Research
Main Papers
Granular Treasury Demand with Arbitrageurs (Aug 2024)
Kristy A.E. Jansen, Wenhao Li, and Lukas Schmid
Awards: Recipient of the NBER initiative on Market Frictions and Financial Risks Grant 2023/2024, Best Paper Award at the JHU Carey Finance Conference 2024
Presentations: Johns Hopkins Carey Finance Conference, Macro-Finance Tepper-LAEF Conference, NBER-OFR meeting, SITE Stanford, Federal Reserve Bank of Chicago, UBC Summer Conference, Valuation Workshop Wharton, Zurich Quantitative Macro Conference, BI-SHoF Asset Pricing Conference, Federal Reserve Bank of San Francisco
Long-term Investors, Demand Shifts, and Yields
Review of Financial Studies (2024, Forthcoming)
Kristy A.E. Jansen
Presentations (main): AEA, Chicago Booth Asset Pricing Conference, EFA, Colorado Finance Summit, FIRS, SoFiE.
Awards: Colorado Finance Summit Best PhD Paper Award, Inquire Europe Research Prize, SoFiE Pre-Conference Best Paper Award, Inquire Europe Research Grant, Finalist at the ECB Young Economists’ Competition.
Pension Liquidity Risk (Nov 2024)
Kristy A.E. Jansen, Sven Klingler, Angelo Ranaldo, and Patty Duijm
Presentations: AFA 2025, NFA 2024, EFA 2024, CEBRA 2024, ESSFM Asset Pricing, NBER Pension Finance, Erasmus Liquidity Conference, Swiss Conference on Financial Intermediation 2024, Kentucky Finance Conference 2024, 3rd Edition Spring Finance Workshop 2024, MFA 2024, Bank of England, St Gallen, BIS, Arizona State University, University of Arizona, EIOPA-ECB Research Workshop on Insurance Companies and Pension Funds, PGGM, USC Marshall, DNB.
Awards: ICPM Research Award First Place 2024, Inquire Europe Research Grant 2023.
Media: Investment & Pensions Europe
Which Exchange Rate Matters to Global Investors?
Kristy A.E. Jansen, Hyun Song Shin, and Goetz von Peter
Presentations: AFA 2025, EFA 2024, CEBRA 2024, Conference on the International Roles of the U.S. Dollar 2024, Joint BIS, BoE, ECB and IMF Spillover Conference 2024, DNB, NFA, BIS.
Do Teams Alleviate or Exacerbate the Extrapolation Bias in the Stock Market?
Ricardo Barahona, Stefano Cassella, and Kristy A.E. Jansen
Presentations (main): NBER BF, AFA, SFS Cavalcade.
The Shadow Costs of Illiquidity
Kristy A.E. Jansen and Bas J.M. Werker
Journal of Financial and Quantitative Analysis, November 2022, 57(7), 2693-2723
Work-in-Progress
Pension Funds and Liquidity Shocks
Aleksandar Andonov, Kristy A.E. Jansen, and Josh Rauh
Awards: Recipient of the NBER initiative on Market Frictions and Financial Risks Grant 2024/2025
Other papers (peer-reviewed)
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets
with Patrick F.A. Tuijp, February 2021, Journal of Portfolio Management, 47(3), 135-153.
Pension Fund’s Illiquid Assets Allocation Under Liquidity and Capital Requirements
with Broeders, D.W.G.A. & Werker, B.J.M., January 2021, Journal of Pension Economics and Finance, 20(1), 102-124.