Iceland’s post-Crisis economy: A myth or a miracle?
Icelandic voters recently ejected its post-Crisis government – a government that successfully avoided economic collapse when the odds were stacked...
An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Capital controls are still ruining Iceland after half a decade
One aspect of the Cypriot crisis resolution is of particular concern. As authorities fear that anyone with money in Cyprus will want to take it out as...
The capital controls in Cyprus and the Icelandic experience
Cyprus has imposed temporary capital controls. This column sheds light on how temporary and how damaging they are likely to be, based on Iceland’s...
Towards a more procyclical financial system
Is the fact that different banks have different risk models problematic? Contrary to the Basel Committee and the European Banking Authority, this...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
The Optimal Finance Structure
Banking developed rather differently in Anglo-Saxon countries than on the European Continent and in Japan. In Anglo-Saxon countries, notably the UK...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Investors’ Horizons and the Amplification of Market Shocks
This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
The Potential Instruments of Monetary Policy
In most standard (Dynamic Stochastic General Equilibrium, DSGE) macro-models, there is a single riskless rate, set by the Central Bank in accord with...
“Theory anchors” explain the 1920s NYSE Bubble
The NYSE boom of the 1920s ended with the infamous crash of October 1929 and subsequent collapse in common stock prices from 1929-1932. Most...
Foresight: The Future of Computer Trading in Financial Markets
SRC researchers were involved in a study that explores how computer generated trading in financial markets will evolve over the next 10 years. The...
