Ralph Koijen

Biography

Ralph S.J. Koijen is the AQR Capital Management Professor of Finance at the University of Chicago Booth School of Business. He is also a Research Associate at the National Bureau of Economic Research and a Research Fellow of the Centre for Economic Policy Research. He is a co-director of the NBER Asset Pricing program. He serves as a co-editor of the Review of Financial Studies. Professor Koijen was awarded the 2019 Fischer Black Prize by the American Finance Association, given biennially to the top financial economics scholar under the age of 40.

Professor Koijen’s research focuses on finance, insurance, and macroeconomics. His research has been published in the American Economic Review, Econometrica, the Journal of Political Economy, the Quarterly Journal of Economics, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. His research has been covered in popular media, such as the Financial Times, the Wall Street Journal, and The Economist.

Before joining Chicago Booth in 2018, Professor Koijen was a Professor of Finance at the London Business School and NYU Stern, and an Assistant and Associate Professor of Finance at Chicago Booth. He received his undergraduate degree in Econometrics from Tilburg University and his Ph.D. in Finance from Tilburg University.

Research Interests

• Asset pricing; investments; household finance.

Academic Areas

• Finance

Book

• Financial Economics of Insurance, with Motohiro Yogo, under contract with Princeton University Press, 2021.

Published and forthcoming papers

1. Optimal Decentralized Investment Management, with Jules H. van Binsbergen and Michael W. Brandt, 2008, The Journal of Finance.
2. Mortgage Timing, with Otto Van Hemert and Stijn Van Nieuwerburgh, 2009, Journal of Financial Economics.
3. Momentum and Mean-reversion in Strategic Asset Allocation, with Juan-Carlos Rodriguez and Alessandro Sbuelz, 2009, Management Science.
4. Predictive Regressions: A Present-Value Approach, with Jules H. van Binsbergen, 2010, The Journal of Finance.
5. When Can Life-Cyle Investors Benefit from Time-varying Bond Risk Premia?, with Theo E. Nijman and Bas J.M. Werker, 2010, Review of Financial Studies.
6. Long-Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk, with Hanno Lustig, Stijn Van Nieuwerburgh, and Adrien Verdelhan, 2010, American Economic Review (P&P).
7. Optimal Annuity Risk Management, with Theo E. Nijman and Bas J.M Werker, 2010, Review of Finance.
8. Predictability of Stock Returns and Cash Flows, with Stijn Van Nieuwerburgh, 2011, Annual Review of Financial Economics.
9. On the Timing and Pricing of Dividends, with Jules H. van Binsbergen and Michael W. Brandt, 2012, American Economic Review.
10. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences, with Jules H. van Binsbergen, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez, 2012, Journal of Monetary Economics.
11. Equity Yields, with Jules H. van Binsbergen, Wouter Hueskes, and Evert B. Vrugt, 2013, Journal of Financial Economics, lead article.
12. The Cross-Section of Managerial Ability, Incentives, and Risk Preferences, 2014, Journal of Finance.
13. The Cost of Financial Frictions for Life Insurers, with Motohiro Yogo, 2015, American Economic Review.
14. Financial Health Economics, with Tomas J. Philipson and Harald Uhlig, 2016, Econometrica.
15. Health and Mortality Delta: Assessing the Welfare Costs of Household Insurance Choice, with Stijn Van Nieuwerburgh and Motohiro Yogo, 2016, Journal of Finance.
16. Shadow Insurance, with Motohiro Yogo, 2016, Econometrica.
17. On the Timing and Pricing of Dividends: Reply, with Jules H. van Binsbergen, 2016, American Economic Review.
18. The Term Structure of Returns: Facts and Theory, with Jules H. van Binsbergen, 2017, Journal of Financial Economics, lead article.
19. Euro-Area Quantitative Easing and Portfolio Rebalancing, with Francois Koulischer, Benoit Nguyen, and Motohiro Yogo, 2017, American Economic Review (P&P).
20. The Cross-Section and Time-Series of Stock and Bond Returns, with Hanno Lustig and Stijn Van Nieuwerburgh, 2017, Journal of Monetary Economics.
21. Carry, with Toby Moskowitz, Lasse H. Pedersen, and Evert B. Vrugt, 2018, Journal of Financial Economics, lead article.
22. An Equilibrium Model of Institutional Investors and Asset Prices, with Motohiro Yogo, 2019, Journal of Political Economy, lead article.
23. Combining Life and Health Insurance, with Stijn Van Nieuwerburgh, Quarterly Journal of Economics, May 2020.
24. Coronavirus: Impact on Stock Prices and Growth Expectations, with Niels J. Gormsen, Review of Asset Pricing Studies, 2020.
25. Inspecting the Mechanism of Quantitative Easing in the Euro Area, with Francois Koulischer, Benoit Nguyen, and Motohiro Yogo, Journal of Financial Economics, 2021.
26. Implied Dividend Volatility and Expected Growth, with Niels J. Gormsen and Ian Martin, American Economic Review, P&P, 2021.
27. Review Article: Perspectives on the Future of Asset Pricing, with Markus Brunnermeier, Emmanuel Farhi, Arvind Krishnamurthy, Sydney C. Ludvigson, Hanno Lustig, Stefan Nagel, and Monika Piazzesi, Review of Financial Studies, 2021.
28. The Fragility of Market Risk Insurance, with Motohiro Yogo. Most recent version: 2020. Journal of Finance, 2022.