Magnus Dahlquist is the Director of Swedish Institute for Financial
Research (SIFR) in Stockholm, Sweden, and Peter Wallenberg Professor of
Finance at the Stockholm School of Economics. He is also Visiting
Professor at the Fuqua School of Business, Duke University, USA.
Dahlquist obtained his doctorate at the Institute for International
Economic Studies, Stockholm University, in 1995. He served on the faculty
of the Stockholm School of Economics and the Fuqua School of Business, Duke
University, prior to joining SIFR. Dahlquist is also a Research Fellow of
the Centre for Economic Policy Research (CEPR), London.
interests lie in the fields of asset pricing, and international finance.
His current research focuses on (i) risks and returns in global equity
markets, (ii) information and incentives as determinants of the portfolio
choice of individual and institutional investors, (iii) the behavior and
determination of exchange rates and interest rates, and (iv) performance
evaluation and practical problems related to portfolio selection.
He has taught courses on debt instruments and markets, investment
management, global financial markets, and international business in Master
of Science, MBA, Executive MBA, and Ph.D. programs at the Duke University,
Stockholm School of Economics, and the University of North Carolina at
- Evaluating Portfolio Performance with Stochastic Discount Factors
(with Paul Söderlind), Journal of Business 72 (1999), 347-383.
[Reprinted in New Research in Financial Markets, edited by Bruno
Biais and Marco Pagano, Oxford University Press, 2002.]
- The Forward Premium Puzzle: Different Tales from Developed and
Emerging Economies (with Ravi Bansal), Journal of International
Economics 51 (2000), 115-144.
[Winner of the Chicago Board of
Trade Award for Best Paper on Futures or Options on Futures at the 1999
Western Finance Association Meetings.]
- Regime-Switching and Interest Rates in the European Monetary System
(with Stephen Gray), Journal of International Economics 50
- Performance and Characteristics of Swedish Mutual Funds (with Stefan
Engström and Paul Söderlind), Journal of Financial and Quantitative
Analysis 35 (2000), 409-423.
- Direct Foreign Ownership, Institutional Investors, and Firm
Characteristics (with Göran Robertsson), Journal of Financial
Economics 59 (2001), 413-440.
- Corporate Governance and the Home Bias (with Lee Pinkowitz, René M.
Stulz, and Rohan Williamson), Journal of Financial and Quantitative
Analysis 38 (2003), 87-110.
[Winner of the William F. Sharpe
Award for Scholarship in Financial Research for the best article in
Journal of Financial and Quantitative Analysis in 2003.]
- A Note on Foreigners' Trading and Price Effects across Firms (with
Göran Robertsson), Journal of Banking and Finance 28 (2004),
Selected Working Papers
- The Forward Premium Puzzle in a Model with Traded and Non-Traded
Goods (with Ravi Bansal and John Coleman), Working Paper (2002).
- An Evaluation of International Asset Pricing Models (with Torbjörn
Sällström), Working Paper (2002).
- Sample Selectivity and Expected Returns in Global Equity Markets
(with Ravi Bansal), Working Paper (2005).
- Dynamic Trading Strategies and Portfolio Choice (with Ravi Bansal
and Campbell Harvey), Working Paper (2005).
- Pseudo Market Timing: Fact or Fiction? (with Frank de Jong), Working
- Empirical Evidence of Dividend Tax Clienteles (with Göran Robertsson
and Kristian Rydqvist), Working Paper (2006).