Krista Schwarz

University of Pennsylvania - Finance Department

Assistant Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

  • University of Pennsylvania - Finance Department

SCHOLARLY PAPERS

7

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Top 10,306

in Total Papers Downloads

4,691

SSRN CITATIONS
Rank 6,016

SSRN RANKINGS

Top 6,016

in Total Papers Citations

34

CROSSREF CITATIONS

144

Scholarly Papers (7)

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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 Working Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 10 Aug 2018
Andrew Ang, Jun Liu and Krista Schwarz
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and University of Pennsylvania - Finance Department
Downloads 1,663 (10,313)
Citation 78

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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

Number of pages: 54 Posted: 10 Oct 2009 Last Revised: 05 Oct 2018
Krista Schwarz
University of Pennsylvania - Finance Department
Downloads 1,394 (13,645)
Citation 81

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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

FRB International Finance Discussion Paper No. 808
Number of pages: 27 Posted: 02 Jul 2004
Sergey Chernenko, Krista Schwarz and Jonathan H. Wright
Purdue University - Department of Management, University of Pennsylvania - Finance Department and Johns Hopkins University - Department of Economics
Downloads 840 (28,965)
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
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 321 (97,214)

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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 University of Pennsylvania - Finance Department
Downloads 235 (135,100)
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 University of Pennsylvania - Finance Department
Downloads 156 (196,173)
Citation 26

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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
University of Pennsylvania - Finance Department
Downloads 82 (311,549)
Citation 3

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