Mirela Sandulescu

University of Michigan, Ross School of Business

701 Tappan Street

Ann Arbor, MI MI 48109

United States

  • University of Michigan, Ross School of Business

SCHOLARLY PAPERS

5

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34

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14

Scholarly Papers (5)

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1.

Model-Free International Stochastic Discount Factors

Downloads 955 (37,925)
Citation 26

Model-Free International Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 18-18
Number of pages: 42 Posted: 16 Nov 2017 Last Revised: 21 Jun 2019
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, University of Geneva and Boston University - Department of Finance & Economics
Downloads 955 (37,401)
Citation 13

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stochastic discount factor, exchange rates, market segmentation, financial intermediaries

Model-Free International Stochastic Discount Factors

CEPR Discussion Paper No. DP12971
Number of pages: 75 Posted: 11 Jun 2018
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, University of Geneva and Boston University - Department of Finance & Economics
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Citation 5
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Exchange Rates, financial intermediaries, market incompleteness, Market Segmentation, Stochastic discount factor

2.

How Integrated Are Corporate Bond and Stock Markets?

Ross School of Business Paper Forthcoming, Swiss Finance Institute Research Paper No. 20-09
Number of pages: 59 Posted: 25 Feb 2020 Last Revised: 22 Jun 2022
Mirela Sandulescu
University of Michigan, Ross School of Business
Downloads 602 (70,257)

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stochastic discount factor, corporate bonds, stocks, market integration, firm characteristics.

3.

International Arbitrage Premia

Swiss Finance Institute Research Paper No. 21-14
Number of pages: 68 Posted: 16 Feb 2021 Last Revised: 13 Jan 2023
Mirela Sandulescu and Paul Schneider
University of Michigan, Ross School of Business and University of Lugano - Institute of Finance
Downloads 477 (93,623)

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stochastic discount factor, residual mispricing, financial uncertainty, exchange rates, economically constrained machine learning.

4.

Speculation and Liquidity in Stock and Corporate Bond Markets

Number of pages: 65 Posted: 14 Nov 2021 Last Revised: 09 Mar 2023
Paolo Pasquariello and Mirela Sandulescu
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Ross School of Business
Downloads 171 (268,323)

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Liquidity; Strategic Trading; Price Formation, Equity Markets, Bond Markets, Stocks, Corporate Bonds, Default, Leverage, Uncertainty

5.

Non-Linear CAPM: Evidence From In-The-Money Options Trading

Number of pages: 44 Posted: 21 Oct 2022 Last Revised: 23 Mar 2023
Paola Pederzoli and Mirela Sandulescu
University of Houston - C.T. Bauer College of Business and University of Michigan, Ross School of Business
Downloads 92 (425,968)

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Minimum variance SDF, Index Options, Public Investors