Niels Gormsen

Niels Joachim Gormsen joined Chicago Booth as a Neubauer Assistant Professor of Finance in 2018. His main area of research is financial economics with a particular focus on the behavior of stock prices. His research was awarded the AQR Top Finance Graduate award in 2018 and has been covered in news outlets such as Financial Times and the Wall Street Journal.

Gormsen earned a PhD in financial economics, an MSc in advanced economics and finance, and a BSc in international business all from Copenhagen Business School. During his graduate studies at Copenhagen Business School, he spent time as a visiting scholar at Harvard University and Columbia University.

Outside of academia, Gormsen enjoys sailing. In 2011, he won the Youth World Championship in the Olympic 49er dinghy.

Publications

Duration-Driven Returns (with Eben Lazarus), 2021. Forthcoming, Journal of Finance The major equity risk factors invest in short-duration firms and could therefore be explained by a premium on near-future cash flows. Featured in Alpha architect

Time Variation of the Equity Term Structure, 2021, Journal of Finance 76(4), 1959-1999. The equity term premium is counter-cyclical: it is negative in good times but positive in bad times.

Implied Dividend Volatility and Expected Growth (with Ralph Koijen and Ian Martin), January 2021, American Economic Association Papers & Proceedings, 111, 361-365. The implied volatility from dividend derivatives can be used to estimate growth uncertainty, expected returns on dividend claims, and expected growth.

Coronavirus: Impact on Stock Prices and Growth Expectations (with Ralph S. J. Koijen), August 2020. Review of Asset Pricing Studies 10 (4), 574-597. Lead paper. We use dividend futures to provide a lower bound on expected growth as perceived by investors in real time. We also provide a perspective on the stock market’s response. See growth expectations here. Featured in: Forbes, Financial Times, Vox, Seeking alpha, Pro market

Betting Against Correlation: Testing Theories of the Low-Risk Effect (with Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen), 2020. Journal of Financial Economics 135 (3), 629-652. Fama-DFA Prize 2020 (second prize), Roger F Murray Price 2018 Two cool new factors separate competing theories: BAC is strong, consistent with leverage constraints; SMAX works too, consistent with lottery demand. Featured in: WSJ, Institutional Investor, Alpha Architect, Barrons, Cliff’s Perspective

Working Papers

Expected Stock Returns and Firms’ Perceived Cost of Capital, May 2021, R&R at Review of Financial Studies Firms with higher exposure to equity risk factors have higher perceived cost of equity and use higher discount rates in capital budgeting.

Conditional Risk (with Christian Skov Jensen), June 2021, R&R at Journal of Financial Economics A new and powerful conditional-risk factor documents a global effect of time-varying market betas on the returns to major risk factors.

Selfish Corporations (with Emanuele Colonnelli and Tim McQuade), September 2021, R&R at Review of Economic Studies Public perception of corporate behavior influences support for economic policies. You can find the videos used in our survey here.

Higher-Moment Risk (with Christian Skov Jensen), May 2020 Higher-order moments are riskier in good times, a finding that has implications for asset pricing theory and investors. Slides

Rainy Day Stocks (with Robin Greenwood), January 2017