Predictability In Consumption Growth And Equity Returns: A Bayesian Investigation with Alex Paseka and George Theocharides (2010), The Financial Review, 2010, vol. 45, issue 1, pp. 167-203. 

Estimates a leading consumption-based asset pricing model [Bansal and Yaron (2004)] using MCMC methodology.

Understanding Credit Risk: A Classroom Experiment” with Maroš Servátka and George Theocharides (2010).

 The Journal of Economic Education, 2011, 2152-4068, vol. 42, issue 1, pp. 79-86.

Classroom experiment designed to help students understand the notion of credit risk and expected return, by allowing them to trade on comparable corporate bond issues from two types of markets – investment-grade and high-yield.

Resources for Experiment:

1. Excel spreadsheet that can be used to input the relevant data for the above experiment and is pre-programmed to produce summary statistics and graphs.(xls)
2. Appendix that includes the following: description of possible modifications to the experiment, instructions, sample record sheet as well as recording sheets (for periods one through eight) that must be given to students, and three figures that depict the results from the experiment described in the paper.


"Contagion: Evidence from the Bond Market, George Theocharides (2007). Slides.

Examines various channels of propagation of financial shocks using bond market data.

Best Dissertation Proposal in Fixed Income Research, Bond Market Association (BMA)/Financial Management Association (FMA) competition, 2005.

Received NSF Dissertation Improvement Research Grant, Summer 2005, $12,500 (with Jean Helwege).

Liquidity and Liquidity Risk in the Corporate Bond Market, Gady Jacoby, George Theocharides, and Steven X. Zheng (2009). Slides.

Examines how various sources of liquidity and liquidity risk are priced in the corporate bond market.

The 10-year Treasury Note Market, Christopher G. Lamoureux, and George Theocharides (2010). Slides.

Examines the pricing of the 10-year Treasury note market, investigating causes of deviation from the note’s intrinsic value. 

"Cross-Market Liquidity Shocks: Evidence from the CDS, Corporate Bond and Equity Markets, Gady Jacoby, George Jiang, and George Theocharides (2010).

Examines the common patterns in liquidity shocks (at the firm and market level) across the credit default swap, corporate bond, and equity markets. Nominated for the best paper award in investments at the 2010 FMA Annual Meeting, New York.

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