Overview
Tom Engsted is a financial economist at the Department of Finance, Aarhus School of Business (Handelshøjskolen i Aarhus), Denmark. His research focuses on empirical asset pricing, return predictability, long-horizon inference, and the Fisher hypothesis. He is known for applying VAR methods to multi-period expected returns and inflation and for detailed empirical studies of Danish and US financial markets.
Key Contributions
- Fisher hypothesis at short and long horizons (with Tanggaard 2000): VAR-based multi-period expected return and inflation computation avoiding overlapping data; US vs. Denmark asymmetry; contradicts Boudoukh-Richardson (1993) for US stocks; near-perfect Fisher at 10 years for Danish stocks. See Fisher Hypothesis and Vector Autoregression.
- Danish stock and bond markets (with Tanggaard 1999): Campbell-Ammer variance decomposition applied to Denmark; return predictability and comovement analysis (working paper, Aarhus School of Business).
- Long-term bond yield and expected inflation (Engsted 1995): VAR-based analysis of whether the long-term bond yield predicts future long-term inflation across multiple countries (Review of Economics and Statistics 77: 42–54).
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