Research
Working Papers
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
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.
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.