Professor Juan Camilo Serpa awarded 2019 SSHRC Insight Development Grant

Juan Camilo Serpa, Associate Professor in Operations Management, awarded 2019 SSHRC Insight Development Grant

Professor Dongyoung Lee awarded 2019 SSHRC Insight Development Grant

Dongyoung Lee, Assistant Professor in Accounting, awarded 2019 SSHRC Insight Development Grant

Professor Arvind Karunakaran awarded 2019 SSHRC Insight Development Grant

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

Professor Emine Sarigollu awarded 2019 SSHRC Insight Development Grant

Emine Sarigollu, Associate Professor in Marketing, awarded 2019 SSHRC Insight Development Grant

Professor Claire Heeryung Kim awarded 2019 SSHRC Insight Development Grant

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

Professor Daphne Demetry awarded 2019 SSHRC Insight Development Grant

Daphne Demetry, Assistant Professor in Strategy & Organization, awarded 2019 SSHRC Insight Development Grant

Professor Kartik Ganju awarded 2019 SSHRC Insight Development Grant

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

Professor Paola Perez-Aleman awarded 2019 SSHRC Partnership Engage Grant

Paola Perez-Aleman, Associate Professor in Strategy and Organization, awarded 2019 SSHRC Partnership Engage Grant.

Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads

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’s 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.

Measuring sovereign bond market integration

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.

Professor Nancy J. Adler wins prestigious Academy of Management award

At the Academy of Management annual meeting in Boston, Desautels Professor Nancy J. Adler received the AMLE Decade Award for her journal article entitled “When Knowledge Wins: Transcending the Sense and Nonsense of Academic Rankings.”

Professor Mehmet Gumus awarded 2019 NSERC Discovery Grant

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

Wei Qi awarded 2019 NSERC Discovery Grant

Congratulations to Wei Qi, Assistant Professor in Operations Management, awarded 2019 NSERC Discovery Grant “Towards a Smart-City Future: Urban-Scale Integration of Mobility and Energy Systems”.

Guillaume Roussellet awarded 2019 FRQSC New Academics Grant

Congratulations to Guillaume Roussellet, Assistant Professor in Finance, awarded 2019 FRQSC New Academics Grant (Soutien à la recherche pour la relève professorale) “Facteurs de volatilité et valorisation du VIX”