Johannes Skjeltorp is working as a Senior Analyst in the Norges Bank Investment Management (NBIM). He has previously worked as a Assistant Director and Senior Researcher in the Research Unit of Norges Bank Financial Stability. Skjeltorp obtained his PhD at the Norwegian School of Management (BI) in 2004. He has worked in Norges Bank since March 1998.
Work in progress / Working Papers
- "Trading on Algos" (Sojli and Tham) download from SSRN
- "Identifying Cross-Sided Liquidity Externalities" (Sojli and Tham)
- "The Risk Components of Liquidity"(with Lorán Chollete and Randi Næs) 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) 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)
- "Flashes of Trading intent at the NASDAQ", (with Elvira Sojli and Wing Wah Tham), Journal of Financial and Quantitative Analysis (Forthcoming), 2014.
- Center for the Study of Financial Regulation - Newsletter
- Best Paper Award in Special Topics at Midwest Finance Association annual meeting 2012
- "When do listed firms pay for market making in their own stock?", (with Bernt-Arne Ødegaard), Financial Management (Forthcoming), 2014.
- "Stock Market Liquidity and the Business Cycle" (with Randi Næs and Bernt-Arne Ødegaard), Journal of Finance, Vol. LXVI, No. 1, February 2011
- "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.
Publications in Norwegian Journals
- "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
- "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,
Ilan Cooper (BI)
- "Nye Metoder Innen Risikoanalyse og Kontroll: Skalering i Finansielle Data" (177 kB), Penger og Kreditt, 4/1998