Publications

This page contains an overview over my published papers along with relevant links.

"Predicting bond return predictability"
Daniel Borup, Jonas N. Eriksen, Mads M. Kjær, and Martin Thysgaard
Management Science, Vol. 70, No. 2, pp. 931-951, 2024

published version

working paper

replication code

Abstract:
This paper provides empirical evidence on predictable time variations in out-of- sample bond return predictability. Bond return predictability is associated with periods of high (low) economic activity (uncertainty), which implies that violations of the expectations hypothesis are state-dependent and linked to features of the business cycle. These state-dependencies in predictability, established by introducing a new multivariate test for equal conditional predictive ability, can be used in real-time to improve out-of-sample bond risk premia estimates and investors’ economic utility through a novel dynamic forecast combination scheme that uses predicted forecasting performance to identify the best set of methods to include in the combined forecast. Dynamically combined forecasts exhibit strong countercyclical behavior and peak during recessions.

Asset pricing and FOMC press conferences"
Simon Bodilsen, Jonas N. Eriksen, and Niels S. Grønborg
Journal of Banking and Finance, Vol. 128, 106163, 2021

published version

working paper

replication code

Abstract:
A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document that excess stock returns are strongly and positively related to their betas on announcement days with a PC. In addition, the cross-sectional dispersion in betas declines substantially on PC days when measured using both daily and intraday return data. These effects are absent on announcement days without a PC. Last, we find that stock-bond correlations are positive (negative) on PC (all other) days and that their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.

"Cross-sectional return dispersion and currency momentum"
Jonas N. Eriksen
Journal of Empirical Finance, Vol. 53, pp. 91-108, 2019

published version

working paper

Replication code

Abstract:
I assess the relation between cross-sectional return dispersion in foreign exchange (FX) markets and currency momentum. I find that cross-sectional dispersion is priced in the cross-section of currency momentum returns and that an unexpected increase in cross-sectional dispersion is associated with positive (negative) excess returns to winner (loser) currencies. This mechanism can be related to monetary policy conditions. The empirical findings are robust to the inclusion of traditional currency risk factors, liquidity and market volatility variables, and transaction costs. Finally, the explanatory ability of cross-sectional dispersion extends to broader cross-sections of currency portfolios and to individual currencies.

Negative house price co-movements and US recessions"
Charlotte Christiansen, Jonas N. Eriksen, and Stig V. Møller
Regional Science and Urban Economics, Vol. 77, pp. 382-394, 2019

published version

working paper

Abstract:
We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities clus- ter over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

"Expected business conditions and bond risk premia"
Jonas N. Eriksen
Journal of Financial and Quantitative Analysis, Vol. 52(4), pp. 1667-1703, 2017

published version

working paper

replication code

Abstract:
In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecast- ers. I show that expected business conditions consistently affect excess bond returns and that the inclusion of expected business conditions in standard predictive regressions im- prove forecast performance relative to models using information derived from the current term structure or macroeconomic variables. The results are confirmed in a real-time out-of- sample exercise, where the predictive accuracy of the models is evaluated both statistically and from the perspective of a mean-variance investor that trades in the bond market.

"Forecasting US recessions: The role of sentiment"
Charlotte Christiansen, Jonas N. Eriksen, and Stig V. Møller
Journal of Banking and Finance, Vol. 49, pp. 459-468, 2014

published version

working paper

replication code

Abstract:
We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities clus- ter over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

Contributions to Crowd-Sourced Research Projects

Miloš Fišar, Ben Greiner, Christoph Huber, Elena Katok, Ali Ozkes, and Management Science Reproducibility Collaboration: Reproducibility in Management Science. Management Science, Vol. 70, No. 3, pp. 1343-1356

published version