Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant
Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant
Professor Warut Khern-am-nuai awarded 2019 SSHRC Insight Development Grant
Warut Khern-am-nuai, Assistant Professor in Information Systems, awarded 2019 SSHRC Insight Development Grant
Professors Matthew Corritore and John-Paul Ferguson awarded 2019 SSHRC Insight Development Grant
Matthew Corritore, Assistant Professor in Strategy & Organization, and John-Paul Ferguson, Assistant Professor in Organizational Behavior, awarded 2019 SSHRC Insight Development Grant
Professor Michelle Y. Lu awarded 2019 SSHRC Insight Development Grant
Michelle Y. Lu, Assistant Professor in Marketing, awarded 2019 SSHRC Insight Development Grant
Professor Juan Camilo Serpa awarded 2019 SSHRC Insight Development Grant
Juan Camilo Serpa, Associate Professor in Operations Management, awarded 2019 SSHRC Insight Development Grant
Professor Dongyoung Lee awarded 2019 SSHRC Insight Development Grant
Dongyoung Lee, Assistant Professor in Accounting, awarded 2019 SSHRC Insight Development Grant
Professor Arvind Karunakaran awarded 2019 SSHRC Insight Development Grant
Arvind Karunakaran, Assistant Professor in Strategy & Organization, awarded 2019 SSHRC Insight Development Grant
Professor Emine Sarigollu awarded 2019 SSHRC Insight Development Grant
Emine Sarigollu, Associate Professor in Marketing, awarded 2019 SSHRC Insight Development Grant
Professor Claire Heeryung Kim awarded 2019 SSHRC Insight Development Grant
Claire Heeryung Kim, Assistant Professor in Marketing, awarded 2019 SSHRC Insight Development Grant
Professor Daphne Demetry awarded 2019 SSHRC Insight Development Grant
Daphne Demetry, Assistant Professor in Strategy & Organization, awarded 2019 SSHRC Insight Development Grant
Professor Kartik Ganju awarded 2019 SSHRC Insight Development Grant
Kartik Ganju, Assistant Professor in Information Systems,聽awarded 2019 SSHRC Insight Development Grant
Professor Paola Perez-Aleman awarded 2019 SSHRC Partnership Engage Grant
Paola Perez-Aleman, Associate Professor in Strategy and Organization, awarded 2019 SSHRC Partnership Engage Grant.
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
Authors: Patrick Augustin, Mikhail Chernov and Dongho Song
Publication: Journal of Financial Economics, Forthcoming
Abstract:
Sovereign CDS quanto spreads tell us how financial markets view the interaction between a country鈥檚 likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of Eurozone quanto spreads can isolate the Twin Ds and gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for Euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.
Paternalistic leadership and employee well-being: a moderated mediation model
Authors: Guohua He, Ran An, and Patricia Faison Hewlin
Publication: Chinese Management Studies, Vol. 13, No. 3, August 2019, Pages 645-663
Abstract:
Measuring sovereign bond market integration
Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
Abstract:
There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.