Academics say the art market bubble is about to burst

in Artnet News (2016)

Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?

in Journal of Derivatives (2016), 23(3), 22-35

The European Sovereign Debt Crisis: What Have We Learned?

in Journal of Empirical Finance (2016), 38(-), 363-373

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry ... [more ▼]

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals to anticipate the buildup of crises. It concludes with a discussion of potential implications of sovereign distress for financial markets. [less ▲]

PRESS FREEDOM AND JUMPS IN STOCK PRICES

E-print/Working paper (2016)

Press freedom varies substantially across countries. In a free environment, any news becomes immediately public knowledge through mediums including various electronic media and published materials ... [more ▼]

Press freedom varies substantially across countries. In a free environment, any news becomes immediately public knowledge through mediums including various electronic media and published materials. However, in an unfree environment, (economic) agents would have more discretionary power to disclose good news immediately, while hiding bad news or releasing bad news slowly. We argue that this discretion is affecting stock prices and stock markets in countries with a free press should be better processors of economic information. Using an equilibrium asset-pricing model in an economy under jump diffusion, we decompose the moments of the returns of international stock markets into a diffusive risk and jump risk part. Using stock market data for a balanced panel of 50 countries, our results suggest that in countries with a free press, the better processing of bad news leads to more frequent negative jumps in stock prices. As a result, stock markets in those countries are characterized by higher volatility, driven by the higher jump risk, and more negative return asymmetry. Results are robust to the inclusion of various controls for governance and other country- or market-specific characteristics. We interpret this as good stock market characteristics, because a free press improves welfare and increases economic growth. [less ▲]

Mutual Funds, Price Pressure and Index Option

in Journal of Derivatives (2016), 24(1), 30-46

On the Impact of Exclusion Filters Rules in Option Pricing

E-print/Working paper (2015)

Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency

in Journal of Empirical Finance (2015), 33

Volatility Concepts and Risk Management Tools

E-print/Working paper (2015)

Euro Stability

Scientific Conference (2015)

Towards Disentangling Sentiment from Risk Premia

Scientific Conference (2015)