I am an Assistant Professor of Finance at the Yale School of Management. Prior to joining Yale, I obtained my Ph.D. in financial economics from Copenhagen Business School.
My primary research area is empirical asset pricing, where I like to explore new data sets, especially those related to subjective expectations. My research projects are typically data-intensive and use advanced statistical methods such as machine learning.
Contact:
Yale School of Management165 Whitney Ave. New Haven, CT 06511theis.jensen@yale.edu4/2025. Best paper prize: Machine Learning and the Implementable Efficient Frontier wins the best paper presented at the Inquire Europe/UK spring seminar
3/2025. R&R: In Search of the True Greenium is R&R at the Journal of Financial Economics.
Research with non-US data used to be difficult, but now it's easy. Check out the data section of my webpage where you can find stock returns, firm characteristics, and equity factors from 93 countries!