Andreas Brøgger

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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.

Working Papers

esg returns
Unconstrained investors have outperformed in their ESG investments since the onset of the financial crisis. Figure shows cumulative excess returns within the top quantile of unconstrained ownership of stocks with different ESG levels.
Skills and Sentiment in Sustainable Investing (with Alexander Kronies). Invited to submit to the Review of Financial Studies.
New revision: How much has Sustainable Investing reduced CO2? Find the answer in the paper!
Awarded: Best Paper at the 2020 Conference on Behavioral Research in Finance, Governance, and Accounting (BFGA).
Presented at: CFA Meeting on ESG-Ratings and Sustainable Investing, University of Oklahoma Energy and Climate Finance Research Conference 2022, American Finance Association Annual Meeting Poster Session (AFA 2022), University of Luxembourg Seminar 2021, The Central Bank Research Association Annual Meeting (CEBRA 2021), Nordic Finance Network Young Scholars Finance Workshop (NFN 2020), 2nd Conference on Behavioral Research in Finance, Governance and Accounting (BFGA 2020), PhD Symposium of the 32nd Northern Finance Association Conference (NFA 2020), 19th Conference on Credit Risk Evaluation (CREDIT 2020), Becker Friedman Institute Macro-Finance Research Program Summer Session for Young Scholars (MFR 2020), Wharton PhD Brown Bag Series 2020.
Podcast: Rig på viden (In Danish).
Press: CAIA Association.

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.

Fire Sales
When countries increase their macroprudential buffer it increases the price of risk in their respective economies.
Macroprudential Buffers: Trading Systemic Risk for Risk Premia.
Presented at: Wharton School at the University of Pennsylvania, PhD Nordic Finance Workshop, Poster Session at American Finance Association Annual Meeting (AFA), Copenhagen Business School.

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
Systems of financial institutions may go from firm to fragile fast. Log scale plot of system equity lost from a small shock for different 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.
Presented at: Financial Management Association (FMA) Europe (University of Agder), RiskLab (Bank of Finland), Bank of England, Copenhagen Business School, Lund University, Nykredit A/S, Danmarks Nationalbank.
Press: Finans, FinansWatch, Danmarks Radio, Danmarks Nationalbank.

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

Corporate Asset Pricing
Corporations' idiosyncratic risk predicts the convenience yield.
Corporate Asset Pricing
Presented at: American Economic Association Annual Meeting Poster Session (AEA 2022), 36th Congress of the European Economic Association and the Econometric Society European Meeting (EEA-ESEM 2021), Econometric Society Asian Meeting (2021), Nordic Finance Network PhD Workshop (NFN 2021), Copenhagen Business School Brown Bag PhD seminar (2021).

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.

Skills and Sentiment in Sustainable Investing: ESG Factor
Skills and Sentiment in Sustainable Investing: Climate Factor
Skills and Sentiment in Sustainable Investing: Climate Sentiment Measure



Department of Finance
Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg