23 results found
Buraschi A, Whelan P, 2021, Speculation, Sentiment and Interest Rates, Management Science, ISSN: 0025-1909
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.
Buraschi A, whelan P, 2015, BOND MARKETS AND UNCONVENTIONAL MONETARY POLICY, Handbook of Fixed Income, Editors: Veronesi, Publisher: John Wiley & Sons, Inc.
Buraschi A, Whelan P, 2015, Bond Markets and Monetary Policy, Handbook of Fixed-Income Securities, Editors: Veronesi, Publisher: John Wiley & Sons, Inc.
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
Buraschi A, Carnelli A, 2014, Understanding Short- versus Long-Run Risk Premia, EUROPEAN FINANCIAL MANAGEMENT, Vol: 20, Pages: 714-738, ISSN: 1354-7798
Buraschi A, Buraschi A, Menguturk M, et 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.
Buraschi A, Trojani F, Vedolin A, 2014, Economic Uncertainty, Disagreement, and Credit Markets, MANAGEMENT SCIENCE, Vol: 60, Pages: 1281-1296, ISSN: 0025-1909
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
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
Buraschi A, Cornelli F, 2013, The Economics of Donations and Enlightened Self-interest, European Financial Management, Vol: n/a, ISSN: 1354-7798
Buraschi A, Carnelli A, 2013, The Economic Value of Predictability for Portfolio Management, The Journal of Financial Management, Markets and Institutions
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
Buraschi A, Trojani F, Vedolin A, 2013, Economic Uncertainty, Differences in Beliefs and Credit Spreads, Management Science, ISSN: 0025-1909
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
Buraschi A, Porchia P, Trojani F, 2010, Correlation Risk and Optimal Portfolio Choice, JOURNAL OF FINANCE, Vol: 65, Pages: 393-420, ISSN: 0022-1082
Buraschi A, 2007, Habit Formation and the Term Structure of Interest Rates, Journal of Finance, Vol: December
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
Buraschi A, Jiltsov A, 2005, Inflation risk premia and the expectations hypothesis, JOURNAL OF FINANCIAL ECONOMICS, Vol: 75, Pages: 429-490, ISSN: 0304-405X
Buraschi A, Jiltsov A, 2005, Model uncertainty and option markets with heterogeneous agents, Journal of Finance, ISSN: 0022-1082
Buraschi A, Menini D, 2002, Liquidity risk and specialness, JOURNAL OF FINANCIAL ECONOMICS, Vol: 64, Pages: 243-284, ISSN: 0304-405X
Buraschi A, Dumas B, 2001, The forward valuation of compound options, JOURNAL OF DERIVATIVES, Vol: 9, Pages: 8-17, ISSN: 1074-1240
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
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