McGill Desautels Faculty of Management - Vihang Errunza's Recent Research

Learning from Biodiversity: Is Diversity in Financial Ecosystems Important for Economic Growth and Stability?

�㽶��Ƶ — Fri, 09 Feb 2024 19:18:03 +0000

Authors:: Vihang R. Errunza, Basma Majerbi and Maxwell Tuuli

Publication: IMF Economic Review, Forthcoming

How is Liquidity Priced in Global Markets?

�㽶��Ƶ — Thu, 27 Jan 2022 23:31:32 +0000

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.

Measuring sovereign bond market integration

�㽶��Ƶ — Thu, 12 Sep 2019 18:17:40 +0000

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.

Desautels 22: top-tier management journals

�㽶��Ƶ — Fri, 27 Oct 2017 16:50:15 +0000

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.

Finance in Emerging Markets

�㽶��Ƶ — Fri, 08 Apr 2016 14:28:34 +0000

Editor: Vihang Errunza

Publication: Routledge

Abstract:

The Impact of Investability on Asset Valuation

�㽶��Ƶ — Fri, 08 Jan 2016 21:14:32 +0000

Authors: Errunza, V., Ta, H.

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

Abstract:

Corporate governance and state expropriation risk

�㽶��Ƶ — Thu, 04 Jun 2015 22:09:37 +0000

Authors: Col, B., Errunza, V.

Publication: Journal of Corporate Finance

Abstract

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

�㽶��Ƶ — Fri, 26 Apr 2013 18:40:43 +0000

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

Publication: Review of Financial Studies, 2013

Abstract:

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

�㽶��Ƶ — Tue, 04 Dec 2012 15:48:01 +0000

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

Abstract:

Professors Francesca Carrieri and Vihang Errunza win Emerald Management Reviews Citation of Excellence

�㽶��Ƶ — Thu, 21 Nov 2013 14:03:23 +0000