Christian T. Lundblad

University of North Carolina Kenan-Flagler Business School

Richard Levin Distinguished Professor of Finance

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

Frank Hawkins Kenan Institute of Private Enterprise

Director of Research

Campus Box 3440, The Kenan Center

Chapel Hill, NC 27599-344

United States

  • University of North Carolina Kenan-Flagler Business School

    • Email
    • Tel: 919-962-8441

  • Frank Hawkins Kenan Institute of Private Enterprise

SCHOLARLY PAPERS

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Ideas:
“  Systemic Risk and Fire Sales; Hedge Fund Performance; Emerging Market Political Risk; Term Structure Forecasting at the Lower Bound  ”

  • University of North Carolina Kenan-Flagler Business School

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    • Tel: 919-962-8441

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Scholarly Papers (41)

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1.

Liquidity and Expected Returns: Lessons from Emerging Markets

Downloads 3,513 ( 3,865)
Citation 211

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 3,390 (4,023)
Citation 17

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Liquidity, liquidity risk, asset pricing, emerging markets, market integration, market segmentation, liquidity risk factor, local liquidity, zero returns, bid-ask spread, price impact, liquidity measures

Liquidity and Expected Returns: Lessons from Emerging Markets

NBER Working Paper No. w11413
Number of pages: 53 Posted: 06 Jul 2005 Last Revised: 09 Sep 2021
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 101 (328,529)
Citation 22

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Liquidity and Expected Returns: Lessons from Emerging Markets

CEPR Discussion Paper No. 5946
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 22 (646,502)
Citation 27
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Liquidity pricing, emerging markets, return predictability

Liquidity and Expected Returns: Lessons from Emerging Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1783-1831, 2007
Posted: 26 Jun 2008
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

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G12, G15, F30

2.

What Segments Equity Markets?

Downloads 2,221 ( 8,267)
Citation 85

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 2,154 (8,530)
Citation 2

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What Segments Equity Markets?

NBER Working Paper No. w14802
Number of pages: 53 Posted: 24 Mar 2009 Last Revised: 13 Jun 2021
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 61 (442,664)

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What Segments Equity Markets?

CEPR Discussion Paper No. DP8142
Number of pages: 60 Posted: 27 Dec 2010
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 6 (778,441)
Citation 34
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capital controls, earnings yield, financial development, financial openness, globalization, market integration, political risk, quality of institutions, valuation differentials

3.

Does Financial Liberalization Spur Growth?

Downloads 1,535 ( 14,942)
Citation 274

Does Financial Liberalization Spur Growth?

Number of pages: 52 Posted: 19 Apr 2001
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,401 (16,950)
Citation 53

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Equity Market Liberalization, Capital Account Openness, Quality of Institutions, GDP Growth, Shareholder Protection, Growth Opportunities, Legal Systems, Political Risk

Does Financial Liberalization Spur Growth?

NBER Working Paper No. w8245
Number of pages: 66 Posted: 20 Apr 2001 Last Revised: 14 Jul 2021
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 134 (267,874)
Citation 30

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4.

Regulatory Pressure and Fire Sales in the Corporate Bond Market

Downloads 1,341 ( 18,405)
Citation 133

Regulatory Pressure and Fire Sales in the Corporate Bond Market

AFA 2011 Denver Meetings Paper
Number of pages: 55 Posted: 19 Mar 2009 Last Revised: 12 May 2014
Andrew Ellul, Chotibhak Jotikasthira and Christian T. Lundblad
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department and University of North Carolina Kenan-Flagler Business School
Downloads 836 (35,933)
Citation 15

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Fire sales, Regulation, Price pressure, Liquidity, Corporate bonds, Insurance companies

Regulatory Pressure and Fire Sales in the Corporate Bond Market

Journal of Financial Economics (JFE), Vol. 101, No. 3, 2011
Number of pages: 54 Posted: 22 Mar 2009 Last Revised: 12 May 2014
Andrew Ellul, Chotibhak Jotikasthira and Christian T. Lundblad
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department and University of North Carolina Kenan-Flagler Business School
Downloads 505 (69,692)
Citation 122

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Fire sales, Regulation, Price pressure, Liquidity, Corporate bonds, Insurance companies

5.

The European Union, the Euro, and Equity Market Integration

Downloads 1,216 ( 21,362)
Citation 23

The European Union, the Euro, and Equity Market Integration

AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 13 Oct 2012
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,186 (21,783)
Citation 25

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Common currency, Europe crisis

The European Union, the Euro, and Equity Market Integration

NBER Working Paper No. w16583
Number of pages: 50 Posted: 06 Dec 2010 Last Revised: 25 Apr 2021
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 30 (590,032)
Citation 3

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6.

Global Growth Opportunities and Market Integration

Downloads 1,114 ( 24,270)
Citation 88

Global Growth Opportunities and Market Integration

EFA 2004 Maastricht Meetings Paper No. 1697
Number of pages: 56 Posted: 01 Jul 2004
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,035 (26,597)
Citation 3

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Growth Opportunities, Market Integration, Finance and Growth, Capital Allocation, Capital Account Openness, Financial Liberalization

Global Growth Opportunities and Market Integration

NBER Working Paper No. w10990
Number of pages: 47 Posted: 18 Jan 2005 Last Revised: 14 Jul 2021
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 79 (383,767)
Citation 11

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7.

Growth Volatility and Financial Liberalization

Downloads 1,063 ( 25,995)
Citation 60

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,014 (27,400)
Citation 2

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Economic volatility, risk sharing, financial openness, equity market liberalization, capital account openness, GDP volatility, consumption volatility

Growth Volatility and Financial Liberalization

NBER Working Paper No. w10560
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 10 May 2021
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 49 (490,680)
Citation 3

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8.

Political Risk Spreads

Downloads 1,051 ( 26,411)
Citation 21

Political Risk Spreads

Columbia Business School Research Paper No. 13-91
Number of pages: 51 Posted: 30 Nov 2013 Last Revised: 06 Aug 2014
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 1,007 (27,681)
Citation 3

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Political risk, Country risk, Sovereign spreads, Political risk news, Risk realizations, OPIC, Foreign Direct Investment, FDI, Cost of Capital, Political turmoil, Expropriation risk, ICRG, Coplin-O'Leary

Political Risk Spreads

NBER Working Paper No. w19786
Number of pages: 52 Posted: 04 Jan 2014
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 44 (513,774)
Citation 9

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9.

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Downloads 1,040 ( 26,794)
Citation 65

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Journal of Finance, Forthcoming
Number of pages: 108 Posted: 14 Dec 2011 Last Revised: 15 Jun 2016
Andrew Ellul, Chotibhak Jotikasthira, Christian T. Lundblad and Yihui Wang
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Fordham University
Downloads 868 (34,103)
Citation 5

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Regulation, Mark to market, Historical cost accounting, Gains trading, Fire sales, Asset-backed securities (ABS), Corporate bonds, Insurance companies

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Journal of Finance, Forthcoming, Kelley School of Business Research Paper No. 2014-40
Number of pages: 108 Posted: 23 Jan 2012 Last Revised: 15 Apr 2015
Andrew Ellul, Chotibhak Jotikasthira, Christian T. Lundblad and Yihui Wang
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Fordham University
Downloads 172 (217,704)
Citation 9

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Regulation, Mark to market, Historical cost accounting, Gains trading, Fire sales, Asset-backed securities (ABS), Corporate bonds, Insurance companies

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

CEPR Discussion Paper No. DP10450
Number of pages: 59 Posted: 02 Mar 2015
Andrew Ellul, Chotibhak Jotikasthira, Christian T. Lundblad and Yihui Wang
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Fordham University
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Citation 26
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asset-backed securities (ABS), corporate bonds, fire sales, gains trading, historical cost accounting, insurance companies, mark to market, regulation

10.

Financial Openness and Productivity

Downloads 1,016 ( 27,748)
Citation 32

Financial Openness and Productivity

AFA 2010 Atlanta Meetings Paper
Number of pages: 32 Posted: 13 Mar 2009 Last Revised: 19 Sep 2012
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 875 (33,718)
Citation 7

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financial openness, growth, liberalization, productivity

Financial Openness and Productivity

World Development, Vol. 39, No. 1, pp. 1-19, May 2010
Number of pages: 32 Posted: 21 Oct 2011 Last Revised: 04 Jul 2013
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 86 (364,443)
Citation 10

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Financial Openness and Productivity

NBER Working Paper No. w14843
Number of pages: 41 Posted: 07 Apr 2009 Last Revised: 24 Jul 2021
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 55 (465,674)

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11.

Asset Fire Sales and Purchases and the International Transmission of Funding Shocks

Journal of Finance Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 82 Posted: 16 Dec 2009 Last Revised: 19 Sep 2012
Chotibhak Jotikasthira, Christian T. Lundblad and Tarun Ramadorai
Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Imperial College London
Downloads 1,008 (28,070)
Citation 77

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co-movement, contagion, international finance, mutual funds, asset fire sales

12.

Political Risk and International Valuation

Columbia Business School Research Paper No. 15-83
Number of pages: 54 Posted: 11 Sep 2015 Last Revised: 09 Dec 2015
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 808 (38,175)
Citation 4

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Political risk, sovereign spread, sovereign risk, capital budgeting, international cost of capital, project evaluation

13.

Insurers As Asset Managers and Systemic Risk

Downloads 758 ( 41,667)
Citation 20

Insurers As Asset Managers and Systemic Risk

Kelley School of Business Research Paper No. 18-4, SMU Cox School of Business Research Paper No. 18-18
Number of pages: 71 Posted: 08 Jan 2018 Last Revised: 23 Jun 2020
Andrew Ellul, Chotibhak Jotikasthira, Anastasia V. Kartasheva, Christian T. Lundblad and Wolf Wagner
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, University of St. Gallen - I.VW-HSG, University of North Carolina Kenan-Flagler Business School and Erasmus University Rotterdam (EUR)
Downloads 728 (43,419)
Citation 19

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Systemic risk, Financial stability, Inter-connectedness, Financial intermediaries, Insurance companies

Insurers as Asset Managers and Systemic Risk

ESRB: Working Paper Series No. 2018/75
Number of pages: 59 Posted: 05 Nov 2020
Andrew Ellul, Chotibhak Jotikasthira, Anastasia V. Kartasheva, Christian T. Lundblad and Wolf Wagner
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, Bank for International Settlements (BIS), University of North Carolina Kenan-Flagler Business School and Erasmus University Rotterdam (EUR)
Downloads 28 (603,159)

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financial stability, insurance companies, inter-connectedness, systemic risk

Insurers as Asset Managers and Systemic Risk

CEPR Discussion Paper No. DP12849
Number of pages: 61 Posted: 12 Apr 2018
Chotibhak Jotikasthira, Andrew Ellul, Anastasia V. Kartasheva, Christian T. Lundblad and Wolf Wagner
Southern Methodist University (SMU) - Finance Department, Indiana University - Kelley School of Business - Department of Finance, University of St. Gallen - I.VW-HSG, University of North Carolina Kenan-Flagler Business School and Erasmus University Rotterdam (EUR)
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Insurance companies., Inter-connectedness, Systemic risk; Financial stability

14.

Crowded Trades and Tail Risk

Number of pages: 85 Posted: 13 Feb 2019 Last Revised: 19 May 2021
Gregory W. Brown, Philip Howard and Christian T. Lundblad
University of North Carolina (UNC) at Chapel Hill - Finance Area, Wake Forest University - School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 742 (43,056)
Citation 2

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Hedge Fund, Crowded Trade

15.

Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Downloads 717 ( 44,920)
Citation 12

Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Number of pages: 123 Posted: 18 Mar 2015 Last Revised: 01 Jul 2019
Tania Babina, Chotibhak Jotikasthira, Christian T. Lundblad and Tarun Ramadorai
Columbia Business School - Finance and Economics, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Imperial College London
Downloads 717 (44,298)
Citation 14

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Taxes, government debt, municipal bonds, segmentation, ownership, clientele effects, public finance, political risk

Heterogenous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

CEPR Discussion Paper No. DP10971
Number of pages: 52 Posted: 09 Dec 2015
Tania Babina, Chotibhak Jotikasthira, Christian T. Lundblad and Tarun Ramadorai
Columbia Business School - Finance and Economics, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Imperial College London
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Citation 1
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clientele effects, fire sales, government debt, municipal bonds, ownership segmentation, public finance, Taxes

16.

Economic and Financial Integration in Europe

Duke I&E Research Paper No. 2017-09, Columbia Business School Research Paper No. 17-42
Number of pages: 13 Posted: 17 Apr 2017
Geert Bekaert, Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business
Downloads 692 (47,142)
Citation 3

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Market Integration, Europe, European Union, Euro, Eurozone crisis, Euro crisis, Brexit, Common currency, Europe crisis

17.

Emerging Equity Markets and Economic Development

Downloads 681 ( 48,147)
Citation 80

Emerging Equity Markets and Economic Development

Number of pages: 41 Posted: 14 Aug 2000
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 616 (54,278)

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Emerging Equity Markets and Economic Development

NBER Working Paper No. w7763
Number of pages: 39 Posted: 17 Jul 2000 Last Revised: 19 Sep 2021
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 65 (428,310)
Citation 11

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18.

Market Efficiency, Asset Returns, and the Size of the Risk Premium in Global Equity Markets

Number of pages: 54 Posted: 30 Jan 2002
Ravi Bansal and Christian T. Lundblad
Duke University and NBER and University of North Carolina Kenan-Flagler Business School
Downloads 589 (58,065)
Citation 14

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Asset volatility, Correlation, Cash Flows, Risk Premia, Fundamental Values

19.

The Risk Return Tradeoff in the Long-Run: 1836-2003

Number of pages: 53 Posted: 23 Feb 2005
Christian T. Lundblad
University of North Carolina Kenan-Flagler Business School
Downloads 545 (63,994)
Citation 33

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20.

Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry

Fordham University Schools of Business Research Paper
Number of pages: 59 Posted: 18 May 2013 Last Revised: 12 May 2014
Andrew Ellul, Chotibhak Jotikasthira, Christian T. Lundblad and Yihui Wang
Indiana University - Kelley School of Business - Department of Finance, Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Fordham University
Downloads 524 (67,234)
Citation 10

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Regulation, Systemic risk, Mark to market, Historical cost accounting, Fire sales, Capital ratios, Insurance companies

21.

Consumption, Dividends, and the Cross-Section of Equity Returns

Twelfth Annual Utah Winter Finance Conference
Number of pages: 46 Posted: 26 Sep 2001
Ravi Bansal, Robert F. Dittmar and Christian T. Lundblad
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 494 (72,361)
Citation 160

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Asset Pricing Theory, Asset Pricing - Empirical, Asset Pricing - Equilibrium Models

22.

Financial Openness and the Chinese Growth Experience

Number of pages: 71 Posted: 07 Jun 2007
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 440 (83,143)
Citation 3

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23.

How Does Human Capital Affect Investing? Evidence from University Endowments

Darden Business School Working Paper No. 3187280, Kenan Institute of Private Enterprise Research Paper No. 18-11
Number of pages: 60 Posted: 15 Jun 2018 Last Revised: 29 Jul 2021
Matteo Binfarè, Gregory W. Brown, Robert S. Harris and Christian T. Lundblad
University of Missouri at Columbia - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Virginia - Darden School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 437 (83,805)
Citation 3

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Endowments, Human Capital, Private Equity, Returns, Venture Capital

24.

Interpreting Risk Premia Across Size, Value, and Industry Portfolios

EFA 2003 Annual Conference Paper No. 711
Number of pages: 44 Posted: 24 Jul 2003
Ravi Bansal, Robert F. Dittmar and Christian T. Lundblad
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 431 (85,407)
Citation 7

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25.

Why Do Term Structures in Different Currencies Comove?

Journal of Financial Economics (JFE), Forthcoming, UNC Kenan-Flagler Research Paper No. 2013-11
Number of pages: 86 Posted: 09 Feb 2012 Last Revised: 18 Feb 2014
Chotibhak Jotikasthira, Anh Le and Christian T. Lundblad
Southern Methodist University (SMU) - Finance Department, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 410 (90,317)
Citation 7

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Macro-finance term structure model, interest rates, cross-country comovement

26.

Equity Market Liberalization in Emerging Markets

Number of pages: 39 Posted: 09 Sep 2005
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 410 (90,317)
Citation 14

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Financial openness, economic growth, equity liberalization, economic volatility, dating integration, market segmentation, market integration, GDP growth, GDP volatility

27.

Endogenous Liquidity Supply

AFA 2011 Denver Meetings Paper
Number of pages: 40 Posted: 17 Mar 2010 Last Revised: 19 Sep 2012
Ravi Bansal, Wilbur John Coleman and Christian T. Lundblad
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and University of North Carolina Kenan-Flagler Business School
Downloads 377 (99,454)
Citation 15

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28.

How Do Foreign Investors Impact Domestic Economic Activity? Evidence from China and India

UNC Kenan-Flagler Research Paper No. 2013-21
Number of pages: 49 Posted: 17 Nov 2012 Last Revised: 11 Sep 2013
Chotibhak Jotikasthira, Christian T. Lundblad and Tarun Ramadorai
Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Imperial College London
Downloads 330 (115,412)

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capital flows, forced trading, fire sales, mutual funds, liquidity, investment, growth

29.

Informed Trading Volume and Asset Prices: The Role for Intensive Traders

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Number of pages: 69 Posted: 06 May 2016 Last Revised: 12 Apr 2019
Christian T. Lundblad, Zhishu Yang and Qi Zhang
University of North Carolina Kenan-Flagler Business School, Tsinghua University - School of Economics & Management and Durham University
Downloads 302 (126,932)

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Informed trading volume, aggressive investor, geographic location, asset pricing

30.

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures

Number of pages: 51 Posted: 31 Oct 2013 Last Revised: 01 Dec 2015
Robert F. Dittmar and Christian T. Lundblad
University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 288 (133,458)
Citation 6

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Asset Pricing, Consumption Modeling, Cross-Section of Returns

31.

Tractable Term-Structure Models

Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 29 Apr 2021
Bruno Feunou, Jean-Sebastien Fontaine, Anh Le and Christian T. Lundblad
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 247 (155,957)
Citation 1

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Term-Structure, Lower Bound, No-Arbitrage, No-Dominance

32.

Taper Tantrums: QE, Its Aftermath and Emerging Market Capital Flows

Downloads 195 (194,810)
Citation 6

Taper Tantrums: QE, Its Aftermath and Emerging Market Capital Flows

Number of pages: 59 Posted: 23 Mar 2017 Last Revised: 11 Jul 2018
Anusha Chari, Karlye Dilts Stedman, Karlye Dilts Stedman and Christian T. Lundblad
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Federal Reserve Bank of Kansas CityUniversity of North Carolina (UNC) at Chapel Hill, College of Arts and Sciences, Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 174 (215,464)

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Unconventional monetary policy, U.S. investors, international spillovers, emerging markets, high frequency identification, affine term structure models, asset prices, portfolio flows

Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows

NBER Working Paper No. w23474
Number of pages: 48 Posted: 05 Jun 2017 Last Revised: 21 Feb 2021
Anusha Chari, Karlye Dilts Stedman, Karlye Dilts Stedman and Christian T. Lundblad
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Federal Reserve Bank of Kansas CityUniversity of North Carolina (UNC) at Chapel Hill, College of Arts and Sciences, Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 21 (654,167)
Citation 14

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33.

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures

Ross School of Business Paper No. 1255
Number of pages: 46 Posted: 02 Nov 2014 Last Revised: 30 Nov 2015
Robert F. Dittmar and Christian T. Lundblad
University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 164 (226,439)
Citation 5

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Asset Pricing, Consumption-Based Asset Pricing, Cross-Section of Returns

34.

Financial Intermediaries, Corporate Debt Financing, and The Transmission of Systemic Risk

Institute of Global Finance Working Paper No. 8, 28th Australasian Finance and Banking Conference
Number of pages: 51 Posted: 28 Nov 2014 Last Revised: 01 Aug 2018
Christian T. Lundblad and Zhongyan Zhu
University of North Carolina Kenan-Flagler Business School and Monash University
Downloads 117 (294,926)

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financial crisis, liquidity provision, systemic crisis, and financial contagion

35.

Dancing to the Same Tune: Commonality in Securities Lending Fees

Number of pages: 61 Posted: 27 Oct 2020 Last Revised: 01 Jul 2021
Spencer Andrews, Christian T. Lundblad and Adam V. Reed
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 83 (369,019)

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short selling, commonality, factors, lending fees, loan fees, principal component analysis, PCA

36.

Capital Flows in Risky Times: Risk-On/Risk-Off and Emerging Market Tail Risk

NBER Working Paper No. w27927, Kenan Institute of Private Enterprise Research Paper No. 20-10
Number of pages: 73 Posted: 14 Oct 2020 Last Revised: 27 Jun 2021
Anusha Chari, Karlye Dilts Stedman, Karlye Dilts Stedman and Christian T. Lundblad
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Federal Reserve Bank of Kansas CityUniversity of North Carolina (UNC) at Chapel Hill, College of Arts and Sciences, Department of Economics and University of North Carolina Kenan-Flagler Business School
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37.

Large Banks and Systemic Spillovers

Number of pages: 58 Posted: 18 Feb 2021
Christian T. Lundblad, Jitao Ou and Zhongyan Zhu
University of North Carolina Kenan-Flagler Business School, Hong Kong Baptist University and Monash University
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bank risk-taking, regulatory capital, lending channel, systemic risk, and syndicated debt offering

38.

Capital Flows in Risky Times: Risk-on / Risk-off and Emerging Market Tail Risk

Federal Reserve Bank of Kansas City Working Paper No. 20-08
Number of pages: 32 Posted: 19 Aug 2020
Anusha Chari, Karlye Dilts Stedman, Karlye Dilts Stedman and Christian T. Lundblad
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Federal Reserve Bank of Kansas CityUniversity of North Carolina (UNC) at Chapel Hill, College of Arts and Sciences, Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 29 (580,852)

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39.

Banks as Producers of Financial Services

Number of pages: 41 Posted: 12 Jan 2019
Wilbur John Coleman and Christian T. Lundblad
Duke University, Fuqua School of Business-Economics Group and University of North Carolina Kenan-Flagler Business School
Downloads 29 (580,852)
Citation 1

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Banking, Shadow Banking, Liquidity Premium, Optimal Debt Policy

40.

Asset Fire Sales and Purchases and the International Transmission of Financial Shocks

CEPR Discussion Paper No. DP7595
Number of pages: 57 Posted: 11 Jan 2010
Chotibhak Jotikasthira, Christian T. Lundblad and Tarun Ramadorai
Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Imperial College London
Downloads 8 (731,808)
Citation 1
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co-movement, contagion, hedge funds, international finance, mutual funds

41.

Market Effciency, Asset Returns, and the Size of the Risk Premium in Global Equity Markets

Forthcoming in Journal of Econometrics
Posted: 20 Feb 2002
Ravi Bansal and Christian T. Lundblad
Duke University and NBER and University of North Carolina Kenan-Flagler Business School

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Asset volatility, Correlation, Cash Flows, Risk Premia, Fundamental Values