6 papers
This paper introduces a Continuous Shariah Compliance Index (CSCI) that unifies diverse binary screening standards into a single transparent measure, demonstrating that while it enables flexible portfolio design with varying compliance intensity, it does not function as a new priced factor for explaining expected equity returns.
This paper demonstrates that common shocks drive the tails of firm-level idiosyncratic return distributions, revealing a significant annual premium of 7–8% for stocks with high exposure to innovations in the lower-tail quantile factor, a risk that is amplified during periods of weak intermediary capital and low liquidity while also predicting aggregate market excess returns.
This paper demonstrates that currencies acting as major transmitters of volatility shocks earn lower excess returns, a predictable anomaly driven by spot exchange rate movements and explained by a general equilibrium model where such transmission proxies for priced country-specific risk.
Using proprietary transaction-level data on gilt-backed repo trades, this paper demonstrates that dealer market power and the transmission of heterogeneous shocks within funding networks are significant drivers of bond mispricing, collectively accounting for up to 4 percentage points of yield deviation.
This paper presents a stochastic macro-financial model integrating the Keen framework with a jump-diffusion asset market to formalize the feedback loops between credit expansion and crash risk, demonstrating how endogenous financial fragility can generate regimes ranging from stable growth to recurrent boom-bust cycles.
This paper extends Kyle's (1985) seminal insider trading model to an infinite-dimensional, many-asset setting, deriving a parsimonious equilibrium with closed-form solutions for trading strategies, cross-market price impacts, and information efficiency.