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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.
I do 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.eduNews
News
9/2025. New data collaboration: WRDS has agreed to host the data for our CTF competition. See how to download the data at:
jkpfactors.com/ctf-dataset-access9/2025. Major revision: The Power of the Common Task Framework, including various competition-eligible examples at
github.com/theisij/common-task-framework-SDF8/2025. Major revision: In Search of the True Greenium, including a new aggregate green score based on global sustainable fund holdings
7/2025. Competition: Check out our common task framework-inspired competition at jkpfactors.com/common-task-framework
5/2025. New paper: The Power of the Common Task Framework with Oliver Hellum, Bryan Kelly, and Lasse Pedersen
Global Finance Data
Global Finance Data
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!
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