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Global Temperature, R&D Expenditure, and Growth
(2017-11-15)
We shed new light on the macroeconomic effects of rising temperatures. In the data, a shock to global temperature dampens expenditures in research and development (R&D). We rationalize this empirical evidence within a ...
Volatility-of-Volatility Risk
(2018-05-01)
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
(2018-06-14)
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading ...
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
Liquidity provision: Normal times vs Crashes
(2019-10-29)
We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...
Central Bank-Driven Mispricing
(2018-10-01)
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ...
A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
(2018-10-01)
Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ...
Paying for Market Liquidity: Competition and Incentives
(2019-02-01)
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...