Anna Cieslak / Welcome to my homepage
Northwestern University,
Kellogg School of Management
Department of Finance, Jacobs Center,
2001 Sheridan Road
Evanston, IL 60208,
USA
Papers
Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, forthcoming, (paper) (appendix)
This version: October 2014
Expected returns in Treasury bonds, with Pavol Povala, Review of Financial Studies, conditionally accepted (paper) (appendix)
Previously circulated under the title "Understanding bond risk premia"
This version: February 2015
Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen (paper)
This version: June 2014; NBER SI Monetary Economics'14
Jacob Gold & Associates Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015
Expecting the Fed, with Pavol Povala (paper)
This version: March 2014; 100 Years of the Fed Conference (SF Fed), CEPR'13, EFA'13; AFA'15
This version: February 2014
Recent conference discussions
Deflation Risk by M. Fleckenstein, H. Lustig and F. Longstaff, ASU Sonoran 2015 (Best Discussant Prize)
Surveys expectations of returns and asset pricing puzzles by R.S.J Koijen, M. Schmeling and E.B. Vurgt, AFA 2015 (slides) - Sketches of my work-in-progress on "Growth expectations and expectations of returns"
A Frequency-specific factorization to identify commonalities with an application to the European bond markets by S. Boffelli, J. Novotny and G. Urga, WFA 2014
Asset pricing: A tale of two days by P. Savor and M. Willson, CEPR 2013
Nominal bonds, real bonds, and equity by A. Ang and M. Ulrich, Advances in Fixed Income, Bank of Canada 2013
Inflation risk in corporate bonds by J. Kang and C. E. Pflueger, AFA 2013
Older work
Correlation risk and the term structure of interest rates, with Andrea Buraschi and Fabio Trojani (paper)
This version: October 2008;
Links
Early Career Women in Finance Conference [co-organized with Maria Cecilia Bustamante, sponsored by the Kellogg Zell Center for Risk Research of NU]
Kellogg Junior Finance Conference [co-organized with Dimitris Papanikolaou and Viktor Todorov, sponsored by the Kellogg Zell Center]