Andreas Brøgger

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Welcome to my personal webpage!

I'm a PhD student in Finance at Copenhagen Business School.

Further down you can read about my current research and find my curriculum vitae.


Here you will find my previous and current research.

Working Papers


Cumulative Excess Returns for stocks with different ESG levels within high amounts of unconstrained ownership (top quantile). The shaded area denotes recession.

Skills and Sentiment in Sustainable Investing, Available at SSRN.
Presented at: Wharton PhD Brown Bag Series, Chicago Becker Friedman Institute Macro-Finance Research Program (MFR, Planned), CREDIT 19th Conference on Credit Risk Evaluation (Planned).
Press: CAIA Association.

We document a positive Environmental Social Governance (ESG) premium amongst stocks with high socially unconstrained ownership. Unconstrained investors are mutual funds, hedge funds and other investment advisors. This premium does not appear for stocks with high socially constrained ownership. In fact, we find that constrained investors unsuccessfully chase high ESG stocks with high abnormal returns. The returns do not seem to be driven by consumption risk as they are especially high during the financial crisis. Instead, they are explained by the new fact that unconstrained investors are skilled investors who research firms and are able to predict their future ESG scores. This earns them an abnormal return due to a ESG premium. We further show that they are able to exploit this especially during periods of high climate sentiment and in times of crisis. In the process, we construct a new text-based sustainability sentiment measure and create both an ESG and climate factor, that are useful for asset pricers to explain ESG firms' rise in value, their generally high valuations as well as risk exposures.

Fire Sales

Price of risk (Sharpe Ratio) vs buffer size. Shown for reasonable market volatility (10 %), and risk aversion (3).

Macroprudential Buffers: Trading Systemic Risk for Risk Premia, Available at SSRN.

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.

Fire Sales

Log scale plot of system equity lost from a small shock vs. price impacts. The dashed vertical line indicates the limit of fire sales calculated in the paper. The full line indicates the baseline value.

Identification and Assessment of Systemic Risks in Financial Networks: Modelling Fire Sales from Regulatory Cliff Effects, Danmarks Nationalbank Working Paper, Number 117.

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.

Work in Progress

Regulatory Uncertainty and Capital Buffers (with Jens Dick-Nielsen).

Financial regulation has since the crises been uncertain, leading to significant changes for financial agents. Using a simple model, we show how uncertainty about future regulation might affect current behaviour.



Department of Finance
Copenhagen Business School
Solberg Plads 3
2000 Frederiksberg
Email: anbr (dot) fi (at) cbs (dot) dk