7. FOMO in Equity Markets? Concentration Risk in (Sustainable) Investing

(with Joren Koëter and Mathijs van Dijk). [SSRN]

Press: Cover story in IPE Magazine 2025 Nov/Dec Edition (Equities that bear fruit), Article on paper in Financialinvestigator.nl by CFA Society Netherlands (in English), Article on paper in Financialinvestigator.dk by Blackrock (in English), Article on paper in Top1000funds.com (in English), Article on paper in De Tijd (in Dutch), Article on paper in Pensioen Pro (In Dutch), Article on pension fund decreasing concentrated portfolio after our paper release in ipe.com (in English), Original article from dutch website Pensioen Pro (In Dutch), Pension fund wrote reply to our paper on low number of stocks in their portfolio on their website (In Dutch), Blog post references our paper prof-soehnholz.com (In English)

Abstract

Presented at: Rotterdam School of Management, University of St Andrews Business School, 2025 Annual Netspar Conference (Attended by Queen Máxima of the Netherlands), International Pension Workshop 2025, Netspar after-lunch seminar, CFA Netherlands, ICPM webinar, and IPE Annual Conference and Awards.

Podcast: Netspar Podcast on Pensions and Research, Wat zijn de financiële consequenties van geconcentreerde beleggingsportefeuilles? (In Dutch).

6. The Future of Emissions

(with Jules van Binsbergen). [SSRN]

Invited for presentation at the American Finance Association Annual Meeting (AFA), European Finance Association Annual Meeting (EFA), SFS Cavalcade North America, in the global Financial Economics of Climate and Sustainability (FECS) doctoral course hosted by Harvard, Vrije Amsterdam University, Utrecht University, Cambridge University, ABN AMRO, Erasmus University, and Stockholm School of Economics.

Press: Wharton Climate Center; Jyllands Posten, Print and Online; Finans.

Podcast: Rig på viden, Episode 111 (In Danish).

5. Skills and Sentiment in Sustainable Investing

(with Alexander Kronies). [SSRN]

Presented at the fourth University of Oklahoma Energy and Climate Finance Research Conference co-sponsored by the Review of Financial Studies (RFS).

Awarded: Best Paper in Finance at the 2020 Conference on Behavioral Research in Finance, Governance, and Accounting (BFGA).

Podcasts: Rig på viden, Episode 13 (In Danish); Rig på viden, Episode 79 (In Danish).

Press: CAIA Association.

Presented at: 1st YSBC Sustainable Finance Conference, HEC Paris 6th Phd Workshop, 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.

Two scholars at Copenhagen Business School created a “text-based sustainability sentiment measure,” that explores concerns with climate change among investors. https://t.co/mYjhcFFIRK pic.twitter.com/XnZTg6rTnW

— Portfolio for the Future | CAIA Association Blog (@CAIA_Blog) June 11, 2020

4. The Market for Green Funds

(with Michael Halling and François Koulischer).

Climate Linked Bonds

(Broeders ECB and Maastricht University, Dmitrov DNB and University of Amsterdam, and Verhoeven DNB) [Paper].

Presented at: International Pension Workshop (2025).

Altruism or self-interest? ESG and participation in Employee Share Plans

(Bonelli HEC Paris, Briere Paris-Dauphine, and Derrien HEC Paris) [Paper, Slides].

Presented at: Conference in Sustainable and Socially Responsible Finance (2022).

From stress testing to systemic stress testing: The importance of macroprudential regulation

(Vodenska Boston University, Aoyama Kyoto University, Becker Boston University, et al.) [Published paper].

Presented at: FMA Europe (2018).

3. Corporate Asset Pricing

(sole author). [Paper]

Corporations' idiosyncratic risk predicts the convenience yield.

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.

2. Macroprudential Buffers: Trading Systemic Risk for Risk Premia

(sole author). [Paper]

When countries increase their macroprudential buffer it increases the price of risk in their respective economies.

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.

1. Identification and Assessment of Systemic Risks in Financial Networks: Modelling Fire Sales from Regulatory Cliff Effects

(with Graeme Cokayne), Danmarks Nationalbank Working Paper, Number 117. [Paper]

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.

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.