Krista Schwarz

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 12,030

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Top 12,030

in Total Papers Downloads

5,632

SSRN CITATIONS
Rank 6,890

SSRN RANKINGS

Top 6,890

in Total Papers Citations

58

CROSSREF CITATIONS

132

Scholarly Papers (8)

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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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
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

Abstract:

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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

Abstract:

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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

Abstract:

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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)

Abstract:

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