Christian Skov Jensen
University of Copenhagen
Assistant Professor of Financial Economics
Research fellow at the Danish Finance Institute
Bocconi University
Assistant Professor of Finance - on leave since Aug 2025
Main research interests: Asset pricing, Financial Economics, Macro-Finance, Financial Econometrics, Derivatives
CV | SSRN | Google Scholar
Email:
csj [at] econ.ku.dk or christian.jensen [at] unibocconi.it
PUBLICATIONS
Higher-Moment Risk with Niels Joachim Gormsen
Journal of Finance, accepted, June 2025
Conditional Risk with Niels Joachim Gormsen
Journal of Financial Economics, 162, 2024, 103933
Generalized Recovery with David Lando and Lasse Heje Pedersen
Journal of Financial Economics, 133 (1), 154-174, 2019. [code and data]
WORKING PAPERS
The Cyclicality of Risk and Risk Premia with Eben Lazarus, August 2025
We study the cyclicality of the market risk premium and variance. Although both increase in recessions, we find that the risk premium is less countercyclical than conditional variance, implying that the ratio of risk premium to variance is weakly procyclical, unlike the Sharpe ratio. We document this fact in a broad global equity sample, employing multiple approaches to portfolio formation around recession onsets, and we corroborate the evidence using option markets. We show that the ratio of risk premium to variance pins down the conditional beta in a regression of the stochastic discount factor on the market return, and its cyclicality helps explain key features of the equity term structure. A stylized model reconciles the procyclicality of the price per unit of variance risk with the term structure of Sharpe ratios on dividend claims.
Do Investors Learn From Prices? Evidence From the Securities Lending Market with Paula Cocoma, August 2025
Using stock-level data from the securities lending market, we develop a new empirical strategy to examine how financial markets process information. A key challenge in this literature is identifying when new—especially private—information arrives. We address this challenge by proxying information arrivals with increases in shorting demand, which captures informed traders’ reaction to new signals. We motivate our method within a theoretical model and validate it empirically using leading measures of informed trading. When shorting demand increases, we observe higher return volatility, higher volume–volatility correlation, and lower price informativeness. These findings align with a differences-of-opinion model in which overconfident investors, acting on their perceived informational advantage, trade so aggressively that market prices become less reflective of fundamentals. Our results hold even after excluding public signals, such as earnings announcements, highlighting the securities lending market’s role in revealing private information.
Are Risk-Neutral Variance and Skewness Good Proxies for their Physical Counterparts? November 2022
Many empirical papers use VIX, risk-neutral variance, or risk-neutral skewness obtained from option prices to proxy for the physical moments. I investigate whether risk-neutral moments are good proxies for physical moments in the time series and in the cross-section of stock returns. I find that risk-neutral variance is a good proxy while risk-neutral skewness is a bad proxy in both the time series and cross-section. In the time series, physical skewness is a stronger predictor of business cycle fluctuations than risk-neutral skewness. In the cross-section, a high-minus-low physical skewness portfolio carries a positive premium that is unexplained by risk-neutral skewness.