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 Research

Working Papers

Granular Treasury Demand with Arbitrageurs (Nov 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 (main): Fed Conference on Fixed-Income Markets, LBS Summer Finance Symposium, NBER Asset Pricing, 5th David Backus Memorial Conference, Johns Hopkins Carey Finance Conference, Macro-Finance Tepper-LAEF Conference, Princeton Macro-Finance Conference, NBER-OFR meeting, SITE Stanford, Zurich Quantitative Macro Conference, BI-SHoF Asset Pricing Conference

Pension Liquidity Risk (Jan 2025)

R&R Review of Financial Studies

Kristy A.E. Jansen, Sven Klingler, Angelo Ranaldo, and Patty Duijm

Awards: ICPM Research Award First Place 2024, Inquire Europe Research Grant 2023.
Presentations (main): AFA, NFA, EFA, CEBRA, ESSFM Asset Pricing, NBER Pension Finance, Kentucky Finance Conference, MFA.
Media: Investment & Pensions Europe

Which Exchange Rate Matters to Global Investors? (Nov 2024)

Kristy A.E. Jansen, Hyun Song Shin, and Goetz von Peter

Presentations (main): AFA, NFA, EFA, CEBRA, International Role of the U.S. Dollar.

Published Papers

Do Teams Alleviate or Exacerbate Overreaction in Beliefs?

Ricardo Barahona, Stefano Cassella, Kristy A.E. Jansen, Vincenzo Pezone, Journal of Financial Economics, Accepted.
Awards: Best Paper Award at 18th International Behavioural Finance Conference

Long-term Investors, Demand Shifts, and Yields

Kristy A.E. Jansen, January 2025, Review of Financial Studies, 38(1), 114-157.
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.

The Shadow Costs of Illiquidity

Kristy A.E. Jansen and Bas J.M. Werker, November 2022, Journal of Financial and Quantitative Analysis, 57(7), 2693-2723.

Work-in-Progress

When Cash Flows Turn Negative: Liquidity-Driven Selling by Pension Funds

Aleksandar Andonov, Kristy A.E. Jansen, and Joshua D. Rauh
Awards: Recipient of the NBER initiative on Market Frictions and Financial Risks Grant 2024/2025
Presentations: NBER-OFR meeting, Demand in Asset Markets Workshop, USC Marshall
Abstract: U.S. public pension funds increasingly face negative net operating cash flows as benefit payments exceed contributions. We study how these funds incorporate cash flows into their asset allocation and investment decisions using aggregate pension fund data and granular holdings data obtained through FOIA requests. While asset allocation models predict that investors should accommodate negative cash flows by adopting more conservative portfolios, we show empirically that target allocations are independent of cash flows. Instead, negative cash flows make pension funds predictable net sellers and liquidity demanders in financial markets. Pension funds accommodate predictable negative cash flows by selling fixed income and equities, but they meet negative cash flow shocks by liquidating equities and even alternative assets. These liquidity-driven sales of equities occur even during periods of negative equity returns, which confirms that liquidity sales are separate from portfolio rebalancing. At the security level, pension funds follow a pecking order of liquidity by selling more of their liquid equities. Yet, funds more exposed to alternatives rely disproportionately on equity and illiquid equity sales to meet liquidity needs.

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.
Public version on pages 185-209: https://www.netspar.nl/wp-content/uploads/P20220126_PhD001_Jansen_NTA2021.pdf

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.