Johannes A. Skjeltorp

Assistant Director/Researcher

E-mail:

Phone: +47 22 31 67 40
Fax: +47 22 42 40 62
Norges Bank
Bankplassen 2
P.O.Box 1179 Sentrum
0107 Oslo
Norway

Johannes Skjeltorp is an advisor in the research department of Norges Bank. Skjeltorp obtained his PhD at the Norwegian School of Management (BI) in 2004. He has been with the research department since March 1998.

• Curriculum Vitae

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 Research interests

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Skjeltorp's main research interests is in asset management, asset pricing and the market microstructure of equity markets. His current research focuses on liquidity risk and asset pricing. More specifically he uses equity market microstructure data to obtain liquidity measures for use in asset pricing applications. In addition, he has several ongoing projects on the relationship between company specific order-flow, liquidity and the speed of price discovery. Skjeltorp also have an ongoing project studying the aggregate equity orderflow and it's relation to macro fundamentals and asset prices aswell as the relation between market liquidity and the business cycle.

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 Work in progress / Working Papers 

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• "Identifying Cross-Liquidity Externalities"  (with Sojli and Tham)
  
  
•  "Sunshine Trading: Flashes of Trading Intent at the NASDAQ" (with Sojli and Tham) 
              
     -  AFA2012 (Chicago)
  
  
•  "Why do firms pay for liquidity provision in limit order markets?" (with Bernt-Arne Ødegaard)
  
     - EFA 2011 Slides (June 2011 version)
    
  
• "The Risk Components of Liquidity" (with Lorán Chollete and Randi Næs) [abstract]
  
              NB Working Paper 2008/3 (EFA 2008 version)
  
  
•  "What captures liquidity risk? A comparison of trade and order based liquidity factors" (with Lorán Chollete and Randi Næs) [abstract]
  
              NB Working Paper 2007/3  (523 kB),  Slides (122 kB)
  
  
• "The market impact and timing of open market share repurchases in Norway" 
  
              NB Working Paper 2004/8 (512 kB),  Slides (389 kB)
  
  
• "The ownership structure of repurchasing firms" (with Bernt Arne Ødegaard)
  
              NB Working Paper 2004/7 (478 kB) 
  
   

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  Publications

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• "Stock Market Liquidity and the Business Cycle" (with Randi Næs and Bernt-Arne Ødegaard), Journal of Finance, Vol. LXVI, No. 1, February 2011. 
  
              Internet appendix (published)

• "Order Book Characteristics and the Volume-Volatility relation: Empirical evidence from a Limit Order Market" (with Randi Næs), Journal of Financial Markets, issue 9 (2006), p. 408 - 432.  
  
  

• "Equity trading by institutional investors: Evidence on order submission strategies"  (with Randi Næs), Journal of Banking and Finance, vol.27, issue 7 (2003), p.1779 - 1817.  
  
  

• "On- or off-market trading? Evidence on Competition, Liquidity and Execution Costs" (with Randi Næs), Canadian Investment Review, Fall 2003, p.47-51.   

• "Scaling in the Norwegian Stock Market"  Physica A, issue 283, (2000), p.486-528.  

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  Publications in Norwegian Journals

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• "Likviditeten i aksjemarkedet og realøkonomien", Aktuell Kommentar, Samfunnsøkonomen nr.2, 2011.

• "Industrisammensetningen av Oslo Børs", (309 kB), Published in Praktisk Økonomi og Finans (PØF) 2009

• "Hvilke faktorer driver kursutviklingen på Oslo Børs?", (627 kB) (with Randi Næs and Bernt-Arne Ødegaard), Norsk Økonomisk Tidskrift, vol 122, no 2, pages 36-81, (2008). Also available as NB Working Paper 8/2007
  
  English version: "What factors affect the Oslo Stock Exchange", (877 kB), NB Working Paper 2009/24
  
  

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  Other writings 

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• "Sikkerhet for lån i Norges Bank - Virkningen av endringer i Norges Banks regelverk på bankenes verdipapirporteføljer og utstedelser", Norges Bank Staff Memo 8/2011
  
  
• "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?" (730 kB), NB Working Paper 2009/26 
  
  
• "Liquidity at the Oslo Stock Exchange", (504 kB), NB Working Paper 9/2008.
  
  
•  "Is the market microstructure of stock markets important?", (238 kB), Norges Bank Economic Bulletin 3/2006.
  
  
•  "Aksjemarkedets mikrostruktur - betyr det noe?" (501 kB), Penger og Kreditt 2/2006.
  
  
•   "Tilbakekjøp i Norge. Annonseringseffekten, langsiktig avkastning og tilbakekjøpsaktivitet" (83 kB), Praktisk Økonomi og Finans 1/2005
  
  
•  PhD Dissertation: "Trading in Equity Markets A study of Individual, Institutional and Corporate Trading Decisions" (1 Mb), Series of Dissertations 8/2004, Norwegian School of Management, Department of Financial Economics
  
           Supervisor:  Bernt Arne Ødegaard (BI)
           Committee: Thierry Foucault (HEC Paris), 
                                 Tommy Stamland (NHH), 
                                 Ilan Cooper (BI)
  
  
•  "Nye Metoder Innen Risikoanalyse og Kontroll: Skalering i Finansielle Data" (177 kB), Penger og Kreditt, 4/1998