The annual award recognises a single LBS PhD candidate who demonstrates intellectual rigour, innovation and academic excellence. PhD candidates at LBS with research interests in the broad field of asset management are considered for the award.
Tsvetelina Nenova was recognised for her work on ‘Global or Regional Safe Assets: Evidence from Bond Substitution Patterns’. Nenova used granular data – positions of a vast universe of euro-area and US mutual funds at the securities level – to estimate time-varying own elasticities and cross-elasticities of demand for bonds.
Her estimates shed light on the special role of safe assets, “flight to safety” phenomena in bond markets, as well as the transmission of shocks via international portfolio rebalancing.
The substitutability estimates are also key in assessing the degree of market fragmentation and highlight distinct roles of different safe assets – shocks to US Treasuries spill over globally through portfolio rebalancing, while shocks to German Bunds have regional spill-overs to other euro-area bonds.
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