Research
Working Papers
Are Pension Funds Natural Holders of Long-Term Treasuries? (July 2026)
Aleksandar Andonov, Kristy A.E. Jansen, and Joshua D. Rauh
Abstract (draft available upon request): Contrary to conventional wisdom, we show that U.S. public pension funds are not major holders of long-term U.S. Treasuries. The average time to maturity of their Treasury portfolios fluctuates around 10 years and is not related to the structure of their liabilities. This conclusion is robust to including synthetic Treasury exposure through Treasury futures and interest rate swaps. These results suggest that U.S. public pension funds are unlikely to absorb the longest-maturity Treasuries at scale.
Dissecting Treasury Market Resilience (June 2026)
Kristy A.E. Jansen, Wenhao Li, and Lukas Schmid
Abstract (draft available upon request): We study what makes the Treasury market resilient: how far yields must move before investors absorb shocks. The paper asks how resilience depends on the marginal holder, maturity, shock persistence, foreign demand, arbitrageur capacity, and Federal Reserve balance-sheet policy. The analysis shifts attention from the total quantity of debt to the market structure and policy design that determine who absorbs Treasury-market stress.
When Cash Flows Turn Negative: Liquidity-Driven Selling by Pension Funds (July 2026)
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, Best Paper Award at the LBS Summer Finance Symposium
Presentations (main): AFA, EFA, NBER-OFR meeting, Harvard Junior Conference, LBS Summer Finance Symposium, University of Toronto Asset Pricing and Investments Workshop, Joint Inquire U.K./Europe Conference, IPC Current Issues in Alternatives NYC Symposium
Granular Treasury Demand with Arbitrageurs (June 2026)
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): WFA, Princeton Conference on Asset Demand Systems, CEPR Asset Pricing Symposium, Fed Conference on Fixed-Income Markets, LBS Summer Finance Symposium, Chicago Treasury Market Conference, 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
Which Exchange Rate Matters to Global Investors? (Oct 2025)
Kristy A.E. Jansen, Hyun Song Shin, and Goetz von Peter
Presentations (main): AFA, NFA, EFA, CEBRA, International Role of the U.S. Dollar.
Forthcoming/Published Papers
Pension Liquidity Risk
Kristy A.E. Jansen, Sven Klingler, Angelo Ranaldo, and Patty Duijm, 2026, Review of Financial Studies, Forthcoming
Awards: ICPM Research Award First Place 2024, Inquire Europe Research Grant 2023.
Media: Investment & Pensions Europe
Do Teams Alleviate or Exacerbate Overreaction in Beliefs?
Ricardo Barahona, Stefano Cassella, Kristy A.E. Jansen, Vincenzo Pezone, 2026, Journal of Financial Economics, 176, 104-219.
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.
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.