Assistant professor Paul Whelan wins best paper award
The paper ‘Rationality and Subjective Bond Risk Premia’ has won the Arthur Warga Award for the Best Paper Award in Fixed Income at the SFS Cavalcade Asia-Pacific conference 2017. The paper is written by Paul Whelan, assistant professor at the Department of Finance and FRIC center member, and his co-authors Andrea Buraschi and Ilaria Piatti and it was presented at the Society for Financial Studies (SFS) Cavalcade Asia-Pacific conference, which took place December 13-15, 2017.
In the paper, the authors construct and study the cross-sectional properties of survey-based bond risk premia and compare them to their traditional statistical counterparts. They document large heterogeneity in skill, identify top forecasters, and learn about the importance of subjective risk premia in long-term bonds dynamics. Moreover, they show that consensus expectations ignore valuable information from the cross-section of expectations and propose an alternative real-time aggregate measure of risk premia consistent with Friedman’s market selection hypothesis.
You can find the paper here: ‘Rationality and Subjective Bond Risk Premia’
See more about the Arthur Warga Award here.