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Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012, yet many of the banking issues remain the same. We discuss a method to estimate the capital that a financialExpand
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Measuring Systemic Risk
We present an economic model of systemic risk and show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensityExpand
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Restoring financial stability : how to repair a failed system
Foreword. Acknowledgments. Prologue: A Bird's Eye View. The Financial Crisis of 2007-2009: Causes and Remedies By (Viral Acharya, Thomas Philippon, Matthew Richardson, and Nouriel Roubini). SectionExpand
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CAUSES OF THE FINANCIAL CRISIS
ABSTRACT Why did the popping of the housing bubble bring the financial system—rather than just the housing sector of the economy—to its knees? The answer lies in two methods by which banks had evadedExpand
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Stock Returns and Inflation: A Long-Horizon Perspective
Two main empirical facts regarding the statistical relation between stock returns and inflation emerge from the current literature in finance. The first is that ex post nominal stock returns andExpand
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Using Generalized Method of Moments to Test Mean‐Variance Efficiency
This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a generalized method of moments framework. These tests are potentially more robust thanExpand
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A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns
This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existingExpand
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Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance
Foreword. Preface. PROLOGUE: A BIRD'S-EYE VIEW. The Dodd-Frank Wall Street Reform and Consumer Protection Act (Viral V. Acharya, Thomas Cooley, Matthew Richardson, Richard Sylla, and Ingo Walter).Expand
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Drawing Inferences from Statistics Based on Multi-Year Asset Returns
The possibility of mean reversion in stock prices recently has been examined using statistics based on multi-year returns. Previous researchers have noted difficulties in drawing inferences aboutExpand
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Which News Moves Stock Prices? A Textual Analysis
A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relationExpand
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