More from Vihang Errunza's Recent Research


How is Liquidity Priced in Global Markets?

Investors pay a premium for liquidity, but exactly how much do they pay and how does that vary? Desautels Professor Vihang Errunza investigates that question with a new international asset pricing model.

Published: 27 Jan 2022

Measuring sovereign bond market integration

Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon

Publication: The Review of Financial Studies, Forthcoming


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.

Published: 12 Sep 2019

Desautels 22: top-tier management journals

Desautels prides itself on being a research-intensive management faculty that brings together scholars with a broad range of expertise, including mathematics, economics, psychology, sociology, and technology. Together, they address in their work issues of great importance to not only the business community, but also to society.

Published: 27 Oct 2017

Finance in Emerging Markets

Editor: Vihang Errunza 

Publication: Routledge


Published: 8 Apr 2016

The Impact of Investability on Asset Valuation

Authors: Errunza, V., Ta, H.

Publication: Journal of Financial and Quantitative Analysis, Vol. 50, No. 5, 2015


Published: 8 Jan 2016

Corporate governance and state expropriation risk

Authors: Col, B., Errunza, V.

Publication: Journal of Corporate Finance


Published: 4 Jun 2015

"Do Implicit Barriers Matter for Globalization?," Review of Financial Studies

Authors: Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang

Publication: Review of Financial Studies, 2013


Published: 26 Apr 2013

Is the potential for international diversification disappearing? A dynamic copula approach

Authors: Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris; Langlois, Hugues


Published: 4 Dec 2012
Back to top