What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
The Dynamics of expected returns: evidence from multi-scale time series modelling
Conventional wisdom posits that all the relevant investors’ information lies at the highest possible frequency of observation, so that long-run...
The United States dominates global investment banking: does it matter for Europe?
In the aftermath of the global financial crisis, the market share of US investment banks is increasing, while that of their European counterparts is...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...
Shadow Banks and Systemic Risks
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...
Exchange Rates and Monetary Policy Uncertainty
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...
The Internationalization of the Renminbi
This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...
Resaleable debt and systemic risk
Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...
A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...
Bank Risk Premia and Abenomics: The Return of the Japan Premium in the Cross-Currency Swap Market
This paper studies the change of the Japanese banking sector during the last two decades through the lens of money market risk premia. It makes two...
Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets
Review of Financial Studies, 28 (12): 3303-3337.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
