Zobrazeno 1 - 10 of 11 pro vyhledávání: '"Krista Schwarz"'
2
Using Stocks or Portfolios in Tests of Factor Models
Autor: Andrew Ang, Jun Liu, Krista Schwarz
Publikováno v: Journal of Financial and Quantitative Analysis. 55:709-750
We examine the efficiency of using individual stocks or portfolios as base assets to test asset pricing models using cross-sectional data. The literature has argued that creating portfolios reduces idiosyncratic volatility and allows more precise est
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4786715660d63e91b547948c5a04203d
https://doi.org/10.1017/s0022109019000255
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3
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*
Autor: Krista Schwarz
Publikováno v: Review of Finance. 23:557-597
Wide and volatile interest rate spreads in the 2007-2009 financial crisis could represent concerns over asset liquidity or issuer solvency. To precisely identify the contribution of these two effects on sovereign bond and interbank spreads, I propose
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2362c28c8f95be8a5e6457efee1fb0f
https://doi.org/10.1093/rof/rfy034
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4
Notes on Bonds: Illiquidity Feedback During the Financial Crisis
Autor: Greg Nini, Krista Schwarz, David K. Musto
Publikováno v: The Review of Financial Studies. 31:2983-3018
We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bond prices fell more than 6% below more liquid but otherwise identical notes. Using high-resolution data on market quality and trader
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::cc2117de9a5272533456a463cf17c125
https://doi.org/10.1093/rfs/hhy022
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5
Predictable End-of-Month Treasury Returns
Autor: Jonathan Hartley, Krista Schwarz
Publikováno v: SSRN Electronic Journal.
We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly significant in the last few days of the month, and are not significantly different from zero at other times. A long
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::133625fd6864262aadb08c3856c5f8a2
https://doi.org/10.2139/ssrn.3440417
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6
Notes on Bonds: Liquidity at All Costs in the Great Recession
Autor: Krista Schwarz, David K. Musto, Greg Nini
Publikováno v: SSRN Electronic Journal.
This paper traces the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis; bonds fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52e27804ed5134a1b5cbf5b4171ebcfc
https://doi.org/10.2139/ssrn.2625107
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8
Are Speculators Informed?
Autor: Krista Schwarz
Publikováno v: SSRN Electronic Journal.
The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship—whether it reflects private information, liquidity, or trend-chasing behav
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::914299bf94e7c8201092b88ef96d8ca2
https://doi.org/10.2139/ssrn.1721842
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9
Using Individual Stocks or Portfolios in Tests of Factor Models
Autor: Jun Liu, Krista Schwarz, Andrew Ang
Publikováno v: SSRN Electronic Journal.
We examine the asymptotic efficiency of using individual stocks or portfolios as base assets to test cross-sectional asset pricing models. The literature has argued that creating portfolios reduces idiosyncratic volatility and enables factor loadings
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::98e33e48d605790334549e04b6247188
https://doi.org/10.2139/ssrn.1106463
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10
The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk
Autor: Sergey Chernenko, Krista Schwarz, Jonathan H. Wright
Publikováno v: SSRN Electronic Journal.
Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce8ed41de7d93d71cddbda8b1962992a
https://doi.org/10.2139/ssrn.560386
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