This paper uses event study analysis and synthetic control estimation analysis to explore how the trend of the risk premium changes when a country breaks its exchange rate peg. We perform abnormal return and cumulative abnormal return estimations on daily fluctuations of country spread index,...

In this paper we construct a theory of financial market runs with heterogeneous investors. We use the model to investigate how exposure to liquidity shocks and risk taking for one investor impacts the behavior of the other type of investor. We show that investors who are not directly exposed to...