Select Publications
Journal articles
2023, 'A Macrofinance Model for Option Prices: A Story of Rare Economic Events', Management Science, 69, pp. 5543 - 5559, http://dx.doi.org/10.1287/mnsc.2022.4587
,2023, 'How Does Corporate Governance Affect Equity Volatility? Worldwide Evidence and Theory', REVIEW OF CORPORATE FINANCE STUDIES, http://dx.doi.org/10.1093/rcfs/cfad002
,2023, 'Sovereign risk premia and global macroeconomic conditions', Journal of Financial Economics, 147, pp. 172 - 197, http://dx.doi.org/10.1016/j.jfineco.2022.07.003
,2023, 'A credit-based theory of the currency risk premium', Journal of Financial Economics, forthcoming
,2022, 'High Inflation: Low Default Risk and Low Equity Valuations', Review of Financial Studies, 36, pp. hhac021 - hhac021, http://dx.doi.org/10.1093/rfs/hhac021
,2019, 'Asset pricing with persistence risk', The Review of Financial Studies, 32, pp. 2809 - 2849, http://dx.doi.org/10.1093/rfs/hhy121
,2018, 'Sovereign credit spreads under good/bad governance', Journal of Banking & Finance, 93, pp. 230 - 246, http://dx.doi.org/10.1016/j.jbankfin.2018.04.005
,2017, 'Sovereign default risk and the US equity market', Journal of Financial and Quantitative Analysis, 52, pp. 305 - 339, http://dx.doi.org/10.1017/S0022109016000776
,2016, 'International firm investment under exchange rate uncertainty', Review of Finance, 20, pp. 2015 - 2048
,2016, 'Sovereign defaults by currency denomination', Journal of International Money and Finance, 60, pp. 197 - 222
,2015, 'The European Debt Crisis', ACTUALITE ECONOMIQUE, 91, pp. 599 - 631, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000433766700009&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
,2015, 'The dynamics of sovereign credit risk', Journal of Financial and Quantitative Analysis, 50, pp. 963 - 985
,2014, 'Convertible debt and shareholder incentives', Journal of Corporate Finance, 24, pp. 38 - 56
,'The Dynamics of the Implied Volatility Surface: A Story of Rare Economic Events', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.3590242
,Preprints
A Credit-Based Theory of the Currency Risk Premium, http://dx.doi.org/10.2139/ssrn.3413785
,Asset Pricing with Persistence Risk, http://dx.doi.org/10.2139/ssrn.3032238
,Commodity Prices and Currencies, http://dx.doi.org/10.2139/ssrn.4564504
,Convertible Debt and Shareholder Incentives, http://dx.doi.org/10.2139/ssrn.2159478
,Corporate Governance, Capital Structure, and Stock Return Volatility, http://dx.doi.org/10.2139/ssrn.3222818
,Default Contagion in a Two-Tree Economy, http://dx.doi.org/10.2139/ssrn.3839885
,Foreign Direct Investment, Exchange Rate Uncertainty, and Firm Heterogeneity, http://dx.doi.org/10.2139/ssrn.967873
,Low Inflation: High Default Risk and High Equity Valuations, http://dx.doi.org/10.2139/ssrn.3338745
,Low Inflation: High Default Risk and High Equity Valuations, http://dx.doi.org/10.2139/ssrn.3290745
,Low Inflation: High Default Risk AND High Equity Valuations, http://dx.doi.org/10.2139/ssrn.3292395
,Macroeconomic Risk, Investor Preferences, and Sovereign Credit Spreads, http://dx.doi.org/10.2139/ssrn.3162853
,Sovereign Default Risk and the US Equity Market, http://dx.doi.org/10.2139/ssrn.1719685
,Sovereign Defaults by Currency Denomination, http://dx.doi.org/10.2139/ssrn.2365059
,The Dynamics of Sovereign Credit Risk, http://dx.doi.org/10.2139/ssrn.1071665
,The Motivation and Consequence of Firm Attention to Retail Investors, http://dx.doi.org/10.2139/ssrn.4508415
,Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk, http://dx.doi.org/10.2139/ssrn.4138544
,What Drives Corporate Asset Prices: Short- or Long-Run Risk?, http://dx.doi.org/10.2139/ssrn.3116235
,When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity, http://dx.doi.org/10.2139/ssrn.3379090
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