around the world” (with Maik Schmeling and Andreas Schrimpf).
Forthcoming in the Journal of Financial and Quantitative Analysis.
“Are Economists More Likely to Hold Stocks?” (with Juanna S. Joensen and Charlotte
Christiansen). Review of Finance, Vol. 12, no. 3, 465-496, 2008.
“Output and Expected Returns”. Journal of Financial Economics, Vol. 81, no. 3, pp. 595-624,
2006.
“Determinants of the Implied Shadow Exchange Rates from a Target Zone” (with Carsten
Sørensen). European Economic Review, Vol. 45(9), pp. 1665-1696, 2001.
Other selected activities:
 Seminar coordinator. Department of Finance: 2002 - 2009.
 Associate Dean, CBS E-MBA: 2012-.
 Member of several assessment committees (PhD, assistant/associate professor).
 Chaired government-appointed committee analyzing the financial crisis in Denmark.
 Heavily used “expert on financial issues” in the Danish media.
 Frequently gives talks on economic and financial topics for practitioners.
 Member of the board of directors at The Medical Doctors’ Pension Fund, The Medical Doctors’
Pension Bank, and SKAGEN Funds.
Assistant Professor David Skovmand (born 1980)
Primary research areas:
Mathematical Finance, LIBOR Modelling, Interest Rate Derivatives, Financial Econometrics,
Education:
PhD, Aarhus University, 2008
M.Sc. (Mathematical Economics, cand. scient. oecon.), Aarhus University, 2004
Academic Positions:
2012Assistant Professor in Finance, Department of Finance, CBS.
2010-2011
Visiting Researcher, ETH Zurich
2008-2012
Assistant Professor, Aarhus School of Business
2006-2007
Visiting PhD student, UC Berkeley
2004-2008
PhD student, Department of Management, Aarhus University
Teaching activities:
Portfolio Theory (M.Sc), Asset Pricing (M.Sc.), Empirical Finance (M.Sc.), Mathematical Finance
(M.Sc.),
Selected publications:
“A Lévy HJM multiple-curve model with application to CVA computation”, (with Zorana Grbac,
Stephance Crepey and Natalie Ngor) Accepted for publication in Quantitative Finance
“Efficient and Accurate Log-Levy Approximations to Levy Driven Libor Models”, (with A.
Papapantoleon and John Schoenmakers), Journal of Computational Finance, Volume 15/Number 4,
Summer 2012
“Numerical Methods for the Lévy LIBOR Model”, (with A. Papapantoleon), Springer Lecture
Notes in Computer Science, Volume 6586, EUROPAR 2010 Parallel Processing Workshops
“Implied and Realized Volatility in the Cross-Section of Returns”, (with Michael Verhofen and
Manuel Ammann), International Journal of Theoretical and Applied Finance Volume 12, Issue 6,
September 2009, pages 745-765
“The Valuation of Callable Bonds with Floored CMS-spread Coupons”, (with P.L. Jørgensen)
Wilmott Magazine, November 2007
Professor Carsten Sørensen (born 1963)
Primary research areas:
Dynamic asset allocation, portfolio theory, derivative securities, term structure theory, real options
and commodity derivatives.
Education:
PhD (lic. oecon), Odense University, 1993.
M.Sc. (Mathematical Economics, cand. scient. oecon.), University of Aarhus, 1989.
Academic Positions:
2003Professor in Finance, Department of Finance, CBS.
1996-2003
Associate Professor, Department of Finance, CBS.
1996-1996
Visiting scholar, Northwestern University. (six months)
1993-1996
Assistant Professor, Department of Finance, CBS.
1992-1993
Assistant Professor, Department of Management, Odense University.
1989-1990
Visiting PhD student, Anderson Graduate School of Management, UCLA.
1989-1992
PhD student, Department of Management, Odense University.
Teaching activities:
Derivatives (HD), Corporate Finance (B.Sc., HD, M.Sc., PhD), Options Theory (M.Sc., PhD), Real
Options (M.Sc.), Mathematical Finance (M.Sc.), Portfolio Theory (M.Sc.), Strategic Asset
Allocation (Summer School).
Selected publications:
“Dynamic Asset Allocation with stochastic income and interest rates” (with Claus Munk), Journal
of Financial Economics, Vol. 96, 2010, 433-462.
“Optimal Consumption and Investment Strategies with Stochastic Interest Rates” (with Claus
Munk), Journal of Banking and Finance, Vol. 28, No. 8, 2004, 1987-2013.
“Modeling Seasonality in Agricultural Commodity Futures”, Journal of Futures Markets, Vol. 22,
No. 5, 2002, 393-426.
“Determinants of the implied shadow exchange rates from a target zone” (with Jesper Rangvid),
European Economic Review, Vol. 45, No. 9, 2001, 1665-1696.
“Dynamic Asset Allocation and Fixed Income Management”, Journal of Financial and Quantitative Analysis, Vol. 34, No. 4, 1999, 513-531.
Other selected activities:
- Study Board Director, HA-Almen (B.Sc. in Business Economics), CBS, 2013-present.
- Chairman – Professorforeningen at CBS, 2010-present.
- Member of complex products committee appointed by the Danish FSA (Finanstilsynet).
- Member of Asset Allocation Committee under Danish Society of Financial Analysts.
- Editorial board member: Business Research and Journal of Emerging Market Finance.
- Member of the European Finance Association Executive Committee as Past-President (2013).
- Head of Department, Department of Finance, CBS, 2004-2009.
- SWX Best Paper Award 2007, Statoil award 2002, CBOT award 2000, INQUIRE grant 2001.
- Member of several assessment committees (PhD, assistant/associate/full professor).
Research Professor Morten Sørensen (born 1973)
Primary Research Areas:
Empirical Corporate Finance, Private Equity, Venture Capital, Entrepreneurial Finance
Education:
Ph.D. (Economics), Stanford University, 2005
M.Sc. (Economics, cand.. oecon.), University of Aarhus, 1999
B.Sc. (Mathematical Economics), University of Aarhus, 1997
Academic Positions:
2014–
Research Professor in Finance, Department of Finance, CBS
2008–
Associate Professor, Department of Finance and Economics, Columbia University
(on leave during 2014-15)
2005–2008 Assistant Professor of Finance, University of Chicago
2004–2005 Instructor of Finance, University of Chicago
1999–2005 PhD student, Department of Economics, Stanford University.
Teaching Activities:
 Corporate Finance (PhD, MBA, EMBA, University of Chicago)
 Entrepreneurial Finance (MBA, EMBA, EMBA-Global, Columbia Business School)
 Entrepreneurial Finance and Private Equity (MBA, EMBA, and EBMA-Global, Columbia
Business School)
Selected Publications:
Sorensen, Morten, Neng Wang, and Jinqiang Yang (2014) “Valuing Private Equity” Review of
Financial Studies, forthcoming
Kaplan, Steven, Mark Klebanov, and Morten Sorensen (2012) “Which CEO Characteristics and
Abilities Matter?” Journal of Finance, 67, 3, 973–1007
Lerner, Josh, Morten Sorensen, and Per Strömberg (2011) “Private Equity and Long-Run
Investment: The Case of Innovation” Journal of Finance, 66, 2, 445–477
Korteweg, Arthur and Morten Sorensen (2010) “Risk and Return Characteristics of Venture
Capital-Backed Entrepreneurial Companies” Review of Financial Studies, 23(10), 3738–3772
Sorensen, Morten (2007) “How Smart is Smart Money: A Two-Sided Matching Model of Venture
Capital” Journal of Finance, 62, 2725–2762
Other Selected Activities:
 NBER Faculty Research Fellow (2007 to present)
 SIFR Research Affiliate (2007 to present)
 Advisor for PhD students with initial placements at: LSE, UC-Berkeley, Wharton, NYU,
Stanford, and Cornell
 Presenter or discussant several conferences, including: Econometric Society, AFA, EFA, LBS
(PE Symposium), JOIM, NBER, SIFR, and WFA meetings
 Program committee member for several conferences, including: AFA, EFA, NBER, SFS
Cavalcade, and WFA meetings
 Expert witness in several cases of litigation involving private equity firms
Assistant Professor Gyuri Venter (born 1982)
Primary research areas:
Asset pricing theory, Liquidity, Information in asset markets
Education:
Ph.D. in Finance, London School of Economics, 2011
MSc in Economics, Corvinus University Budapest (with distinction), 2005
Academic Positions:
2011 – present: Assistant Professor, Department of Finance and FRIC, CBS.
Teaching activities:
2011 – present: Corporate Finance (BSc 3rd year), CBS.
Selected publications:
Working papers:
“International funding liquidity” with Aytek Malkhozov, Philippe Mueller, and Andrea Vedolin
“Mortgage risk and the yield curve” w/ Aytek Malkhozov, Philippe Mueller, and Andrea Vedolin
“Multiple equilibria in noisy rational expectations economies” w/ Dömötör Pálvölgyi
“Financially constrained strategic arbitrage”
“Short-sale constraints and credit runs”
Other selected activities:
Honors, scholarships and fellowships:
Research Grant from the Dauphine-Amundi Chair in Asset Management, 2013
IFM2 Mathematical Finance Days Best Paper Award, 2013
Referee activity:
Journal of Finance, Journal of Financial Markets, Review of Economic Studies
Conference presentations:
2015 (scheduled): AFA
2014 (including scheduled): Arne Ryde Workshop (Lund), IFM2 Mathematical Finance Days
(Montreal), Bank of Canada-Bank of Spain workshop on International Financial Markets (Madrid),
Asset Pricing Retreat (Tilburg), Econometric Society North American Summer Meeting
(Minneapolis), SED (Toronto), Imperial College Conference on Foreign Exchange Markets
(London), NBER Summer Institute Asset Pricing.
2013: IFM2 Mathematical Finance Days (Montreal), Bank of Canada conference on “Advances on
Fixed Income Modelling” (Ottawa), SFS Cavalcade (Miami), Financial Econometrics Conference
(Toulouse), WFA (Lake Tahoe), UNC/Atlanta Fed Housing Finance Conference.
2012: Arne Ryde Workshop (Lund), TI-SoFiE Liquidity Conference (Amsterdam), Game Theory
Society World Congress (Istanbul), Econometric Society European Summer Meeting (Malaga),
IFSID conference on structured products and derivatives (Montreal), Young Scholars Nordic
Finance Workshop (Stockholm), UNC Junior Faculty Research Roundtable, Imperial College
Hedge Fund Conference (London).
2011: EFA (Stockholm), EEA (Oslo).
Christian Wagner (born 1979)
Primary research areas:
Empirical asset pricing, international finance, credit risk, risk premia
Education:
PhD (Finance, Dr. rer.soc.oec) WU Vienna University of Economics and Business, 2006.
CCEFM Doctoral program in finance (predecessor of Vienna Graduate School of Finance), 2006.
MSc (International Business, Mag. rer.soc.oec.), University of Vienna, 2002.
Academic Positions:
07/2012 –
07/2008 – 06/2012
09/2002 – 02/2007
Associate Professor in Finance, Department of Finance, CBS.
Post-doc, Institute for Finance, Banking and Insurance, WU Vienna.
Prae-doc, Institute for Financial Markets, WU Vienna.
Teaching activities:
Copenhagen Business School: International Finance (MSc), supervision of master and bachelor
theses and business projects.
WU Vienna: International Financial Management (Bachelor, MSc), Fixed Income (Professional
MBA), Market Risk Management (Professional MBA), supervision of master and bachelor theses
Selected publications:
“The Cross-Section of Credit Risk Premia and Equity Returns”, with Nils Friewald and Josef
Zechner, 2013, Journal of Finance, forthcoming.
“Properties of Foreign Exchange Risk Premiums”, with Lucio Sarno and Paul Schneider, 2012,
Journal of Financial Economics, 105 (2), 279-310.
“Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation”, 2012,
Journal of International Money and Finance, 31 (5), 1195-1219.
“Trading the Forward Bias: Are there Limits to Speculation?”, with Markus Hochradl, 2010,
Journal of International Money and Finance, 29 (3), 423-441.
“Determinants of Operational Risk Reporting in the Banking Industry”, with Günther Helbok, 2006,
Journal of Risk, 9 (1), 49-74.
Other selected activities:

2007-2008: Oesterreichische Nationalbank (central bank of Austria), auditor for commercial
banks’ credit and market risk models, CEBS/BC task force on procyclicality of Basel II.

Organizer of the “Annual Conference in International Finance”, joint with Pasquale Della
Corte (Imperial College) and Maik Schmeling (Cass Business School).
Assistant Professor Ramona Westermann (born 1981)
Primary research areas:
Corporate finance, structural models, agency conflicts, credit risk
Education:
PhD in Finance, Swiss Finance Institute at the University of Geneva, Switzerland, 2013
Diploma (Mathematical Economics), Bielefeld University, Germany, 2006
M.Sc. (Economics), Purdue University, USA, 2004
Academic Positions:
2013Assistant Professor in Finance, Department of Finance, CBS
Teaching activities:
Corporate Finance (M.Sc.)
Selected publications, working papers, and work in progress:
“Measuring agency costs over the business cycle”, Working paper, 2014.
“Debt covenant renegotiation and investment” (with M. Arnold), Work in progress, 2014
“Growth options, macroeconomic conditions, and the cross section of credit risk” (with M. Arnold
and A.F. Wagner), Journal of Financial Economics ,Vol. 107, 2013, 350-385.
Top-3 publications 2013
1. Peter Christoffersen; Steven Heston; Kris Jacobs / Capturing Option Anomalies with a VarianceDependent Pricing Kernel, Review of Financial Studies, Vol. 26, No. 8, 2013, p. 1963-2006
2. Nicolae Gârleanu; Lasse Heje Pedersen / Dynamic Trading with Predictable Returns and Transaction
Costs, Journal of Finance, Vol. 68, No. 6, 12.2013, p. 2309–2340
3. Bo Young Chang; Peter F. Christoffersen; Kris Jacobs / Market Skewness Risk and the Cross Section
of Stock Returns, Journal of Financial Economics, Vol. 107, No. 1, 1.2013, p. 46-68
4. Marcel Fischer; Michael Z. Stamos / Optimal Life Cycle Portfolio Choice with Housing Market Cycles,
Review of Financial Studies, Vol. 26, No. 9, 9.2013, p. 2311-2352
5. Clifford S. Asness; Tobias Moskowitz; Lasse Heje Pedersen / Value and Momentum Everywhere,
Journal of Finance, Vol. 68, No. 3, 6.2013, p. 929-985
6. Susan Christoffersen; Richard Evans; David K. Musto / What Do Consumers' Fund Flows Maximize? :
Evidence from Their Brokers' Incentives, Journal of Finance, Vol. 68, No. 1, 2.2013, p. 201-235
Top-3 publications 2014 and forthcoming
1. End-of-the-year economic growth and time-varying expected returns, Stig V. Moeller and Jesper
Rangvid, Journal of Financial Economics, forthcoming.
2. The Cross-Section of Credit Risk Premia and Equity Returns, Nils Friewald, Christian Wagner and
Josef Zechner, Journal of Finance, forthcoming.
3. Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality, Andreas Park and Katya
Malinova, Journal of Finance, forthcoming.
4. Sorensen, Morten, Neng Wang, and Jinqiang Yang (2013) “Valuing Private Equity,” Review of
Financial Studies, forthcoming.
5. Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen, Journal of Financial Economics, 2014,
Vol. 111 (1), pp. 1-25.
Appendix A3: Ranking of European schools based on top-3
publications in 2011-13
Arizona State University published the 2013 rankings just before the deadline of the
self-assessment report. For this reason, the rankings are included as an appendix to the
report. All school ranked at least 100 worldwide is included below.
CBS published 14 articles in the 2011-13 period, which was the fourth highest in Europe
– behind LBS, LSE and Tilburg.
The 7 articles published in 2013 includes one article published by a faculty member
from the Department of Economics. As the ASU ranking registers the school or
university rather than the department, numbers differ from departmental production.
As this is consistently done across schools, no adjustments are made.
While the placement is good, several schools are close in terms of production of top-3
articles. Bocconi never published more than 1 article per year before 2012, but then
published 3 articles in 2012 and 10 in 2013. If Bocconi continues this level of
production, it will most likely occupy a spot among the 5 most productive schools in
Europe, thus making it more difficult for the Department of Finance at CBS to achieve
the vision of being among the top 5 in Europe. One can also note that a quickly
increasing number of publications is required to be included in the top-10 list. While the
2008-10 production of just 4 articles would rank a school in the European top 10, the
2011-13 production requires 9 articles.
Top-3 rank
1
2
3
4
5
5
7
8
9
10
10
12
12
14
14
14
14
14
19
20
Organization
London Business School
London School of Economics
Tilburg University
Copenhagen Business School
Bocconi University
Oxford, University of - U.K.
INSEAD
HEC School of Mgmt - Paris
Ecole Polytechnique Federale de
Lausanne
Cass Business School
Stockholm School of Econ.
Nova School of Business and
Economics
Universitat Pompeu Fabra
Aalto University
Amsterdam, U. of (Netherlands)
EDHEC Business School
Erasmus, U. of - Rotterdamn (EUR)
Warwick, U. of - U.K.
Hebrew University (Israel)
Geneva, University of
2011
6
6
9
2
0
1
3
3
3
2012
12
12
6
5
3
6
3
5
3
2013
12
9
9
7
10
6
6
3
4
Total
30
27
24
14
13
13
12
11
10
3
4
3
4
2
2
2
3
2
9
9
7
1
3
4
1
3
1
3
1
3
3
1
1
2
4
0
0
3
0
1
4
1
1
2
3
7
6
6
6
6
6
5
4
20
20
20
20
20
20
20
Imperial College
Lausanne, University of
Mannheim, Universitat
Tel Aviv University
Toulouse, Universite de
University of Lugano
Zurich, U. of
Sum
1
1
2
1
2
0
3
70
3
2
1
1
0
2
0
86
0
1
1
2
2
2
1
97
4
4
4
4
4
4
4
253
Draft of policy for journal ranking at the
Department of Finance
In finance, there is little argument that the Journal of Finance, the
Journal of Financial Economics and the Review of Financial Studies
constitute the three leading journal by a wide margin. Also, many
people would agree that the Journal of Financial and Quantitative
Analysis is the fourth most prestigious journal in finance. However,
outside of these four journals there is no clear ranking of journals in
finance.
Researchers at the Department of Finance should always strive for
top publications. Indeed, clarity at the top and relative fuzziness
among the remaining journals do help ensuring focus on top
publications. Still, given that the department does value publications
outside the top-3, it is useful to have a more complete picture of the
relative standings of journals as seen from the perspective of the
head of department.
The ranking system proposed here should especially be useful for
younger researchers as a rough guide of where to submit a working
paper. Likewise, the ranking is useful when the head of department
makes promotion cases to the CBS-Wide Assessment Committee
(CWAC). That is, it allows for the inclusion of a reasonably objective
argument to a promotion case and forces the argument to be made
on a consistent basis from case to case. However, this does not mean
that promotions will be made on the basis of a rigid point system.
Rather, the rankings constitute an additional input in the decision
process and are helpful as a communication device to CWAC.
The ranking system developed in the policy paper strives to be as
objective as possible in the sense of not promoting any particular
research agenda or desire to promote particular journals for other
reasons. However, it does also take a CBS perspective by considering
that articles in certain journals are of higher value to CBS than
articles in journals of arguably similar quality. A meta-ranking
approach is used, in which other rankings constitute the input.
Both finance and statistics, as well as general
management/economics journals are included in the ranking.
Articles in non-finance (or statistics) journals (such as economics,
accounting, etc.) are regarded as being at the same level as the
Department of
Finance
Solbjerg Plads 3, A5
DK-2000 Frederiksberg
21 July 2014
SH
Søren Hvidkjær
Professor, Head of
Department
relevant finance journals if and only if the articles have finance (or
statistics) content.
The publication priorities are as follows:
A+
A
AB+
B
C
Top-3 finance journals and top-4 economics journals
Journals in the FT-45 or UTD lists
Journals in the HEC Journal List 2011 level A
Journals in the HEC Journal List 2011 level B+ (amended
with five recently established journals)
Journals in the HEC Journal List 2011 level B or in the
Danish BFI level 2 list
Journals in the HEC Journal List 2011 level C or in the
Danish BFI level 1 list
A particular journal might be included in several levels. In that case,
the highest level is used in the ranking.
The ranking are based on the following considerations:
A+ : Top-3 finance journals and top-4 economics journals
As noted above, there is little argument that the Journal of Finance,
the Journal of Financial Economics and the Review of Financial
Studies constitute the three leading journal in finance by a wide
margin. A department can only be excellent if it delivers a substantial
production of articles in the top-3 journals. As there are substantial
overlaps between finance and economics, the leading economics
journals are also natural outlets. The four leading journals in
economics are also well defined: the American Economic Review, the
Quarterly Journal of Economics, the Journal of Political Economy and
Econometrica.
A : Journals in the FT-45 or UTD lists
The Financial Times 45-journal list and the University of Texas,
Dallas 20-journal list consists of management journals. The top-3
finance journals are on both lists and the FT45 list also includes the
Journal of Financial and Quantitative Analysis. The FT45 is used for
ranking business schools and as such is important to CBS at large.
Both lists are also part of the CBS development contract with the
ministry and for this reason important to CBS.
A- : Journals in the HEC Journal List 2011 level A
The HEC level A journals consists of 87 management and economics
journals, and is thus a broader list of the leading journals. The HEC
list appears to be reasonably reliable, although is seems to have a
2
slight European bias (ranking European journals higher than
corresponding U.S. journals in some fields). The HEC list is itself
based on other rakings: ABS, CNRS, EIRM, FT and VHB.
The finance journals in top-3/FT45/UTD are subsets of the HEC level
A journals. The Review of Finance is also included among the HEC
level A, thus reflecting its status just outside the FT45 list.
Importantly for the Center for Statistics, the HEC list also contains
statistics journals. HEC level A journals in statistics include
Biometrika, the Journal of the American Statistical Association and
the Journal of the Royal Statistical Society, Series B.
B+ : Journals in the HEC Journal List 2011 level B+
(amended with five recently established journals)
Most finance journals in the HEC level B+ list could be considered
leading field journals: Finance and Stochastics, the Journal of
Corporate Finance, the Journal of Financial Econometrics, the Journal
of Financial Intermediation, the Journal of Financial Markets and
Mathematical Finance. The Journal of Banking and Finance is
perhaps better described as a general interest journal of a good, but
clearly lower quality than, say, Review of Finance.
The Society for Financial Studies and the American Economic
Association both have inaugurated journals whose quality are still
unclear. They are






the Review of Asset Pricing Studies
the Review of Corporate Finance Studies
AEJ: Applied Economics
AEJ: Economic Policy
AEJ: Macroeconomics
AEJ: Microeconomics
Ranking them similar to leading field journals seems appropriate,
although their ranking might be adjusted in the future.
The Scandinavian Journal of Statistics is among the statistics journals
in the B+ list.
B : Journals in the HEC Journal List 2011 level B or in the
Danish BFI level 2 list
Most finance journals in the HEC level B list are also good field
journals, including the Journal of Derivatives, the Journal of
3
Empirical Finance, the Journal of Futures Markets, the Journal of
Portfolio Management and the Review of Derivatives Research.
The BFI list is of significance for CBS, as part of the funding depends
directly on the number of BFI points produced. One BFI point has
been estimated to generate 15,000 kr. in the basic research funds,
although this estimate depends on a number of assumptions. Articles
in the BFI level 1 list generate 1 BFI point while articles in the BFI
level 2 list generates 3 BFI points. The BFI list contains too many
articles to be truly useful in guiding which outlet the researcher
should aim for in terms of generating impact. Thus, the budgetary
effects mainly drive its importance.
Among the HEC level B finance journals, only two are included in the
BFI level 2 list, while the remaining are BFI level 1 journals.
C : Journals in the HEC Journal List 2011 level C or in the
Danish BFI level 1 list
The quality of the journals in the HEC level C list is mixed: some are
of good quality while some are of questionable quality. Journals
outside the list whose quality is higher than some of those included
probably exist.
The Danish-language journal Finans/Invest is a BFI level 1 journal.
The C level in the Department of Finance ranking corresponds to the
ranking in the HEC list of another practitioners’ journals – the
Financial Analyst Journal.
4
June 7, 2007
External Evaluation report
Department of Finance
Copenhagen Business School
Tom Berglund
Bernard Dumas
Executive Summary
The Department of Finance at the CBS plays a crucial role in supporting Copenhagen
as a financial centre in the Nordic region. This is reflected in the sizeable teaching
burden that the Department has to carry. Against this background, we find the
department to be understaffed and short of resources. The Department’s
commendable goal to become one of the top ten European Finance departments in
terms of research, presently within reach, is seriously jeopardized unless there is a
major increase in resources channelled to it. Too large a part of the faculty’s time is
presently consumed by duties of teaching and administration to allow faculty
members to produce enough high level research output. We stress that the possibilities
to attract additional competent faculty members, to ease the burden of teaching and
administration per faculty member, are strictly limited by present levels of
compensation offered to faculty at CBS. A decisive effort from the school as well as
the Finance community in Denmark will be needed to produce the required increase
in available resources for the Department. More resources are required primarily to
materially increase compensation levels for faculty members doing high quality
research, i.e. research with reasonable chances of being published in the best
international journals. For this purpose, in addition to a significant increase in
resources provided by the CBS, we advocate the establishment of a national
foundation, which should be given authority to grant sizeable merit-based increases in
compensation to individual researchers in finance at Danish universities. Cumbersome
procedures for hiring new faculty members at CBS should also be replaced by a
flexible tenure-based system, which shifts the emphasis towards the tenure decision,
and away from the initial hiring decision, where the outcome is impossible to forecast
with accuracy in any case. The Ph.D. program in Finance should also be expanded
with the goal of producing Ph.D.s in finance that prove attractive also for non-Danish
top universities. Only by continuously accepting the challenge of the outside market
for finance faculty can the CBS ensure that it has a globally competitive Finance
Department.
1
Introduction
Following the request expressed in the self-evaluation report of the
Department of Finance “..that the [external] evaluators …” should “…address
whether: (i) the mission statement and overall strategy of the department is reasonable
and realistic, and (ii) the vision of being a top-10 Finance department in Europe is
reasonable and realistic in a 5-10 year perspective,” we devote a substantial part of
our report to the discussion of those issues. The report cites the department’s mission
“to be visible and clearly recognized by the Danish community in general and by the
international society of researchers within finance in particular”. A theme of our own
report will be that these two aspects of the mission are strongly related, to the extent
that the department should provide knowledgeable persons who can maintain and
develop an increasingly complicated financial services industry with a global reach,
based in Copenhagen.
As background information, we read the documentation that was provided to
us, most notably the department’s very thorough self-evaluation report. On April 24th
and 25th, 2007 we paid an on-site visit to the department. During this visit we met
with the coordinator Carsten Sorensen and all the other fourteen members of the
department. The professional orientations covered by researchers at the department
are: credit risk and asset price modeling, real estate finance and economics, pension
economics and corporate finance. The age distribution of the faculty is somewhat
tilted towards the older group: ten members are 40 years old or above and five only
are younger than 40. Neither is the nationality distribution uniform: all members of
the department are Danish citizens except for one, who is Swedish.
The interviews took place in a remarkably congenial and constructive
atmosphere. Not a single event of confrontation occurred. It was apparent that
department members currently work together harmoniously and selflessly for the
common good of the school, and that they are happy to do so and to be working for
CBS. Carsten Sorensen’s work as department head seemed to be widely appreciated
by the faculty.
Positioning of the Department in Europe
To answer the question of future positioning, we need to start from the
assessing of the current rank of the department. That is not an easy task because, to
our knowledge, there does not exist any well known, commonly accepted, ranking of
Finance departments in Europe. The best Finance department in Europe is that of the
London Business School. The rank order of the rest of the Finance departments in
Europe depends on the exact weights put on a number of different criteria. Based on a
subjective and unsystematic survey of the most well known Finance departments in
the region, we believe that a department of size 15 that achieves an average of 5 Alevel publications on an annual basis, should be qualified for a position among the top
ten Finance departments in Europe.
It seems to us that the CBS department is within reach of entering that group
given that the scope for research will expand as we outline below. At the present time,
however, not more than 5-6 of faculty members have any A-level publications. And
practically no member of the department has met the international standard, which
LBS, INSEAD and Lausanne among others try to enforce, of four A-level
publications within a period of six years after graduation. However, the Self2
evaluation report contains a number of indications that the members of the
department are eager to dedicate themselves to research and are in a position to do so,
if given sufficient time to focus on research.
A piece of evidence in support of improved research orientation at the
department concerns research seminars. In a research oriented department, the weekly
academic seminar plays a crucial role for the exchange of ideas within the group and
with outside researchers. One such seminar is now held regularly, a marked
improvement over ten years ago, when the external auditors noted the absence of such
a seminar with regret.
The Last Ten Years
A tough challenge
Basic facts1 concerning CBS’s activities make it clear that CBS in general and
the Finance department in particular have been facing a tough challenge in recent
years. The school as a whole has 15,000 students (including 2,795 executives
undergoing executive education) that receive education for a total budget of
€110million only. That the extraordinarily tight resource constraint implied by these
figures hits the Finance department in particular is evidenced by the fact that, of the
school’s 344 faculty members, only 15 are members of the Finance department, while
about a third of the school’s teaching, in terms of student hours, is delivered in the
subject area of Finance. It is also evidenced by the fact that the department has to
employ and administer 150 external lecturers (who deliver 10150 CBS accounting
hours).
CBS has a detailed accounting system in place for tracking hours spent by
faculty on teaching, teaching related and administrative tasks, in which a faculty
member (at the rank of full or associate professor) is expected to devote 900 hours2 a
year to these activities. According to that system, the Finance faculty is currently
overloaded by a mere 10% on an average. Nonetheless, it is a commonly accepted
norm that members of the Finance department in practice have to devote
approximately two thirds of their working hours to teaching, and to teaching-related
administration. If so, only a day and a half a week is left for research, which is very
little.
The disadvantage faced by the Finance Department is also evident in the Ph.D.
education at the school. Out of a total of 144 Ph.D. students in the school four are in
Finance and only two of those receive CBS funding, the other two being industry
supported on a case-by-case basis. While CBS Finance faculty delivers only four PhD
courses,3 it teaches in total 70 different courses and is active in no fewer than 9
academic degree programs, either at the undergraduate or the Master’s level, and in 5
HD or MBA programs. To attract a large number of students, the department has been
encouraged to create new degree programs. Managing the programs, even with the
1
Sources: the “Facts and Figures” document and the self evaluation of the Finance Department.
The load is reduced to 700 hours for assistant professors.
3
These four courses are taught at the national level. See: http://www.phdfinance.dk. The balance of the
education of PhD students is provided in the form of specialized topics courses.
2
3
assistance of 10 full-time administrative employees, is time consuming and involves
managing the corresponding number of study boards.4
This configuration places a heavy burden on the Finance faculty. Not much
time is left for research activities. Whereas the external-audit report of 1995 lamented
the lack of research output and was largely dedicated to a plea for more research
activity, it is refreshing to see today that members of the department, despite their
burden of teaching and administration, have slowly but steadily published in top
journals, and, as has been noted in the self-evaluation report, have also actively
participated in editorial activities. A general attitude among the members of the
department is a sense of pride of having been able to carry this burden collectively. In
particular in the field of credit risk modeling and term structure theory the department
has been able to produce research that has obtained wide international recognition. In
other areas the research is more scattered, but some potentially influential
contributions do stand out, e.g. in asset pricing and corporate governance. Some of
this high quality research goes unrecognized today because the activity of selling
research – such as writing convincing and well crafted articles for publication in
scientific journals – increasingly requires additional faculty time, which is not
available.
Understaffing and salary levels
As external evaluators of one particular department we will not consider in
detail the reasons for which the Finance department is as understaffed as it presently
is compared to other departments at CBS on an average. However, one obvious
aspect, which also has a substantial impact on the potential for improving research
quality, is that CBS is unable to recruit Finance faculty because the salaries it offers
are inordinately low by world and even European standards. According to information
that we received, a faculty member at CBS fetches approximately half the salary he or
she would receive in better schools on the European market. The starting salary is
approximately $50,000, whereas it is $100,000 as a minimum on the European
market, and the very best European schools, such as London Business School, offer
salaries that reach U.S. levels close to $200,000. At the top of the scale, a renowned
CBS professor might earn $100,000 while that person may perhaps be able to receive
as much as $200,000 on the international market.
Given the salaries currently being offered by CBS Finance, it is not realistic to
expect the department to recruit international talent on the open market for beginning
faculty. The unusual age distribution of the faculty, which we noted at the beginning
of this report, is a clear indication of the difficulty faced by the department.
It is important to recognize that, in the area of Finance, industry demand for
highly educated persons, including PhDs, continues to be strong. This implies that,
even if the department somehow succeeded in attracting talented young researchers, it
would find those persons difficult to retain. Industry salaries are approximately double
those of academic salaries. In countries where academic salaries lag behind due to
general restrictions, faculty is frequently allowed to enhance their income by taking
consulting assignments, but this has the drawback that it reduces the time available for
serious research.
4
In addition, faculty members have no teaching assistants. They do their own grading even when they
have 150 students in a course.
4
Recruiting procedures
The cumbersome recruiting procedures of the school may also contribute to
the staffing situation. In the field of Finance, the yearly market for hiring opens in
early January and has cleared already by the end of March. If a committee is to be
formed, and several stages of hierarchy need to be involved, before a firm contract
and salary offer can be put in the hands of a potential new faculty member, especially
a junior one, CBS de facto excludes itself from the contest. If a binding offer cannot
be given sooner than one and a half months after the initial contact, a good candidate
with several alternatives has most likely already accepted another job by the time the
offer is made. Testimony has been received indicating that similar problems of
procedure have been encountered at the University of Aarhus. It is plain that not just
Danish schools but also many other European state schools have not yet made use of
or implemented fully a tenure system. The tenure system implies that the important
decision to be made with utmost care is the tenure decision, not the initial hire of a
beginner to a tenure-track position. The initial-hire decision can be made more
speedily if it is known that there will be another hurdle once the value of the young
faculty member has been revealed.
The Next Ten Years
The extraordinary efforts made by the CBS Finance faculty over the last ten
years has paid off and has brought the department collectively close to the group of
the top ten European departments. The real issue for the CBS presently is whether the
remarkable level that the Finance department has reached is at all sustainable during
the coming years.
Salaries
The first and foremost issue is the increase of the compensation to talented
faculty. Salaries should and probably can be increased as a result of two policy
changes. First, internally the school has to recognize that some academic areas in
today’s market fetch higher salaries, simply because these areas are highly valued
around the world and because the school is competing with high-paying industry jobs.
While faculty from some areas outside Finance may find it difficult to accept such
differences, a school that teaches business and free-market economics cannot refuse to
accept the reality of the market place. The top management of the school thus faces
the challenge of determining how large a salary differential between departments is
politically feasible. It must be possible to persuade the faculty at large that market
realities cannot be ignored. The field of Finance has achieved what is presumably the
goal of any field in a business school; it has proven to be relevant to industry practice
so that personnel with an academic background can easily find employment in
industry, which drives salaries up. If salaries were not differentiated across
departments, that very successful field would de facto be asphyxiated at CBS. The
CBS as a whole has a lot to gain from understanding the need to support research and
teaching which strengthens the financial services industry in the Copenhagen region.
However, in the name of realism we find it unlikely that the faculty in its midst would
accept salary differentials that would be sufficiently large to bring CBS Finance
salaries to market levels.
5
External funding
Secondly and consequently, some external funding must be sought. Since the
salary situation is not specific to CBS, and is in fact common to all Danish business
schools, it may not be a bad idea to persuade Danish business leaders, especially those
in the Banking and Insurance sectors, to recognize that the low level of compensation
is a national problem: given industry and foreign salaries, compensation of Finance
faculty in Denmark is too low to allow the school to recruit at the best level. The
public university system cannot realistically be expected to cope with the situation by
its own devices (witness the overall school budget size).
The Department’s existence derives its main justification from the role it plays
as part of the Danish society. The increasing importance of financial services as job
providers in the Copenhagen region is directly reflected in the increasing demand for
the teaching delivered by the Finance Department at CBS. According to data from
Danmarks Statistik, Statistikbanken, the Copenhagen region has a 136 % higher rate
of jobs in financial services than what is the case in the rest of Denmark. As the
financial services business becomes more international these jobs will require that
Copenhagen stays competitive compared to other European financial centres. As
evidenced by The Global Financial Centres Index (City of London, March 2007)
Copenhagen presently ranks 34th in a global setting, closely topped by the other
Nordic capitals with Stockholm at rank 29. In our view it is obvious that the future
will bring more regional concentration in financial services, with the winners gaining
at the expense of centres that will become marginalized. For a city like Copenhagen to
be able to hold its ground and increase in importance, as a Nordic financial centre, the
ability to provide top-level expertise in Finance is of crucial importance. Here the
Finance Department at the CBS plays a key role.
The shortage of faculty will harm business in the financial sector since it is
bound to have effects on the future supply of qualified professionals in the sector.
When shortage occurs, Danish banks will have no choice but to hire staff from, or
move operations abroad, at a much higher expense than would be the case if faculty
salaries and size were increased today. The idea of a National Foundation, called
perhaps the Danish Finance Institute, comes to mind based on a similar idea that has
been carried out in Switzerland (http://www.swissfinanceinstitute.ch/). The purpose of
the Foundation would be to allot multi-year or lifetime chairs in Finance to specific
individuals employed by business schools in the country. These professors would be
paid a yearly bonus or additional salary sufficient to bring Danish salaries up to
European levels. The Foundation could also finance PhD education and support
doctoral level education in Finance offered at the national level. It could also finance
research projects, including budgetary support for buying back teaching time, so that
faculty could devote more of their time to the research projects being supported.
Private support for academic activities is not specific to the United States or
Switzerland. Next door to Denmark, Sweden has seen the creation of the Swedish
Institute for Financial Research. See http://www.sifr.org/ for a description of its
activities and a list of its donors. In Finland, the Foundation for the Promotion of
Securities Markets has provided support for academic persons actively doing research
in Finance.
The international job market
Once sufficient salary support has been made available, the CBS Finance
department will be in a position to enter the international job market for faculty.
6
Active participation in that market brings the critical benefit of transparency. Closely
observed actual transactions will reveal the reality of international salaries to the
whole school and thus the required effective cost of maintaining a top-rate,
internationally diversified group in Finance, which a business school that prides itself
of being in the top-ten group on a European level cannot do without.
The faculty job market is a two-way street. If the school is active on that
market, the school’s Ph.D. graduates – whose numbers should be increased as more
resources are allocated to improve the position of the Finance faculty -- will also be
more visible. They will get good jobs abroad and acquire expertise and novel ideas.5
Once salaries in Denmark have been brought to competitive levels, the PhDs can be
hired back after a few years. They will then bring home their enhanced human capital.
That situation will be much more efficient than the current one, in which young
graduates face the tragic choice, either to stay home at a great sacrifice in salary and
eventually, for lack of research output, to forego all opportunities to have an
international career, or to go abroad and, as a rule, never come back.
To facilitate the entry of Danish schools into the world market for Finance
faculty, hiring procedures must be all but eliminated and replaced by a “venturecapital” attitude. The school must trust the judgment of its own faculty. Once the
faculty has identified a scholar who is to their liking, the school must pay the going,
standard salary for beginners and accept the hire as a gamble. Either the person will fit
in, become productive and be promoted to a permanent position later on, or the person
will fail to succeed and leave the school. Elaborate procedures and complicated
arguments concerning initial appointments and initial salaries are a waste of
resources. The candidate has no experience anyway. In most cases, it is not possible
to justify the appointment and reliably forecast his or her performance, on the basis of
past accomplishments.
Recommendations
During our review, it has become apparent to us that the very valuable Finance
group at CBS is not receiving a level of recognition commensurate with its
contribution to the school. This is all the more surprising as every one of its members
appears to pull his or her heavy burden in a commendable spirit of cooperation and
seems happy to be part of the CBS team.
To remedy this problem, we recommend the following steps, which are
absolutely essential to allow the CBS Finance department to manage properly their
human resources:
• Increase the size of the Finance group so that each member can devote more
time to his or her own research work. After all, the main point of being an
academic is to have time for constructive thinking that promotes the level of
knowledge in one’s field. Without that available time, what reason does a young
graduate have to undertake an academic career, as opposed to joining industry
for a higher pay? A larger size of the Finance faculty would have the added
benefit of increasing the ratio of internal to external teachers, which is
extraordinarily low at the present time.
• To make it possible to recruit new faculty, salaries must be adjusted to market
levels. This can be done by means of salary differentiation within the school but
also by means of external funding.
5
Two out of the five department members under the age of 40, are recent PhD graduates who should
be encouraged to seek their fortune on the international job market.
7
•
•
•
Given that the same salary problems exist nationwide, the possibility to organize
external funding on a national level should be considered. A Foundation, called
perhaps the Danish Finance Institute, should be created for the purpose. It would
grant multi-year and lifetime salary supplements to specific individuals in the
country.
To make it possible for CBS to become an active recruiter on the world market
for faculty, cumbersome procedures for the hiring of junior faculty should be
scrapped, or very much lightened, and replaced by a “venture capital” attitude
relying on the expertise and subjective judgment of the present Finance faculty.
The risks involved are not huge given that there is a mutual understanding that
the recruited person will be asked to leave the school if his or her performance is
not what was expected when the initial offer was made.
The Ph.D. program should be expanded. The goal should be to place CBS Ph.D.
graduates on the world market for Finance faculty, so as to globally enhance the
reputation of CBS as an institution of higher learning.
8
Midterm Review of CBS WCRE Initiative in Financial Risk Management
Jean Helwege and Allan Timmermann
In 2008 Copenhagen Business School awarded funding for six World Class Research Environments
(WCREs). The purpose of the initiative was to create a set of research environments of international
standing which in turn would add to the overall reputation of CBS. To quote from the call for
applications, “International recognition of CBS as a leading research institution in selected fields will
prove crucial to CBS’ ability to survive as an independent business university in the fierce competition
for the best researchers, the best students and the necessary funding.” Our task here is to evaluate the
success to date of the initiative for financial risk management, headed by David Lando and Carsten
Sorensen of the finance department.
We consider three major criteria of the initiative, as laid out in the August 20, 2011 document entitled
“World Class Research Environment – mid-term evaluation.” They are: (1) the international standing of
the financial risk management research group; (2) the development and progress of the WCRE group
from 2008 including its ability to attract internationally recognized scholars; and (3) the initiative as a
vehicle for enhancing the reputation of CBS in the area of financial risk management. We begin with
general comments related to these three topics. Next, we address the success of the initiative by
evaluating its six deliverables, as laid out in the document “CBS Strategy,” dated October 14, 2011.
These are: (1) research management and infrastructure; (2) high academic impact (research
publications); (3) PhD development; (4) internationalization; (5) dissemination efforts; and (6) external
income. Finally, we list future challenges facing the finance group at CBS, provide suggestions for
improvement and conclude.
Our overall assessment of the financial risk management program is very positive. The finance research
group has used its funding extremely wisely and has adopted practices that are likely to raise the profile
of CBS markedly. By any metric, the research environment has improved sharply since 2008 and the
group is poised to make further progress. In this regard, the group’s recruitment of Soren Hvidkjar
(2008), Kristian Miltersen (2009), Jesper Lund (2010), and Lasse Pedersen (2011), all of whom have
published in top finance journals, has helped establish the basis for a world class finance group. The
group’s academic publications since the initiative began places the finance department at a rank of
about 10th among European universities and approximately 90th among all finance departments
worldwide. While it remains to be seen whether the group can continue to produce at the same rate in
the coming years, the quantity of very successful research publications mid-way through the initiative is
remarkable. The outcome is especially laudable given the fact that several major hurdles face the
finance department in its efforts to compete in the international job market for finance scholars.
We view the initiative as a wonderful catalyst for improving the reputation of the finance department
and thus that of CBS. While Professors Lando and Sorensen might have pushed through many of the
changes even if they had not won the funds from the initiative, the increase in the pool of money to
1
support research has had a noticeable impact on both the desire and the ability to publish in top
journals.
1. Research management and infrastructure
We believe that the initial WCRE funding, together with additional funding sources such as D-CAF, has
been spent well on data acquisitions, such as obtaining Bloomberg terminals and data from the Wharton
WRDS facility. These types of data are crucial for modern-day researchers in a competitive environment
and therefore necessary to make CBS’ comparable to that of other European and U.S. research groups.
This is particularly important when it comes to recruiting both junior and senior faculty.
WCRE funding has been used to create a superb seminar series at CBS, bringing in top notch researchers
from the best universities in the world. This is crucial for the research environment in several
dimensions. First, it signals to the outside world that the finance group at CBS is seriously committed to
research of the very highest quality. Second, it helps CBS faculty extend their network with first-rate
international researchers, enhancing the probability of future co-authorships with quality professors
from other universities. This point is particularly important in helping assistant professors gain visibility,
which can otherwise be a difficult task. Active participation by assistant professors in organizing the
finance seminar series is a good way to help them establish a professional network. Third, it allows Ph.D.
students and younger faculty to learn from successful researchers about their methods for identifying
promising topics and how they manage their time, making it more likely that CBS researchers will enjoy
similar successes in their careers.
Research funds have also been used to send CBS finance faculty to international conferences, which
helps increase the visibility of the group around the world. The most important conferences are the
American Finance Association (AFA) meetings in January and the Western Finance Association (WFA)
meetings in June. Both of these conferences are worthy of attendance even when one does not have a
paper on the program (which happens often given the 90% or higher rejection rates). Even attending as
a session chair or discussant is highly competitive and researchers in the group who are able to serve in
these capacities deserve special recognition.
Additionally, the funds from the WCRE initiative are earmarked for conferences held at CBS on topics
related to financial risk management. Our understanding is that these events have been limited in
number to date but that the group intends to expand such meetings to improve their visibility and to
expand their professional networks, as well as to learn first-hand about topics of interest to them. We
see this as a very good use of research funds. A major conference on the horizon to be hosted by the
group is the European Finance Association meeting in 2012. This is the premiere research conference in
Europe and the occasion provides a great opportunity to highlight the strengths of the WCRE finance
group.
Producing first-rate research is very time-consuming so an important determinant of the research
environment at a top-level institution is the allocation of faculty members’ time to administration,
2
teaching, and research. As a general rule, teaching and administration take up less time at top
institutions, thereby allowing more time to be allocated to research. Our impression from interviewing
faculty members at CBS is that the teaching load in the finance department is quite heavy compared
with the load at very competitive research departments. While the CBS point system offers the
possibility of flexibility in individual faculty members’ planning of their teaching load and, in theory,
gives credit to professors for activities outside the classroom, our impression is that the WCRE grant has
not reduced faculty members’ teaching load by a great deal (e.g., by buying out individual courses for
particularly productive and research-active faculty members). This may owe to the fact that the system
gives credit for activities beyond the basic teaching load but often not enough credit for most professors
to eliminate a course. Several professors indicated that they had accumulated well more than the
number of credits required of them while none said they were short in the accounting of credits. In
order to ensure that members of the financial risk management research group have sufficient time to
produce top-level journal publications, it is crucial that their teaching and service loads be in line with
those of other world class research environments. We admit, however, that the source of this problem
was not perfectly clear to us and it is possible that faculty members are working on accumulating credits
in the system beyond the number required of them.
2. Publication quality
Elite finance departments are ranked on their success in publishing papers in the top three journals in
the area: Journal of Finance (JF), Journal of Financial Economics (JFE), and Review of Financial Studies
(RFS). These are widely viewed as the ”A journals“ in finance. Strong departments that are not ranked in
the very highest echelon include a fourth journal, Journal of Financial and Quantitative Analysis (JFQA),
but they often consider JFQA to be an “A- journal” (A minus). All four journals have a very high rejection
rate and only the most successful researchers are able to publish in these journals as often as five times
in their careers. Equally competitive, but more focused on questions outside of mainstream finance, are
the top economics journals: Econometrica, American Economic Review, Quarterly Journal of Economics,
and Journal of Political Economy. While the economics journals are as highly regarded, publishing in
them often takes more time and results in less visibility among finance professors, so most financial
economists do not submit to these journals on a regular basis and many avoid them altogether.
Because top publications in finance are limited to such a narrow set of journals, finance researchers
often publish comparatively few papers , resulting in a small publication volume when they come up for
tenure after six or seven years. At many world class research departments, tenure is granted to
researchers with four A-level journal publications. There is a trade-off between quality and quantity, so
some may obtain tenure with 3 As and 2 A- articles. This situation reflects the extremely competitive
nature of publishing in the very top finance journals and the fact that the process of getting into them
can take several years, with numerous rounds of revisions. Each round has very little margin for error
and can easily result in a rejection, thus forcing the researcher to start the process again at the next A
journal.
3
Once one falls out of the A journal category, the rejection rate drops somewhat but not enough for
anyone to easily obtain A- or B+ publications. For this reason, there are many good papers in lesser
journals that garner widespread attention from the profession. We measure the success of these
publications based as much on their citations as on the reputation of the journal. The standards for what
constitutes a large number of citations vary, but most finance researchers would agree that a paper with
50 citations in the Web of Science (which counts only citations in published papers in high quality
journals) or one with 150 citations in Google Scholar (which includes published articles in all outlets as
well as working papers) is a very successful paper (also known as a homerun).
In light of this very difficult publication setting, the financial risk management research group has been
remarkable in its success based on the metric of A papers and citations. As the self-assessment report
notes, the group has published eight A or A- articles since receiving the funds from the initiative, putting
it among the top ten finance departments in Europe over the last four years. In addition, a longer view
of their research records shows that they have published several dozen A articles in their careers and
many of them are homeruns. Lasse Pedersen, who just joined the group, has one of the very best
publication records in the finance profession with eight finance As and an Econometrica article. His
citation count is extraordinarily impressive. Likewise, Soren Hvidkjaer came to CBS having already
published five As. David Lando has an equally impressive record, although some of his papers are more
readily seen as high quality by the number of citations. He has several homerun articles in lesser outlets,
such as the Journal of Banking and Finance and the Review of Derivatives Research, in addition to his
finance As and his well-known paper in Econometrica (an Econ A). Besides serving in his capacity as past
chair of the finance department, Carsten Sorensen published a paper in JFE during the review period.
Their past success adds to these researchers’ reputations and makes it more likely that future A
publications will be well cited (beyond the high citation count that normally accompanies an A
publication).
From our interviews it is clear that, without exception, all senior faculty members are committed to
publishing in the top finance outlets. This is quite rightly viewed as a way to signal the finance group’s
commitment to excellence in research, but it means that the number of publications per researcher can
be expected to be low. It is important that the administration at CBS acknowledges that a small output
of top publications is preferable to a higher level of output in lesser finance journals. Therefore, the
environment at CBS must provide incentives for finance faculty to produce A publications and allocate
the research time required for writing papers aimed at top journals. CBS must not send a message that it
prefers a high volume of low quality publications. Otherwise, the reputation of the finance group will
suffer and CBS will have difficulty attracting and keeping world class researchers.
In sum, by commonly accepted standards of excellence for publication in finance, the financial risk
management group at CBS has done remarkably well at this midpoint, generating a substantial number
of new publications in the top four outlets from 2008-2011, which places the finance department in or
near the top-ten European finance groups. This is an extraordinary achievement over such a relatively
short period of time.
4
3. PhD development
By any metric, the Ph.D. program has graduated some extremely talented and well-trained students
recently. Peter Feldhutter offers the best example of this success, having already published two A
journal articles and having been placed at the prestigious London Business School. Anders Trolle has also
published two A papers early in his career. Other highly qualified graduates of the program include Jens
Dick-Nielsen, who is a co-author on one of those A articles, and Mads Stenbo Nielsen, who has two
publications in very well regarded journals.
A major element of the Ph.D. program is the tradition of sending students abroad to research-intensive
finance departments while they are still graduate students. The main goal of this activity is to steep the
students in an environment where A publications enhance the visibility of the department. It also
provides a good opportunity for other scholars to learn about the research interests of the students in
the Ph.D. program. The WCRE has been used extensively to provide funding for Ph.D. students to study
abroad in universities with the most sophisticated finance graduate programs.
It is worthwhile noting that senior faculty at CBS are encouraging PhD students to submit their work to
top quality international conferences such as the AFA and WFA meetings. The AFA is where the
international job market takes place and some of the PhD students have attended the conference as job
candidates. It is clear that a goal of the WCRE initiative in finance is to produce more Ph.D. students who
are placed through this market and we strongly encourage the group to continue in these endeavors.
4. Internationalization
The WCRE initiative has brought about several major changes that have added to the
internationalization of CBS in the finance area. As already noted, the department has attracted several
scholars with worldwide reputations in finance and this owes in good part to the ample research funds
available under the initiative. Further, the Ph.D. program has turned its sights on the international job
market and already has two graduates working abroad (besides Feldhutter in London, Anders Trolle is
employed at the SFI in Lausanne). The WCRE is hosting a major international conference next year and it
regularly holds seminars by international superstars in the field of finance. These activities reflect a
finance department whose activities and outlook are steeped in a global perspective.
5. Dissemination
The best way for a group of finance researchers to spread knowledge of their work around the world is
to publish in the A journals because these are the most closely read and the most cited articles in the
profession. As we have discussed already, the group has been very successful since receiving the WCRE
funds in this area. Another way to bolster the visibility of the department is to present working papers
(before they are published in A journals) at conferences and as invited seminar speakers.
5
6. External income
The WCRE initiative has been successful in this regard beyond what could reasonably be expected
already at the midterm point. Several large grants have been received, ranging from the DKK 10m D-CAF
grant for acquiring financial data to the DKK 11m mobility grant from the Danish Council for
Independent Research to the large DKK 48m grant received from the Danish National Research
Foundation. These grants are likely to have a significant impact in the near future on everything ranging
from development of the PhD and postdoc program to the ability of the finance department at CBS to
organize top-level international conferences, attract co-authors and continue to expand and recruit.
7. Further Challenges Ahead
Success fosters further ambition and so the recent success of the finance department at CBS poses some
new challenges which we comment on in this section. We first comment on the prospects for future
successful recruitment and its links to competitive salaries. We then discuss future conditions allowing
junior faculty to become successful, particularly the criteria in place for judging success, and finally
comment on the length of the tenure clock and the further development of the PhD program.
Much of the success of the financial risk management group owes to the productivity of a small cadre of
its senior members and these people are likely to be the single most important determinant of the
group’s success going forward. The finance department has been exceptionally good at attracting senior
researchers with international reputations in financial risk management. Not coincidentally all of these
professors are Danish - they are attracted by both the strong research environment and family
attachments to Denmark. In contrast, the finance department has had quite limited success in hiring
junior faculty who are not Danish. One notable exception is Albert Lee Chun, an American who was
trained at Stanford and has a solo-authored article in RFS. Two other junior faculty members who are
not Danish, Marcel Markewicz and Agatha Murgoci, come from European business schools (Agatha
earned her Ph.D. at CBS) and have yet to submit papers to the profession’s three most competitive
journals. The small number of junior faculty from outside Denmark, and the even smaller number of
assistant professors hired through the international job market, reflects the fact that CBS does not pay
salaries that are high enough to compete with higher ranked schools. The typical salary for a rookie
professor at top research universities in the U.S. is about $190,000 for a nine-month salary and 2/9 of
summer support for at least three years. In comparison, the 12-month starting salary for an assistant
professor at CBS amounts to around $100,000. In addition, the U.S. compensation package includes
funds related to retirement and health insurance. While the healthcare aspect of the U.S. business
school package may be inferior to what one would experience in Denmark working for CBS, the tax
situation related to this package does not favor CBS. The sizeable gulf separating the typical pay package
for a rookie hired by a competitive international school and that of the CBS rookie makes it
extraordinarily difficult for CBS to compete in the market for junior faculty. Further, unless this issue is
6
addressed in a dramatic fashion, improvements in the Ph.D. program are likely to leave the department
with even fewer junior professors with international reputations as students increasingly leave to take
jobs with more competitive salaries.
To the extent that WCRE and future research funding can be used to top up the salaries of junior (and
senior) faculty, this will be an important and effective use of such resources. Currently, CBS cannot offer
competitive salaries to attract junior faculty but it is able to give bonuses based on A publications. While
this helps address the salary discrepancy to keep existing members of the WCRE it has only a marginal
impact on attracting good researchers. While this is not a problem that is unique to CBS – it also holds
for other European finance groups – it is important that the CBS does not lag further behind other
European groups which have instituted different models to address this problem in creative ways.
We perceived some uncertainty among junior faculty as to what is required to “succeed” at CBS.
Specifically, while the general perception was that “one A-level publication plus something else” will be
sufficient for getting tenure, other faculty members were not sure as to whether one A-level publication
was required and how highly publications in journals such as Review of Finance and Journal of Empirical
Finance would be regarded. For example, how much weight should be assigned to a paper that is
published in a so-called B+ journal that gets heavily cited? While such research may fall short of the goal
of publishing in an A journal, it may be a close substitute in terms of raising the profile of the
department. Furthermore, this issue raises the question of whether junior faculty should abandon
papers that fail to make it into A journals in order to make time for new papers that might be As or
instead find a home for all papers to ensure that some metric of success is determined for each research
effort. Establishing a weighting of different journals, perceived quality (through outside reference
letters), and research impact based on citation counts (more relevant for senior faculty) could help in
this regard. While each tenure case is always unique and ultimately relies on the candidate’s research
agenda, teaching and service, such standards could be used efficiently to communicate CBS’ ambitions
and intentions to junior faculty members.
The finance department has a multi-year plan to further elevate its international research standings and
as such it is quite natural that standards for tenure and promotions to full professor can be expected to
trend up over time. This creates major tensions between, on the one hand, requiring international-level
publications and, on the other hand, the use of a very short tenure clock of only four years, as compared
with the six-year clock common in the U.S. One way that the problems created by such a short tenure
clock have been addressed is to offer PhD students a one-year post-doc after the completion of their
PhD, effectively giving them an additional year to complete and submit research papers. Any way to
promote and further assistant professors’ career is linked with a higher probability of success for the
finance group at CBS, so we view this as an excellent way to use research funds. While we recognize that
it is outside the control of the financial risk management research group, and potentially even outside
the control of CBS, we feel it is imperative to point out the necessity of extending the tenure clock from
four to six years. This is an extremely negative element of the research environment at CBS and it poses
the single greatest hurdle to creating a world class research environment.
7
As the Finance faculty at CBS continues to grow, it becomes important to further address the group’s
priorities and consider in more detail how to allocate resources. The strategy has so far been to build on
the existing excellence in asset pricing areas such as credit derivatives, asset allocation, and term
structure modeling. Other areas such as corporate finance and behavioral finance are not covered to
nearly the same extent. It is always difficult to “break in” to new areas of research, so this strategy has
undoubtedly been based in part on necessity and in part on the objective of establishing true excellence
in a few areas. However, as the group expands in the future, some strategies for broadening the scope
of the current research plans could be developed.
8. Conclusion
In a situation with scarce funds, even small grants can make a large difference to the research
environment and faculty spirit. Our impression from meeting with the faculty at CBS is that the WCRE
grant has served this role exceptionally well, helping to finance top-quality seminars, financing postdocs, allowing data acquisition, and bridging applications for additional research funding. In all of these
dimensions, the grant must be judged to have been very successful even at the midpoint. The finance
group at CBS is undergoing a transition towards a globally-focused collection of experts in financial risk
management and the WCRE grant has proved extraordinarily well-timed in helping to push this process
ahead.
However, it is also clear that some structural issues remain which will be more difficult to address in the
future such as a tenure clock whose short duration will come up against the requirement of publications
in top international journals. Publication in such journals is extraordinarily difficult and often involves
several rounds of reviews and revisions which will be very challenging on a short tenure clock. Another
issue is the lack of market salaries which makes it hard to compete not only with U.S. universities but
also will hamper CBS in its ambition to be at the very top among European business schools. To the
extent that the deans can push through major changes regarding salary and tenure, the payoff to
investing in the WCRE initiative will be greater for both the finance department and CBS as a whole. We
strongly encourage such efforts on the part of the CBS administrators.
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