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STOCKHOLM SCHOOL
OF ECONOMICS

Dahlquist, Magnus

Professor
Chaired Professor

Biography

Magnus Dahlquist is the Handelsbanken Professor of Finance at the 黑料网 (黑料网). He is also a Research Fellow with the Centre for Economic Policy Research (CEPR), London & Paris.

Dahlquist obtained his doctoral degree in 1995 at the Institute for International Economic Studies, Stockholm University. He joined 黑料网 in 1996 and taught at the Fuqua School of Business at Duke University between 1998 and 2002. Dahlquist was the Director of the Institute for Financial Research (SIFR) in Stockholm between 2003 and 2008.

Dahlquist’s research interests lie in asset management, asset pricing, and international finance. His current research focuses on (i) individuals’ and institutions’ investment behavior and the design of pension plans, (ii) trading strategies in the bond and currency markets and their relation to fundamentals, and (iii) performance evaluation and practical issues related to asset management.

Dahlquist has taught courses on asset management, corporate finance, debt instruments and markets, investments, global financial markets, and international business in MSc, MBA, Executive MBA, and PhD programs at Duke University, London Business School, 黑料网, and UCLA. Many of his PhD students are placed at academic institutions, central banks, and asset management firms.

Dahlquist has been an advisor to several financial institutions as well as government authorities, including the National Debt Office, the Swedish Pensions Agency, and the Swedish Central Bank. He has previously reviewed the active management of the Government Pension Fund Global, the sovereign wealth fund of Norway. Recently, he was appointed to the new Expert Council that will provide advice and assessments to the Norwegian Ministry of Finance on the Fund. Recently, Dahlquist was also appointed to an expert group that will evaluate the Danish ATP’s investment strategy.

Other activities include serving as academic coordinator for Inquire Europe, serving on the investment committees of the Apoteket AB’s Pension Fund, the Church of Sweden, the Nobel Foundation, and the Swedish Society for Medical Research, and being a board member of the mutual fund company Quartile Fonder AB (“Kvartil”) and the foundation “Trygg-Stiftelsen” (related to the pension fund “Gamla Livförsäkrings-aktiebolaget SEB Trygg Liv”).

Selected publications

  • Evaluating Portfolio Performance with Stochastic Discount Factors (with P Söderlind), Journal of Business 72 (1999), 347–383.
  • The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies (with R Bansal), Journal of International Economics 51 (2000), 115–144.
  • Regime-Switching and Interest Rates in the European Monetary System (with S Gray), Journal of International Economics 50 (2000), 399–419.
  • Performance and Characteristics of Swedish Mutual Funds (with S Engström and P Söderlind), Journal of Financial and Quantitative Analysis 35 (2000), 409–423.
  • Direct Foreign Ownership, Institutional Investors, and Firm Characteristics (with G Robertsson), Journal of Financial Economics 59 (2001), 413–440.
  • Corporate Governance and the Home Bias (with L Pinkowitz, RM Stulz, and R Williamson), Journal of Financial and Quantitative Analysis 38 (2003), 87–110.
  • Pseudo Market Timing: A Reappraisal (with F de Jong), Journal of Financial and Quantitative Analysis 43 (2008), 547–580.
  • International Bond Risk Premia (with H Hasseltoft), Journal of International Economics 90 (2013), 17–32.
  • Asymmetries and Portfolio Choice (with A Farago and R Tedongap), Review of Financial Studies 30 (2017), 667–702. 
  • Individual Investor Activity and Performance (with JV Martinez and P Söderlind), Review of Financial Studies 30 (2017), 866–899.
  • On the Asset Allocation of a Default Pension Fund (with O Setty and R Vestman), Journal of Finance 73 (2018), 1893–1936.
  • Economic Momentum and Currency Returns (with H Hasseltoft), Journal of Financial Economics 136 (2020), 152–167.
  • The Missing Risk Premium in Exchange Rates (with J Penasse), Journal of Financial Economics 143 (2022), 697–715.
  • Pricing Currency Risks (with M Chernov and L Lochstoer), Journal of Finance 78 (2023), 693–730.
  • Equity Return Expectations and Portfolios: Evidence from Large Asset Managers (with M Ibert), Review of Financial Studies 37 (2024), 1887–1928.
  • Are Subjective Expectations Formed as in Rational Expectations Models of Active Management? (with M Ibert and F Wilke, 2025), forthcoming in Management Science.
  • Institutions’ Return Expectations across Assets and Time (with M Ibert, 2025), forthcoming in Journal of Financial Economics.

Selected working papers

  • The Dollar and the US Wealth Share (with C Heyerdahl-Larsen, A Pavlova, and J Penasse, 2025).
  • Reassessing Sources of Risk Premiums in Currency Markets (with M Chernov and L Lochstoer, 2025).

Miscellaneous

  • A Review of Norges Bank’s Active Management of the Government Pension Fund Global (with BA Ødegaard, 2018).
  • Currency Risk Premiums: A Multi-Horizon Perspective (with M Chernov) Foundations and Trends® in Finance 14 (2023), 1–60.