Thomas Quistgaard Pedersen

Staff portrait: Thomas Quistgaard Pedersen

What is your background?
I hold a Master’s degree in finance (cand.merc.fin) from the former Aarhus School of Business and a PhD from the former School of Economics and Management. Before commencing my PhD studies, I worked for Danmarks Nationalbank.

What are your main areas of research?
My main areas of research are empirical finance, asset pricing and financial econometrics. Much of my research has dealt with the question of whether or not expected financial market returns are constant or time-varying, and the consequences hereof in terms of asset pricing and portfolio choice.

What research projects are you working on at the moment?
I am currently working on a number of projects on the international housing market, where the aim is to determine what drives prices and their comovement across countries. Much of this work is done in collaboration with colleagues at our department. I am also working on a project with Allan Timmermann from UCSD, where we try to explain the comovement between stocks and bonds through regime-switching dynamics in the underlying fundamentals such as consumption and inflation. Finally, I can mention a project with our colleague Tom Engsted on money illusion, which entails that financial market agents do not adjust their expectations of nominal dividend growth when inflation changes. The aim of the project is offer a new and simple test of money illusion.

What are you involved in teaching-wise at the moment?
This spring I will be teaching a Master’s course on empirical finance. The course is a specialisation course in the programme but is also open to other students interested in empirical finance. In this course the students learn to apply econometric methods in analysing financial market prices and returns, and to test financial market theories. Furthermore, I am the coordinator of a finance and accounting course in the cand.oecon programme. Finally, I supervise many Bachelor’s and Master’s theses.

Are you planning to take part in any conferences or the like abroad in the near future?
I have no concrete plans for going abroad in the near future. Many of the summer conferences within finance have submission deadlines around now, and I plan to submit, so maybe I will be going abroad for conferences around summertime. Together with a number of colleagues I got an FSE grant in support of the research projects on the international housing market. A part of this grant is earmarked for longer stays abroad. Hence, a bit further down the road I plan to go abroad for a longer stay at another university together with my family.

Have you had any visitors from abroad recently?
I am currently not expecting visiting researchers from abroad. However, a part of the above mentioned FSE grant is earmarked a conference on the international housing market, which I will soon begin to organise. So within a foreseeable future I will be expecting a number of visiting researchers.

Are you cooperating with researchers from other departments at AU at the moment?

What do you do when you are not at work?
My children take up most of my spare time. I have a daughter aged 3 and a son who was born in the fall. I also spend a lot of my spare time on the house we bought a year ago. Currently the weather is mostly suitable for indoor projects, but when spring comes I will continue my attempt to tame the garden, which the previous owner had left untouched for eight years. Once in a while I also find time to go for a run.

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