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- Publications
- Influence
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
- D. Berger, A. Chaboud, S. Chernenko, E. Howorka, J. Wright
- Economics
- 1 May 2008
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute… Expand
Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Funds
- S. Chernenko, Adi Sunderam
- Business
- 10 September 2012
We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to Eurozone… Expand
The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps
- S. Chernenko, Michael W. Faulkender
- Economics
- 1 December 2011
Existing cross-sectional findings on nonfinancial firms’ use of derivatives that are usually interpreted as the result of hedging may alternatively be due to speculation. Panel data examinations can… Expand
The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk
- S. Chernenko, Krista Schwarz, J. Wright
- Economics
- 1 June 2004
Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range… Expand
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
- S. Chernenko, Aditya V. Sunderam
- Business
- 1 July 2016
We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors with claims that are more liquid than the underlying assets, funds engage in… Expand
The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market
- A. Chaboud, S. Chernenko, E. Howorka, Raj S. Krishnasami Iyer, D. Liu, J. Wright
- Business
- 1 November 2004
We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to… Expand
The Real Consequences of Market Segmentation
- S. Chernenko, Adi Sunderam
- Economics
- 1 July 2012
We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables,… Expand
The Rise and Fall of Demand for Securitizations
- S. Chernenko, S. Hanson, Aditya V. Sunderam
- Business
- 1 December 2014
Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however,… Expand
The Rise and Fall of Securitization
- S. Chernenko, S. Hanson, Adi Sunderam
- Business
- 2013
The rise and fall of nontraditional securitizations—collateralized debt obligations and mortgagebacked securities backed by nonprime loans—played a central role in the financial crisis. Little is… Expand
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Mutual Funds as Venture Capitalists? Evidence from Unicorns
- S. Chernenko, J. Lerner, Yao Zeng
- Business
- 10 January 2017
Using novel contract-level data, we study the recent trend in open-end mutual funds investing in unicorns—highly valued, privately held start-ups—and the consequences of these investments for… Expand