Learning from Biodiversity: Is Diversity in Financial Ecosystems Important for Economic Growth and Stability?
Authors:: Vihang R. Errunza, Basma Majerbi and Maxwell Tuuli
Publication:聽IMF Economic Review, Forthcoming
How is Liquidity Priced in Global Markets?
Investors pay a premium for liquidity, but exactly how much do they pay and how does that vary? Desautels Professor Vihang Errunza investigates that question with a new international asset pricing model.
Measuring sovereign bond market integration
Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
Abstract:
There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.
Desautels 22: top-tier management journals
Desautels prides itself on being a research-intensive management faculty that brings together scholars with a broad range of expertise, including mathematics, economics, psychology, sociology, and technology. Together, they address in their work issues of great importance to not only the business community, but also to society.
Finance in Emerging Markets
Editor: Vihang Errunza聽
Publication: Routledge
础产蝉迟谤补肠迟:听
The Impact of Investability on Asset Valuation
础耻迟丑辞谤蝉:听Errunza, V.,聽Ta, H.
Publication:聽Journal of Financial and Quantitative Analysis, Vol. 50, No. 5, 2015
础产蝉迟谤补肠迟:听
Corporate governance and state expropriation risk
础耻迟丑辞谤蝉:听Col, B., Errunza,聽V.
Publication: Journal of Corporate Finance
Abstract
"Do Implicit Barriers Matter for Globalization?," Review of Financial Studies
Authors: Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
Publication: Review of Financial Studies, 2013
Abstract:
Is the potential for international diversification disappearing? A dynamic copula approach
Authors: Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris; Langlois, Hugues
础产蝉迟谤补肠迟:听
