Authors:: Vihang R. Errunza, Basma Majerbi and Maxwell Tuuli
Publication:听IMF Economic Review, Forthcoming
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Published on: 9 Feb 2024
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.
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Published on: 27 Jan 2022
As Professor Vihang Errunza steps down from his role as Associate Dean of Research at the Desautels Faculty of Management, Professor Emmanuelle Vaast is gearing up to take the reins.
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Published on: 22 May 2020
Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
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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.
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Published on: 12 Sep 2019
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.
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Published on: 27 Oct 2017
The Desautels Faculty of Management is pleased to congratulate Professor Vihang Errunza, Associate Dean, Research, on being named a Fellow of the Royal Society of Canada鈥檚 Social Sciences Academy.
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Published on: 8 Sep 2017
Editor: Vihang Errunza听
Publication: Routledge
Abstract:听
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Published on: 8 Apr 2016
Authors:听Errunza, V.,听Ta, H.
Publication:听Journal of Financial and Quantitative Analysis, Vol. 50, No. 5, 2015
Abstract:听
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Published on: 8 Jan 2016
Authors:听Col, B., Errunza,听V.
Publication: Journal of Corporate Finance
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Published on: 4 Jun 2015
Authors: Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
Publication: Review of Financial Studies, 2013
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Published on: 26 Apr 2013
Authors: Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris; Langlois, Hugues
Abstract:听
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Published on: 4 Dec 2012
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Published on: 8 Nov 2011
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Published on: 30 Apr 2008
