Anna Cieslak / Welcome to my homepage

Duke University, The Fuqua School of Business
Finance Area, Office A426
100 Fuqua Drive, P. O. Box 90120
Durham, NC 27708-0120

Phone: +1 (919) 660-7879
E-mail: ancieslak 
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at 
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gmail 
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dot 
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com


Papers

Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, forthcoming, (paper) (appendix)
This version: July 2015 

Expected returns in Treasury bondswith Pavol Povala, Review of Financial Studies, forthcoming (paper) (appendix)
Previously circulated under the title "Understanding bond risk premia"
This version: April 2015

Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen (paper)
This version: June 2014; NBER SI Monetary Economics'14, NBER AP'15, WFA'15
Jacob Gold & Associates Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015

Expecting the Fed (paper)
This version: March 2014; 100 Years of the Fed Conference (SF Fed), CEPR'13, EFA'13; AFA'15

Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)  
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; 
WFA'07,  EFA'07, ASAP'07 

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 Todorovsponsored by the Kellogg Zell Center]