Annette Vissing‐Jørgensen
Biographic Data
| ID | 5851289 |
|---|---|
| NAME | Annette Vissing‐Jørgensen |
| GIVEN NAMES | Annette |
| FAMILY NAME | Vissing‐Jørgensen |
| SIGNATURE | JØRGENSEN A V |
| AFFILIATIONS | Northwestern University |
| ORCID | 0000-0002-0287-3118 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 39 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2002 |
| LATEST PUBLICATION YEAR | 2012 |
| H-INDEX | 2 |
The Aggregate Demand for Treasury Debt
Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yields are reduced by 73 basis points, on average, from 1926 to 2008. Both the liquidity and safety attributes of Treasuries are driving this phenomenon. We document this by analyzing the spread between assets with different liquidity (but similar safety) and…
The Returns to Entrepreneurial Investment
We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return trade-off. We brie…
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and non–asset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler …
The Aggregate Demand for Treasury Debt
Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yields are reduced by 73 basis points, on average, from 1926 to 2008. Both the liquidity and safety attributes of Treasuries are driving this phenomenon. We document this by analyzing the spread between assets with different liquidity (but similar safety) and…
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and non–asset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler …
The Returns to Entrepreneurial Investment
We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return trade-off. We brie…
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and non–asset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler …
The Aggregate Demand for Treasury Debt
Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yields are reduced by 73 basis points, on average, from 1926 to 2008. Both the liquidity and safety attributes of Treasuries are driving this phenomenon. We document this by analyzing the spread between assets with different liquidity (but similar safety) and…
Economics (3 works) · Finance (3 works) · Financial Markets and Investment Strategies (3 works) · Monetary economics (3 works) · Business (2 works) · Econometrics (2 works) · Finance (2 works) · Financial economics (2 works) · Housing Market and Economics (2 works) · Market liquidity (2 works)