Imperial College London

ProfessorAndreaBuraschi

Business School

Chair in Finance
 
 
 
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Contact

 

+44 (0)20 7594 1818a.buraschi Website CV

 
 
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Location

 

2.05D53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

23 results found

Buraschi A, Whelan P, 2021, Speculation, Sentiment and Interest Rates, Management Science, ISSN: 0025-1909

Journal article

Buraschi A, Menguturk M, Sener E, 2015, The Geography of Funding Markets and Limits to Arbitrage, Review of Financial Studies, Vol: 28, Pages: 1103-1152, ISSN: 1465-7368

We use the relative pricing of pairs of emerging market (EM) sovereign bonds issuedin both dollars and euros to study capital markets frictions during periods of financialdistress. During the 2007–2008 crisis, we find the emergence of large pricing anomaliesin EM sovereign bond markets. Neither liquidity nor short-selling constraints can explainthese persistent events. We use both cross-sectional and time-series information on thesepricing anomalies to learn about specific geographical frictions in funding markets. We findsupport for explanations based on the interaction of banking capital-structure frictions andthe fragility of wholesale funding markets. We document the effects of nonconventionalpolicy interventions on this mispricing.

Journal article

Buraschi A, whelan P, 2015, BOND MARKETS AND UNCONVENTIONAL MONETARY POLICY, Handbook of Fixed Income, Editors: Veronesi, Publisher: John Wiley & Sons, Inc.

Book chapter

Buraschi A, Whelan P, 2015, Bond Markets and Monetary Policy, Handbook of Fixed-Income Securities, Editors: Veronesi, Publisher: John Wiley & Sons, Inc.

Book chapter

BURASCHI A, KOSOWSKI R, SRITRAKUL W, 2014, Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas, The Journal of Finance, Vol: 69, Pages: 2819-2870, ISSN: 0022-1082

Journal article

Buraschi A, Carnelli A, 2014, Understanding Short- versus Long-Run Risk Premia, EUROPEAN FINANCIAL MANAGEMENT, Vol: 20, Pages: 714-738, ISSN: 1354-7798

Journal article

Buraschi A, Buraschi A, Menguturk M, Sener Eet al., 2014, The Geography of Risk Capital, Funding Markets and Limits to Arbitrage, Review of Financial Studies

We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. While there is no evidence of mispricing before 2007, during the 2007–2008 crisis we document a persistent anomaly that resulted in segmented EM bond markets. The sign of mispricing varies cross-sectionally, depending on the domestic currency of funding banks, and its magnitude depends on the degree of fragility in wholesale funding markets. Neither liquidity nor short-selling constraints can account for this anomaly. We document the impact of non-conventional policy interventions.

Journal article

Buraschi A, Trojani F, Vedolin A, 2014, Economic Uncertainty, Disagreement, and Credit Markets, MANAGEMENT SCIENCE, Vol: 60, Pages: 1281-1296, ISSN: 0025-1909

Journal article

Buraschi A, Kosowski R, Trojani F, 2014, When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Funds Returns, Review of Financial Studies, Vol: 27, Pages: 581-616, ISSN: 1465-7368

Journal article

Buraschi A, Carnelli A, Whelan P, 2013, Taylor Rule Uncertainty: Believe it or not, New Developments in Macro-Finance Yield Curve Modelling, Editors: Chadha, Durre, Joyce, Sarno, Cambridge, UK, Publisher: Cambridge University Press

Book chapter

Buraschi A, Cornelli F, 2013, The Economics of Donations and Enlightened Self-interest, European Financial Management, Vol: n/a, ISSN: 1354-7798

Journal article

Buraschi A, Carnelli A, 2013, The Economic Value of Predictability for Portfolio Management, The Journal of Financial Management, Markets and Institutions

Journal article

Buraschi A, Trojani F, Vedolin A, 2013, When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia, Journal of Finance, Vol: n/a, ISSN: 1540-6261

Journal article

Buraschi A, Trojani F, Vedolin A, 2013, Economic Uncertainty, Differences in Beliefs and Credit Spreads, Management Science, ISSN: 0025-1909

Journal article

Beber A, Breedon F, Buraschi A, 2010, Differences in beliefs and currency risk premiums, JOURNAL OF FINANCIAL ECONOMICS, Vol: 98, Pages: 415-438, ISSN: 0304-405X

Journal article

Buraschi A, Porchia P, Trojani F, 2010, Correlation Risk and Optimal Portfolio Choice, JOURNAL OF FINANCE, Vol: 65, Pages: 393-420, ISSN: 0022-1082

Journal article

Buraschi A, 2007, Habit Formation and the Term Structure of Interest Rates, Journal of Finance, Vol: December

Journal article

Buraschi A, Corielli F, 2005, Risk management implications of time-inconsistency: model updating and recalibration of no-arbitrage models, JOURNAL OF BANKING AND FINANCE, Vol: 29, Pages: 2883-2907, ISSN: 0378-4266

Journal article

Buraschi A, Jiltsov A, 2005, Inflation risk premia and the expectations hypothesis, JOURNAL OF FINANCIAL ECONOMICS, Vol: 75, Pages: 429-490, ISSN: 0304-405X

Journal article

Buraschi A, Jiltsov A, 2005, Model uncertainty and option markets with heterogeneous agents, Journal of Finance, ISSN: 0022-1082

Journal article

Buraschi A, Menini D, 2002, Liquidity risk and specialness, JOURNAL OF FINANCIAL ECONOMICS, Vol: 64, Pages: 243-284, ISSN: 0304-405X

Journal article

Buraschi A, Dumas B, 2001, The forward valuation of compound options, JOURNAL OF DERIVATIVES, Vol: 9, Pages: 8-17, ISSN: 1074-1240

Journal article

Buraschi A, Jackwerth J, 2001, The price of a smile: Hedging and spanning in option markets, REVIEW OF FINANCIAL STUDIES, Vol: 14, Pages: 495-527, ISSN: 0893-9454

Journal article

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