Welcome to my personal webpage!
I'm a PhD Candidate in Finance at Copenhagen Business School.
Further down you can read about my current research, view my data, and find my curriculum vitae.
Here you will find my previous and current research.
We document a significant difference in the returns of sustainable investing across investor types. Investors with strict ESG mandates earn 3.1% less than flexible investors. The mechanism is that flexible investors are able to react on expected ESG improvements. They buy stocks that subsequently experience ESG score increases. After ESG improvements have realized, demand from strict mandate investors pushes up stock prices, resulting in positive returns for flexible investors. These returns are higher when accompanied by rising climate sentiment, as seen during the 2010s. Our channel accounts for 51% of the return difference between strict and flexible ESG investment mandates.
Very excited that our work has been featured by the blog of CAIA -- the credentialing body for investors with a focus on Alternative Investment and Ethics! Our work asks what effect the increased interest in ESG has had on returns? https://t.co/IjlLeO4yOY— Andreas Brøgger (@AndreasBrogger) July 26, 2020
I document that equity prices fall as macroprudential buffers are announced. This is consistent with macroprudential buffers leading to an increase in risk premia, from a heightened price of risk. Theoretically, I develop a model that predicts that as buffers are announced 1) The price of risk increases, 2) Systemic risk falls, and 3) Intermediaries' risky asset allocation decreases, as other agents with higher risk aversion increase their portfolio weights in the risky asset. Empirically, I find evidence consistent with the first and third prediction. The second remains a testable implication of my model. In summary, this paper sheds light on the equilibrium effects of implementing new financial regulation on asset prices and systemic risk.
This paper investigates fire sales triggered by regulatory cliff effects induced by the loss of Capital Requirements Regulation (CRR) compliance on covered bonds. The loss of CRR compliant status leads to banks holding these covered bonds to lose several regulatory advantages, one consequence being a lower solvency. In our analysis, following the loss of CRR compliance, banks sell off their covered bonds in a fire sale, in an attempt to return to their initial solvency, resulting in losses of equity for the system as a whole. Further, we find that, for price impacts larger than a critical threshold, even small shocks lead to explosive fire sales and large losses of equity. While these losses can be averted if the banks allow their solvency levels to fall temporarily, other regulations, such as those relating to large exposures to other banks, could still trigger similar fire sales.
I show the new fact that Idiosyncratic volatility significantly predicts the convenience yield. This fact is hard to reconcile with current theories. I develop a new theory that reconciles this puzzle - a theory I label Corporate Asset Pricing (CAP). CAP is verified in the cross-section of firm holdings and has been an important driver at least since the 1920’s. I provide causal interpretability by isolating my demand-based effect from confounders by using plausably exogenous cross-sectional variation in corporation size and industry exposures. The results provide support for the importance of corporates as an investor class.
Here you can find my publicly available datasets.
Department of Finance Copenhagen Business School Solbjerg Plads 3 2000 Frederiksberg Denmark Email: email@example.com