Johannes A. Skjeltorp

Researcher

Johannes A. Skjeltorp

E-mail: johannes-a.skjeltorp@norges-bank.no

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.

Research interests

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.

      

 

Working in progress 
 

  • "Stock Market Liquidity and the Business Cycle" (with Randi Næs and Bernt-Arne Ødegaard)  [abstract] 

                   Updated version  (Feb 2010)
                   Internet appendix (with additional results)              
                 
                  First version: NB WP  2008/11, Slides (247 kB)  

  • "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) 

     

Articles in Refereed (International) Journals

  • "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. 

                  Published version (259 kB) [abstract]
                  NB Working Paper 2003/9 (617 kB),  Slides (207 kB)

  • "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.

                  Published version (585 kB) [abstract]
                  NB Working Paper 2002/12 (433 kB),  Slides (326 kB)

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

                  Canadian Investment Review (188 kB) [abstract]

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

                  Published version (886 kB) [abstract] 


Articles in Refereed (Norwegian) Journals

 

Other writings 

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