Publications

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...

Risk metrics should be based on asset cash flows.

Is the fact that different banks have different risk models problematic? Contrary to the Basel Committee and the European Banking Authority, this...

This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...

Review of Financial Studies, 26 (3). pp. 768-805. 

Banking developed rather differently in Anglo-Saxon countries than on the European Continent and in Japan. In Anglo-Saxon countries, notably the UK...

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...

This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...

In most standard (Dynamic Stochastic General Equilibrium, DSGE) macro-models, there is a single riskless rate, set by the Central Bank in accord with...

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...

SRC researchers were involved in a study that explores how computer generated trading in financial markets will evolve over the next 10 years. The...

The list of barriers to female representation in management is analogous to the list of barriers to female labor force participation. Accordingly, we...

We provide novel evidence of priced correlation risk in the foreign exchange market. Currencies that perform badly (well) during periods of high...

Credit growth is widely used as an indicator of potential financial stress, and it plays a role in the new Basel III framework. However, it is not...

The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...