Peter Vaporakis

PhD candidate in Finance at Copenhagen Business School.

I am on the international job market 2026/2027.

My research interests are in asset pricing, behavioral finance, macroeconomics, and monetary economics.

Curriculum Vitae

Contact

Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg
Denmark
Tel.: +45 28 91 08 38
E-mail: pv.fi@cbs.dk

Job Market Paper

Risk Premium Neglect in Bonds and Stocks

Abstract:

I study how professional forecasters expect financial markets to respond to changes in monetary policy using survey expectations of policy rates, Treasury yields, and stock prices. I find that when forecasters expect tighter future monetary policy, Treasury yields rise less than expected, while stock returns decline and expected returns stay flat. Forecasters therefore systematically overestimate long-maturity Treasury yields and stock returns. These forecast errors are consistent with risk premium neglect: forecasters do not fully incorporate the risk premium implications of their own policy beliefs into their asset price forecasts. A model in which agents neglect the cyclicality of the price of risk reproduces these patterns.

Working Papers

How ‘Bad’ is Consumption Based Asset Pricing?

Co-authored with Harjoat Bhamra and Paul Whelan

Abstract:

Consumption-based models with recursive preferences feature the return on aggregate wealth, which is an unobserved variable. Most empirical work uses the return on the aggregate stock market as a proxy for the return on wealth. We find that the consumption-based model fails empirically across alternative consumption measures and preference specification. We further show in simulated long-run risk economics that proxying for the return on wealth with the return on the stock market produces an upwards bias in risk aversion and a downwards bias in the elasticity of intertemporal substitution. This specific form of dark matter moves the location of preference parameter estimates, not the precision, so more data cannot fix it. Overall, this is an extension of Roll (1977), and shows that empirical test of the model face a joint hypothesis problem.

Subjective Trend Beliefs

Co-authored with Harjoat Bhamra and Paul Whelan

Abstract:

This paper links expectations about monetary policy to return predictability via errors in the trend component of the term structure. Subjective beliefs about interest rate trends are obtained from the residuals of expected Taylor rule regressions estimated using individual agents forecasts of Federal Funds, GDP and inflation. We show the beliefs encoded in these residuals coincide with deviations in a cointegrating relationship between the long-run equilibrium Federal Funds, GDP and inflation. Trend beliefs are a powerful forecaster of future realised bond excess returns because they are orthogonal to subjective bond risk premia and instead predict interest rate errors. These errors are orthogonal to cyclical errors about GDP and inflation and are instead linked to beliefs about the long run. A distorted beliefs model of trend and cycle can quantitively explain these patterns highlighting the importance of belief formation about long run quantities in shaping asset prices.

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