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

6

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CITATIONS
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174

Scholarly Papers (6)

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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 1,602 (10,257)
Citation 72

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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 1,379 (13,081)
Citation 75

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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 824 (28,196)
Citation 27

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

4.

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 228 (132,325)
Citation 10

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Federal funds market, intraday trading

5.

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 151 (191,999)
Citation 30

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

6.

Are Speculators Informed?

Number of pages: 38 Posted: 08 Dec 2010
Krista Schwarz
University of Pennsylvania - Finance Department
Downloads 81 (299,056)
Citation 7

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