15/01/2024 A summary: carbon-transition risk and net-zero portfolios With more than $100 trillion of global assets now under a net zero, are decarbonisation efforts reflected in market pricing? Read More
11/09/2023 Carbon-transition risk and net-zero portfolios Net-zero portfolios (NZP), which aim to reduce carbon footprint exposure to zero by a target date, are becoming a popular vehicle to align investors’ incentives with climate scenarios. Read More
07/09/2023 US interest rate surprises and currency returns Currencies that are more exposed to US monetary policy yield positive average excess returns. Read More
01/01/2021 Currency mispricing and dealer balance sheets We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Read More
01/01/2021 Unconventional monetary policy and the portfolio choice of international mutual funds This paper analyses how unconventional monetary policy by the major central banks in developed markets affects the geographical portfolio choice of international mutual fund managers. Read More
03/04/2019 OTC Premia Paper Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). Read More
