Krista Schwarz

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 6,890

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58

CROSSREF CITATIONS

132

Scholarly Papers (8)

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1.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 11 Aug 2020
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
Downloads 1,938 (11,568)
Citation 94

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Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss

2.

Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 10 Oct 2009 Last Revised: 11 Sep 2020
Krista Schwarz
Board of Governors of the Federal Reserve System
Downloads 1,433 (18,460)
Citation 86

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market liquidity, interbank credit, liquidity risk, money markets, interest rates, financial crisis

3.

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

Number of pages: 27 Posted: 02 Jul 2004
Sergey Chernenko, Krista Schwarz and Jonathan H. Wright
Purdue University - Department of Management, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 917 (35,390)
Citation 27

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forward contracts, futures, forecast evaluation, risk premia, random walk

4.

Predictable End-of-Month Treasury Returns

Number of pages: 41 Posted: 22 Aug 2019 Last Revised: 03 Dec 2019
Jonathan Hartley and Krista Schwarz
Stanford University and Board of Governors of the Federal Reserve System
Downloads 801 (42,621)
Citation 1

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Treasury yields, anomalies, market efficiency, excess returns, month-end, portfolio rebalancing

5.

Intraday Trading in the Overnight Federal Funds Market

Current Issues in Economics and Finance, Vol. 11, No. 11, November 2005
Number of pages: 7 Posted: 05 Jan 2006
Leonardo Bartolini, Svenja Gudell, Spence Hilton and Krista Schwarz
Deceased, Simon School of Business (U of Rochester), Federal Reserve Bank of New York - Research Group and Board of Governors of the Federal Reserve System
Downloads 250 (167,512)
Citation 1

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Federal funds market, intraday trading

6.

Notes on Bonds: Illiquidity Feedback During the Financial Crisis

Number of pages: 52 Posted: 01 Jul 2015 Last Revised: 30 Dec 2017
David K. Musto, Greg Nini and Krista Schwarz
University of Pennsylvania - Finance Department, Drexel University - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 171 (236,947)
Citation 12

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liquidity, feedback, Treasury market, financial crisis, limits to arbitrage, repo

7.

Are Speculators Informed?

Number of pages: 38 Posted: 08 Dec 2010
Krista Schwarz
Board of Governors of the Federal Reserve System
Downloads 87 (386,858)
Citation 5

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futures, risk premia, liquidity premia, hedging, speculation, asymmetric information

8.

Notes on Bonds: Liquidity at all Costs in the Great Recession

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 03 May 2015
David K. Musto, Greg Nini and Krista Schwarz
University of Pennsylvania - Finance Department, Drexel University - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 35 (586,846)

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