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Arvind Karunakaran, Assistant Professor in Strategy & Organization, awarded 2019 SSHRC Insight Development Grant

Claire Heeryung Kim, Assistant Professor in Marketing, awarded 2019 SSHRC Insight Development Grant

Kartik Ganju, Assistant Professor in Information Systems,聽awarded 2019 SSHRC Insight Development Grant

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.

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.

Mehmet Gumus, Associate Professor in Operations Management was recently awarded a 2019 NSERC Discovery Grant.

Design and Analysis of Data-driven Pricing and Supply Chain Strategies for Online Multi-sided Platforms

Recently, there is growing research focusing on the use of data-driven methods for the management of multi-sided retail platforms that are exposed to increasing degrees of online and offline data streams.