Print

Johannes A. Skjeltorp

Researcher

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 a senior 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.

• CV

---

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 speed of price discovery, and a project studying the aggregate equity orderflow and it's relation to macro fundamentals and asset prices. 

• Skjeltorp's SSRN and  entries 

Working papers

---

•  "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) 
   

Published papers

---

• "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] 

---

Other publications

---

•  PhD Dissertation: "Trading in Equity Markets A study of Individual, Institutional and Corporate Trading Decisions", 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)
•  "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", Praktisk Økonomi og Finans 1/2005
• "Nye Metoder Innen Risikoanalyse og Kontroll: Skalering i Finansielle Data". Penger og Kreditt, 4/1998 (177 kB)