Low risk as a predictor of financial crises
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high...
Learning from History: Volatility and Financial Crises
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...
Cryptocurrencies don't make sense
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not...
Why investors should be weaned off tight tracking to market indices
Exploitative momentum investing would shrivel in the absence of benchmarkers.
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
The Dynamics of Financially Constrained Arbitrage
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...
International Liquidity
Global or international liquidity has moved to centre stage in recent international policy, research and market discussions. Contrary to the approach...
Financial Markets where Traders Neglect the Informational Content of Prices
We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
Fundamentals versus market sentiments in the euro bond markets: Implications for QE
Despite the partial realignment of European long-term government bonds after the crisis in 2012, there has been some renewed divergence in yields in...
Financial Choice and Financial Information
We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...
The Optimal Consumption Function in a Brownian Model of Accumulation. Part C: A Dynamical System Formulation
This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B [2014]; a...
What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.
