Research

Working Papers

When Cash Flows Turn Negative: Liquidity-Driven Selling by Pension Funds (Jan 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 (Oct 2025)

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, Review of Financial Studies Conditionally Accepted
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.