Latest Research and Policy Publications

Title Author/s Program Area Source Published Keywords

Equilibrium Asset Pricing in Directed Networks

Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag Financial Markets, Systemic Risk Lab forthcoming in Review of Finance, 2020 2020 Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Christian Schlag, Michael Semenischev, Julian Thimme Financial Markets forthcoming in Management Science, 2020 2020 Asset pricing, cross-section of stock returns, predictability

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Financial Markets Journal of Alternative Investments, 2009 2009 Hedge Funds, Risk Management, High frequency data

Beyond Moral Hazard Arguments: The Role of National Deposit Insurance Schemes for Member States’ Preferences on EDIS

Matthias Thiemann, Mario Tümmler Financial Intermediation White Paper No. 72, 2020 2020 Banking Union, Deposit Insurance, EDIS

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

Elena Carletti, et al. Financial Markets The Review of Corporate Finance Studies, 2020 2020 COVID-19, pandemics, losses, distress, equity, recapitalization.

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