Krista Schwarz

University of Pennsylvania - Finance Department

Assistant Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 10,477

SSRN RANKINGS

Top 10,477

in Total Papers Downloads

4,980

SSRN CITATIONS
Rank 6,635

SSRN RANKINGS

Top 6,635

in Total Papers Citations

48

CROSSREF CITATIONS

135

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 University of Pennsylvania - Finance Department
Downloads 1,746 (10,469)
Citation 90

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
University of Pennsylvania - Finance Department
Downloads 1,410 (14,680)
Citation 82

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, University of Pennsylvania - Finance Department and Johns Hopkins University - Department of Economics
Downloads 866 (30,235)
Citation 7

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
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 471 (67,990)
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 University of Pennsylvania - Finance Department
Downloads 238 (143,622)
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 University of Pennsylvania - Finance Department
Downloads 162 (203,923)
Citation 28

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
University of Pennsylvania - Finance Department
Downloads 82 (333,275)
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 University of Pennsylvania - Finance Department
Downloads 5 (681,941)

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