Anna Cieslak / Welcome to my homepage

Duke University, The Fuqua School of Business
Finance Area, Office W405
100 Fuqua Drive, P. O. Box 90120
Durham, NC 27708-0120

Phone: +1 (919) 660-7879
E-mail: ancieslak 


Expected returns in Treasury bondswith Pavol Povala, Review of Financial Studies, 2015, 28(10), 2859-2901 (paper) (appendix)

Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, 2016, 71(3), 1393-1436 (paper) (appendix)

Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen (paper) (appendix) - R&R
This version: June 2016
Jacob Gold & Associates Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015

Short-rate expectations and unexpected returns in Treasury bonds (paper) - R&R
This version: June 2016 

Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)  
This version: February 2014

Recent conference discussions

The Banking View of Bond Risk Premia, V. Haddad and D. Sraer, AFA 2017
One central bank to rule them all, F. Brusa, P. Savor and M. Wilson, WFA 2016
Robust bond risk premia, M. Bauer and J. Hamilton, WFA 2016
Monetary policy through production networks, A. Ozdagli and M. Werber, Duke/UNC Asset Pricing Conference 2016
Monetary policy surprises, investment opportunities, and asset prices, A. Detzel, AFA 2016
Economic policy uncertainty and the yield curve, M. Leippold and F. Matthys, November 2015, 5th Conference on Fixed Income Markets, Federal Reserve Bank of San Francisco and Bank of Canada 
The equilibrium real funds rate: Past, present and future , J. Hamilton, E. Harris, J. Hatzius and K. West, October 2015, Brookings Institution (link) 
Deflation Risk, M. Fleckenstein, H. Lustig and F. Longstaff, ASU Sonoran 2015 (Best Discussant Prize)
Surveys expectations of returns and asset pricing puzzles, R.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, S. Boffelli, J. Novotny and G. Urga, WFA 2014
Asset pricing: A tale of two days, P. Savor and M. Willson, CEPR 2013
Nominal bonds, real bonds, and equity, 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