CORDIS Project
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This project develops methods to analyze financial market data to understand participant beliefs about risk and market dynamics. It also addresses broader catastrophic risks, providing a framework for policymakers to allocate resources effectively.
My proposal consists of two strands linked by a common theme--namely a concern for the impact of disasters, in financial markets and more generally--and by a shared methodology.In the first of these strands, I propose to develop ways of
using observable asset price data to infer the beliefs of market participants about various quantities that are central to financial economics, including (i) the equity premium; (ii) the forward-looking autocorrelation of the market (i.e.,
time-series momentum);…
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