Erik Hjalmarsson
About Erik Hjalmarsson
Professor Hjalmarsson’s main areas of interest are empirical finance and financial econometrics. His current research focuses on long-run returns in stock markets. He has also worked extensively on stock return predictability, with a particular focus on new econometric methods and empirical analysis of international data. Prior to joining the University of Gothenburg, Hjalmarsson held a position as Professor of Finance at Queen Mary University of London. He has also worked for the Federal Reserve Board in Washington, DC, and at a major London-based hedge fund. Hjalmarsson’s research has been published in leading finance journals, including Journal of Finance, Journal of Financial Economics, and Journal of Financial and Quantitative Analysis. He received his PhD from Yale University.
More information can be found on his personal webpage.
Research areas
- Empirical Asset Pricing
- Empirical Market Microstructure
- Financial Econometrics
Selected publications
Rise of the Machines: Algorithmic Trading in the Foreign Exchange MarketChaboud, A. P., Chiquoine, B., Hjalmarsson, Erik, Vega, ClaraJournal of Finance, 69:5, s. 2045-2084, 2014
New Methods for Inference in Long-Horizon RegressionsHjalmarsson, ErikJournal of financial and quantitative analysis, 46:3, s. 815-839, 2011
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Small Rebalanced Portfolios Often Beat the Market over Long
Horizons
Adam Farago, Erik Hjalmarsson
Review of Asset Pricing Studies - 2022 -
Long-Horizon Stock Returns Are Positively
Skewed
Adam Farago, Erik Hjalmarsson
Review of Finance - 2022 -
Long-run predictability tests are even worse than you
thought
Erik Hjalmarsson, T. Kiss
Journal of Applied Econometrics - 2022 -
The evolution of price discovery in an electronic
market
A. Chaboud, Erik Hjalmarsson, F. Zikes
Journal of Banking & Finance - 2021 -
Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the
Dog
Erik Hjalmarsson, T. Kiss
Critical Finance Review - 2021 -
Anchoring in surveys of household
expectations
Erik Hjalmarsson, P. Osterholm
Economics Letters - 2021 -
Heterogeneity in households' expectations of housing prices - evidence from micro
data
Erik Hjalmarsson, P. Osterholm
Journal of Housing Economics - 2020 -
A micro-data analysis of households’ expectations of mortgage
rates
Erik Hjalmarsson, Pär Österholm
Economics Letters - 2019 -
Compound
Returns
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Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the
Dog
Erik Hjalmarsson, Tamás Kiss
2019 -
Stock Price Co-Movement and the Foundations of Pairs
Trading
Adam Farago, Erik Hjalmarsson
Journal of Financial and Quantitative Analysis - 2019 -
Maximal predictability under long-term mean
reversion
Erik Hjalmarsson
Journal of Empirical Finance - 2018 -
Interactions among High-Frequency
Traders
Evangelos Benos, James Brugler, Erik Hjalmarsson, Filip Zikes
Journal of Financial and Quantitative Analysis - 2017 -
Households’ mortgage-rate expectations – more realistic than at first
glance?
Erik Hjalmarsson, Pär Österholm
Sveriges Riksbank Economic Review - 2017 -
Interactions among High-Frequency
Traders
Evangelos Benos, James Brugler, Erik Hjalmarsson, Filip Zikes
2016 -
Rise of the Machines: Algorithmic Trading in the Foreign Exchange
Market
A. P. Chaboud, B. Chiquoine, Erik Hjalmarsson, Clara Vega
Journal of Finance - 2014 -
Some curious power properties of long-horizon
tests
Erik Hjalmarsson
Finance Research Letters - 2012 -
Characteristic-based mean-variance portfolio
choice
Erik Hjalmarsson, Petar Manchev
Journal of Banking & Finance - 2012 -
New Methods for Inference in Long-Horizon
Regressions
Erik Hjalmarsson
Journal of financial and quantitative analysis - 2011 -
Portfolio Diversification Across
Characteristics
Erik Hjalmarsson
Journal of Investing - 2011 -
Testing for Cointegration Using the Johansen Methodology when Variables are Near Integrated: Size Distortions and Partial
Remedies
Erik Hjalmarsson, Pär Österholm
Empirical Economics - 2010 -
Predicting global stock
returns
Erik Hjalmarsson
Journal of financial and quantitative analysis - 2010 -
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid
Markets
Erik Hjalmarsson, Alain Chaboud, Benjamin Chiquoine, Mico Loretan
Journal of Empirical Finance - 2010 -
Jackknifing stock return
predictions
Benjamin Chiquoine, Erik Hjalmarsson
Journal of Empirical Finance - 2009 -
What drives volatility persistence in the foreign exchange
market?
David Berger, Alain Chaboud, Erik Hjalmarsson
Journal of Financial Economics - 2009 -
Efficiency in housing markets: Which home buyers know how to
discount?
Erik Hjalmarsson, Randi Hjalmarsson
Journal of Banking and Finance - 2009 -
Testing the expectations hypothesis when interest rates are near
integrated
Meredith Beechey, Erik Hjalmarsson, Pär Österholm
Journal of Banking and Finance - 2009 -
Interpreting long-horizon estimates in predictive
regressions
Erik Hjalmarsson
Finance Research Letters - 2008 -
The Stambaugh bias in panel predictive
regressions
Erik Hjalmarsson
Finance Research Letters - 2008 -
Fully modified estimation with nearly integrated
regressors
Erik Hjalmarsson
Finance Research Letters - 2007 -
Efficiency in housing markets: Do home buyers know how to
discount?
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Predictive regressions with panel
data
Erik Hjalmarsson
2005 -
On the Predictability of Global Stock
Returns
Erik Hjalmarsson
2005 -
Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability
Measures
Gurdip Bakshi, Zhiwu Chen, Erik Hjalmarsson
2005 -
Does the Black- Scholes formula work for electricity markets? A nonparametric
approach
Erik Hjalmarsson
2003 -
Nord Pool: A Power Market Without Market
Power
Erik Hjalmarsson
2000