Gyuri Venter

Assistant professor
Department of Finance and Center for Financial Frictions (FRIC)
Solbjerg Plads 3, A5
2000 Frederiksberg


Review of Financial Studies, 2016, 29, 1220-1253
Risk in mortgage-backed securities (MBS) drives the level and volatility of interest rates: (i) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities, (ii) the predictive power of MBS duration is transitory in nature, (iii) MBS convexity increases the volatility of all yields, and this effect has a hump-shaped term structure.

Working papers

Revise and resubmit at Econometrica
Standard noisy REE models, i.e., Grossman and Stiglitz (1980) and Hellwig (1980), have equilibria that were previously ignored. These feature jumps & crashes, price drift, priced skewness, and can be arbitrarily close to being fully revealing.

We construct daily global and local (country-specific) illiquidity proxies from yield curves, and we show both theoretically and in the data that (i) higher global illiquidity implies a flatter SML, (ii) stocks with higher local illiquidity and lower beta earn higher alphas and Sharpe ratios, (iii) illiquidity improves the performance of BAB-like strategies, (iv) global illiquidity commands a negative risk premium. (Previously titled "International Illiquidity")

Short-sale Constraints and Real Investments
Security prices contain less information under short-sale constraints, but they can be more informative to some agents who have additional private information. This, in turn, can lead to higher allocative efficiency in real investments.

ECB communication affects mid- and long-term sovereign yields through the risk premium channel; communication shocks raised the yield spread between peripheral and core countries after 2009, and this difference can be explained by the effect of ECB communication on credit/breakup risk.
Featured in Vox

We show that in several multi-asset, asymmetric information noisy REE models the linear equilibrium that can be found with the "conjecture and verify" method is the unique equilibrium in which the price function is continuous. (A generalization of some results from Multiple Equilibria in Noisy Rational Expectations Economies.)

Financially constrained strategic arbitrage (in progress) with Aytek Malkhozov
Marking-to-market endogenously creates cooperative/predatory trading among arbitrageurs with price impact. This predatory threat can either (i) lead to slow initial investment and slow price convergence, or (ii) arbitrageurs bet on early/late convergence, leading to two groups with different mean, variance and skewness of returns, and predation in equilibrium.

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