Ph.D. in Finance, Columbia University, New York, NY, 2010
M.A., Johns Hopkins University, SAIS (School for Advanced International Studies), Washington, D.C.
B.A., Trinity College, Hartford, CT.
Wharton, Assitant Professor of Finance: 2010-present.
Federal Reserve Bank of New York, Domestic Repo and Money Market Desk, New York, NY (2003-2005).
Federal Reserve Board, International Finance Research Division, Washington, DC. (Fall 2003).
Federal Reserve Bank of New York, Foreign Exchange & Invesments Desk, New York, NY (1999-2003).
The World Bank, MIGA (Mulilateral Investment Guarantee Association), Washington, D.C. (Summer 1999).
The European Commission, ECFIN (Directorate General for Financial Affairs), Luxembourg City, Luxembourg (1998-1999).
U.S. State Department, Economics Bureau, U.S. Embassy, Berlin, Germany (Summer 1998).
David Musto, Gregory Nini, Krista Schwarz (Working), Notes on Bonds: Liquidity at all Costs in the Great Recession.
Abstract: We relate market stress to asset pricing by analyzing a large and systematic discrepancy among off-the-run Treasury securities: bond prices traded as much as five percent below otherwise identical notes, orders of magnitude more than we find concurrent special repo rates to explain. The relatively low lending revenue from holding the note begs the question of why its current holders would not trade it for cheaper yet identical cash flows. The pricing discrepancy persisted for months. We find that liquidity characteristics of Treasury securities explain a large share of the Treasury pricing anomaly. We relate insurers’ transactions in Treasuries to their characteristics. We find that the most highly levered insurers and those that transact most frequently tended to demand notes over bonds during the crisis, contributing to the anomaly.
Abstract: Widening interest rate spreads in the recent financial crisis could represent deteriorating asset liquidity or concerns over issuer solvency. I construct new measures of market liquidity and credit risk to decompose these effects in spreads, and estimate the effect of liquidity risk; the possibility that asset liquidity could deteriorate precisely when an investor’s marginal utility is at its highest. My results show that market liquidity explains more than two-thirds of the widening of one- and three-month euro LIBOR-OIS and sovereign debt spreads over the first half of the financial crisis. The large role for market liquidity is partly due to the pricing of liquidity risk.
Abstract: The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship—whether it reflects private information, liquidity, or trend-chasing behavior. This paper studies the relationship between positioning of hedgers and speculators and returns in equity futures markets. I propose a novel test of the private information hypothesis: analyzing the effect of public announcements about futures positions on prices, using high-frequency data in short windows around the announcements. I find that the revelation of speculators’ positions is informative to investors more broadly, supporting the private information view.
Andrew Ang, Jun Liu, Krista Schwarz (Working), Using Stocks or Portfolios in Tests of Factor Models.
Abstract: We examine the efficiency of using individual stocks or portfolios as base assets to test asset pricing models using cross-sectional data. The literature has argued that creating portfolios reduces idiosyncratic volatility and allows factor loadings, and consequently risk premia, to be estimated more precisely. We show analytically and demonstrate empirically that the smaller standard errors of beta estimates from creating portfolios do not lead to smaller standard errors of cross-sectional coefficient estimates. The standard errors of factor risk premia estimates are determined by the cross-sectional distributions of factor loadings and residual risk. Creating portfolios destroys information by shrinking the dispersion of betas and leads to larger standard errors.
The objective of this course is to give you a broad understanding of the framework and evolution of U.S. capital markets, the instruments that are traded, the mechanisms that facilitate their trading and issuance, and the motivations of issuers and investors across different asset classes. The course will highlight the problems that capital market participants are seeking to solve, which you can use in your post-Wharton careers to evaluate future market innovations. We will consider design, issuance, and pricing of financial instruments, the arbitrage strategies which keep their prices in-line with one another,and the associated economic and financial stability issues. We will draw from events in the aftermath of the recent financial crisis, which illustrate financing innovations and associated risks, as well as policy responses that can change the nature of these markets.
The objective of this course is to give you a broad understanding of the instruments traded in modern financial markets, the mechanisms that facilitate their trading and issuance, as well as, the motivations of issuers and investors across different asset classes. The course will balance functional and institutional perspectives by highlighting the problems capital markets participants are seeking to solve, as well as, the existing assets and markets which have arisen to accomplish these goals. We will consider design, issuance, and pricing of financial instruments, the arbitrage strategies which keep their prices in-line with one another,and the associated economic and financial stability issues. The course is taught in lecture format, and illustrates key concepts by drawing on a collection of case studies and visits from industry experts.
The appointment of Jerome H. Powell as chair of the U.S. Federal Reserve may lead to lighter regulation of banks, but on other issues he will likely follow the path set by predecessor Janet Yellen.Knowledge @ Wharton - 2017/11/3