Tom Engsted
Tom Engsted acquired his PhD in economics from the Aarhus School of Business in 1993. From 1999 to 2007 he was professor at the Aarhus School of Business, and since 2007 he has been professor of economics at Aarhus University.
His main research interests are in empirical asset pricing. He has published around 50 articles in journals such as Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial and Quantitative Analysis, Journal of International Money and Finance, Journal of Money, Credit, and Banking, and Review of Economics and Statistics.
Engsted, T. & Pedersen, T. Q. (2012). Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2012-58
Engsted, T. & Pedersen, T. Q. (2012). Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. Journal of Empirical Finance, 19(2), 241-253. https://doi.org/10.1016/j.jempfin.2012.01.003
Engsted, T. & Nielsen, B. (2012). Testing for rational bubbles in a coexplosive vector autoregression. Econometrics Journal, 15(2), 226-254. https://doi.org/10.1111/j.1368-423X.2012.00369.x
Engsted, T., Pedersen, T. Q. & Tanggaard, C. (2012). The Log-Linear Return Approximation, Bubbles, and Predictability. Journal of Financial and Quantitative Analysis, 47(3), 643-665. https://doi.org/10.1017/S0022109012000191
Engsted, T., Larsen, B. G. & Møller, M., (2011). Anbefalinger om aktieinvestering, 37 s.
Engsted, T. & Møller, M. (2011). Anbefalinger til den 'almindelige forbruger' om aktieinvesteringer. Finans/Invest, 2011(2), 5-10.
Engsted, T. & Pedersen, T. Q. (2011). Bias-correction in vector autoregressive models: A simulation study. CREATES, Institut for Økonomi, Aarhus Universitet. http://econ.au.dk/fileadmin/site_files/filer_oekonomi/Working_Papers/CREATES/2011/rp11_18.pdf
Engsted, T. & Møller, S. V. (2011). Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. CREATES, Institut for Økonomi, Aarhus Universitet.
Engsted, T. & Møller, S. V. (2010). An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns. International Journal of Finance and Economics, 15(3), 213-227. https://doi.org/10.1002/ijfe.389
