Zobrazeno 1 - 10
of 52
pro vyhledávání: '"Andrea Buraschi"'
Autor:
Andrea Buraschi, Paul Whelan
Publikováno v:
Management Science. 68:2308-2329
We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents’ economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagr
Publikováno v:
The Review of Financial Studies. 35:3710-3741
This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross
Autor:
Andrea Buraschi, Claudio Tebaldi
This paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks. Two classes of equilibria exist. In the first, idiosyncratic shocks are diversifiable and do
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3316b00ebaa6b9b76184668b84ecfb3
http://hdl.handle.net/10044/1/98478
http://hdl.handle.net/10044/1/98478
Autor:
Andrea Barbon, Andrea Buraschi
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
The forecasting literature has presented overwhelming evidence that the aggregation of heterogeneous expectations leads to improvements in forecast accuracy; however, outperforming a simple equal weight- ing scheme has proved challenging. This paper
Autor:
Emiliano Pagnotta, Andrea Buraschi
Publikováno v:
SSRN Electronic Journal.
We address the valuation of bitcoins and other blockchain tokens in a new type of production economy: a decentralized financial network (DN). An identifying property of these assets is that contributors to the DN trust (miners) receive units of the s
Publikováno v:
Review of Financial Studies. 28(4):1103-1152
Due to copyright restrictions, the access to the full text of this article is only available via subscription. We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets fric
Publikováno v:
The Journal of Finance. 69:2819-2870
Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incenti
Autor:
Andrea Buraschi, Claudio Tebaldi
Publikováno v:
SSRN Electronic Journal.
This paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks. Two classes of equilibria exist. In the first, idiosyncratic shocks are diversifi able and do
Publikováno v:
SSRN Electronic Journal.
This paper documents large micro-heterogeneity and forecasting skill in the cross-section of survey based bond risk premia. We reject informationally constrained rational expectations but show a learning model distorted by sentiment is consistent wit