In March 2020, government bond markets experienced severe illiquidity. Since then, regulators debate market reforms. One way to enhance liquidity could be to let government bonds, like stocks, be traded on central exchanges. We assess this reform with price data of the U.S, U.K., German,...

This paper investigates how firm debt disproportionately impacted the stock returns of firms who were highly exposed to the economic consequences of social distancing. Specifically, I use a difference-in-difference design to causally identify the impact that higher levels of firm debt had for...

This paper uses a difference-in-differences (DID) approach to identify the effect of proximity to COVID-19 cases on the returns of real estate firms. We use a novel micro-level dataset which combines extensive data on the geographic footprint of COVID-19 patients, i.e. the locations they have...

Growth and value are popular terms in the lexicon of finance. For many years, scholars and investment professionals have claimed that value strategies outperform the growth ones, even in major market declines. However, since the early 2010's, this seems to no longer hold, as growth strategies...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Amid the COVID-19 outbreak and related expected economic downturn, many developed and emerging market central banks around the world engaged in new long-term asset purchase programs, or so-called quantitative easing (QE) interventions. This paper conducts an event-study analysis of 24 COVID-19...