Today, I uploaded a completely revised version of my working paper with Fabio Trojani and Christian Wiehenkamp on SSRN. The new title is “Ambigutiy and Reality”. Abstract: Model builders face ambiguity about the true data generating process. Consequently, they need to deal with ambiguity attitudes (inside uncertainty) and ambiguous financial reality (outside uncertainty) when developing […]
Category Archives: Paper Revision
Updated version of working paper on “The Euro Interbank Repo Market”
A new version of our repo paper on “The Euro Interbank Repo Market” is available. Abstract: The search for a market design that ensures stable bank funding is at the top of regulators’ policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty […]
Publication
The paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” has been (conditionally) accepted and is now forthcoming in the Journal of Finance. You can find the last working paper version of the paper on SSRN.
New version of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”
A new version of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” is available on SSRN. We have rewritten the abstract, introduction, conclusion, and various sections of the paper. In the new version, we focus on the main, more surprising findings on liquidity and their implications for asset managers and […]