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Obreja, Iulian Senior Instructor

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Research

research overview

  • I am interested in the dynamics of risk in tradable claims to the assets of a firm, and in whether market participants price fairly this risk. There is plenty of evidence in financial markets suggesting that market participants do not always get the price right. Some of these misvaluation patterns are not only very persistent but also at odds with the predictions of most economic theories. The asset pricing literature refers to these patterns as 'anomalies'. My research looks at these 'anomalous' price patterns as an opportunity to identify new dynamics of risk in tradable assets, and to link them to either managerial or investor behavior.

keywords

  • corporate investment and financing policies, imperfect competition for economic rents, risk premium in equity and credit markets, portfolio allocation with real and financial assets, endogenous borrowing constraints and financial accelerators, financial crises, systemic risk

Publications

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