Simona Risteska
I am an Assistant Professor of Finance at Warwick Business School. My research is in empirical finance, with interests in information frictions, belief formation, institutional investment, and housing markets.
I study how disclosure, behavioural distortions, and mechanical trading rules shape prices and real decisions. My recent work examines transaction-price disclosure in housing markets, overcrowding among institutional investors, and dynamic arbitrage induced by price-based risk constraints.
Selected Research
Transaction-Price Disclosure and Information Multipliers in Illiquid Markets
Using predetermined public release dates in the UK housing market, I show that disclosure can amplify rather than simply reveal information by causing the same price innovation to be repeatedly embedded in later valuations.
Biased Beliefs and Institutional Overcrowding
In leveraged loan markets, institutional overcrowding is driven by incorrect beliefs about peers’ actions rather than only by fundamentals or investor spillovers.
Dynamic Arbitrage from Price-Based Risk Constraints
We show that price-based risk constraints such as margins, haircuts, leverage limits, and volatility targets can generate dynamic arbitrage even when standard no-manipulation conditions hold.
For a full list of papers and projects, see the Research page.