Stock market spillovers via the global production network: Transmission of US monetary policy
J Di Giovanni, G Hale - The Journal of Finance, 2022 - Wiley Online Library
We quantify the role of global production linkages in explaining spillovers of US monetary
policy shocks on country‐sector stock returns. We estimate a structural spatial …
policy shocks on country‐sector stock returns. We estimate a structural spatial …
Mind Thy Neighbor's Portfolio: A Network Approach to Contagion in the ETF Market
B Iwadate - Available at SSRN 3535942, 2023 - papers.ssrn.com
The exchange-traded fund (ETF) market has become the most important recent
development of financial markets. I show that the network of the ETF market—the linkages …
development of financial markets. I show that the network of the ETF market—the linkages …
Under-reaction in the sovereign CDS market
The sovereign CDS market has developed rapidly for two decades and currently has a gross
notional amount of more than a trillion dollars. We document a strong momentum effect in …
notional amount of more than a trillion dollars. We document a strong momentum effect in …
Essays in financial economics
F Nicolai - 2021 - etheses.lse.ac.uk
This dissertation consists of three chapters. In the first, I study the impact of institutional
investors on asset prices, by focusing on Collateralized Loan Obligations (CLOs). I …
investors on asset prices, by focusing on Collateralized Loan Obligations (CLOs). I …