nEW SSE DISSERTATION

''This doctoral thesis consists of four independent empirical papers in financial economics.
Although my work analyses three different financial markets (currencies, credit default
swaps and exchange traded funds) the common thread is financial frictions. In my first
paper, I empirically test (and find evidence in support of) the idea that a concentration of
a large number of levered speculators in the currency carry trade is driving the extreme
losses observed in the data. In my second paper, my co-author and I survey the literature
on risk based explanations for the currency carry trade and find that the risk based story
is incomplete. In my third paper, my co-authors and I ask what is driving the trading of
sovereign credit default swaps (CDS). We find rich cross-sectional and time series variation
in sovereign CDS trading and suggest that the bulk may be driven by hedging motives.
My final paper focuses on the short-sales of equity exchange trades funds (ETFs).''

Valeri Sokolovski

Essays on Currency Risk and Financial Frictions