By Jan, on December 19th, 2011
A new version of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” is available on SSRN.
We have rewritten the abstract, introduction, conclusion, and various sections of the paper. In the new version, we focus on the main, more surprising findings on liquidity and their implications for asset managers and central banks. In particular we highlight the novel economic mechanism through which liquidity risk impacts carry trade returns that emerges from our analysis.
Moreover, we have extended the analysis of the link between FX liquidity and equity liquidity. We now also compare FX liquidity measures to market-wide liquidity measures of the corporate bond market and 10-year U.S. Treasury bonds. Liquidities across all markets appear to comove significantly, suggesting that liquidity risk is indeed a global phenomenon across asset classes.
We have performed various additional robustness checks which confirm the results reported in the paper. We have collected additional findings in the separate appendix and streamlined the paper accordingly.
By Jan, on July 2nd, 2011
A summary of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” is included in the first edition of Connection, which is the new quarterly knowledge transfer publication of the Swiss Finance Institute (SFI). The aim of Connection is to present ongoing research carried out by SFI faculty members and PhD students to practitioners.
The topic of the first issue of Connection is the recent financial crisis. You can download it directly from the website of the SFI.
By Jan, on June 5th, 2011
By Jan, on May 18th, 2011
I have just uploaded a revised version of the paper “The Joint Dynamics of Hedge Fund Returns, Illiquidity, and Volatility” on SSRN.
By Jan, on May 11th, 2011
Today, I completed the final step of my dissertation and handed in a printed version at the university library. At some point a digital copy will also be available on their website. For some strange bureaucratic reasons I was not allowed to include Fabio Trojani on the title page although he officially was a member of my PhD committee. You can download a version with the correct title page including all committee members (Loriano Mancini, Markus Leippold, and Fabio Trojani) here.
By Jan, on April 19th, 2011
The Swiss newspaper Tagesanzeiger published an article about why people want to obtain a PhD. You can read the main article here (in German).
I was briefly interviewed and in the print version there is a short paragraph about me and the topics that I have been working on during the last three years:
By Jan, on March 15th, 2011
I have just uploaded a revised version of the paper “Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much” on SSRN.
By Jan, on February 12th, 2011
A significantly revised version of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” is available on SSRN. We have vastly extended the analysis and the dataset now covers the period from January 2007-December 2009.
By Jan, on December 17th, 2010
I finalized a new paper titled “The Joint Dynamics of Hedge Fund Returns, Illiquidity, and Volatility”. The paper modeld the joint dynamics of hedge fund returns and volatility as well as illiquidity in the equity and the foreign exchange (FX) market. The results show that hedge funds tend to profit from periods of low equity liquidity, but react negatively to shocks in volatility and FX illiquidity, indicating a significant FX exposure of many strategies. Moreover, I find weak evidence that hedge funds cause higher volatility in financial markets with trend following strategies being the main transmission channel. Finally, there exist cross-market dynamics and bidirectional spillovers between volatility and illiquidity in the equity and FX market. These results have important implication for performance attribution, risk management as well as regulatory policy.
The paper is available on SSRN.
By Jan, on September 9th, 2010
The latest Swiss Finance Institute Newsletter reports on the Outstanding Paper in International Finance award that we won at the 46th Eastern Finance Association Annual Meeting:
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Disclaimer This is a personal website. Its contents and the views expressed herein are those of Jan Wrampelmeyer and not necessarily those of UBS AG.
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