Cristina Scherrer
Contact Details:
Department of Finance
London School of Economics (LSE)
Email: C.Scherrer@lse.ac.uk
Research Interests
Financial Economics (Market Microstructure, Empirical Finance), Financial Econometrics
Education
PhD in Economics, Queen Mary, University of London (2013).
Published Papers
An Econometric Analysis of Volatility Discovery (with Gustavo Dias and Fotis Papalias), forthcoming Journal of Business & Economic Statistics (Supplemental Material "An Econometric Analysis of Volatility Discovery")
Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks, Journal of Financial Markets, vol. 54, 2021.
The effect of voting rights on firm value (with Marcelo Fernandes), International Review of Finance; vol. 21, issue 3, pp. 1106-1111, 2021.
Price discovery in a continuous-time setting (with Gustavo Dias and Marcelo Fernandes), Journal of Financial Econometrics, vol. 19, issue 5, pp. 985--1008, 2020.
Price discovery in dual-class shares across multiple markets (with Marcelo Fernandes), The Journal of Futures Markets; vol. 38, issue 1, pp.129-155, (Jan-2018)
Working Papers
Price Discovery and Market Microstructure Noise (with Gustavo Dias and Marcelo Fernandes) - new version soon!
Time-varying price discovery Time-varying price discovery (with Gustavo Fruet Dias and Marcelo Fernandes)