Effect of Trading Relationships on Execution Costs in...
Traders can reduce search costs in dealership markets by entering relationships with dealers. However, dealers draw little informational benefit from these relationships in Treasury markets, due to low...
View ArticlePredicting U.S. Bank Failures with MIDAS Logit Models
We propose a new approach based on a generalization of the logit model to improve prediction accuracy in U.S. bank failures. Mixed-data sampling (MIDAS) is introduced in the context of a logistic...
View ArticleInvestment Commonality across Insurance Companies: Fire Sale Risk and...
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire sale risk when regulatory...
View ArticleNew Entropy Restrictions and the Quest for Better-Specified Asset-Pricing Models
This article proposes the entropy of m2 (m is the stochastic discount factor) as a metric to evaluate asset-pricing models. We develop a bound on the entropy of m2 when m correctly prices a finite...
View ArticleAttention to Market Information and Underreaction to Earnings on Market...
Post-earnings announcement drift (PEAD) is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously...
View ArticleDistracted Institutional Investors
I investigate how distraction affects the trading behavior of professional asset managers. Exploring detailed transaction-level data, I show that managers with a large fraction of portfolio stocks that...
View ArticleVolatility-of-Volatility Risk
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility...
View ArticleTop Management Human Capital, Inventor Mobility, and Corporate Innovation
Using panel data on top management characteristics and a management quality factor constructed using common factor analysis on individual management quality measures, we analyze the relation between...
View ArticleLiquidity Transformation and Financial Fragility: Evidence from Funds of...
We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity...
View ArticleShaping Expectations and Coordinating Attention: The Unintended Consequences...
In an effort to increase transparency, the chair of the Federal Reserve now holds a press conference (PC) following some, but not all, Federal Open Market Committee (FOMC) announcements. Evidence from...
View ArticleCEOs and the Product Market: When Are Powerful CEOs Beneficial?
We examine whether industry product market conditions are important in assessing the benefits and costs of chief executive officer (CEO) power. We find that firms are more likely to have powerful CEOs...
View ArticleCall for Papers: Special Issue on ‘Behavioural Finance: A Global...
Guest Editors:Â Arman Eshraghi, Cardiff University
View ArticleMean-Variance Model And Investors’ Diversification Attitude: A...
Publication date: Available online 13 November 2019Source: Finance Research LettersAuthor(s): Gilles Boevi KoumouAbstractIn this paper, we re-examine investorsâ diversification attitude in the...
View ArticleMarket Making with Convex Quotes
Publication date: Available online 14 November 2019Source: Finance Research LettersAuthor(s): Hae-shin Hwang, Paan JindaponAbstractWe investigate equilibrium properties of a quote-driven market where...
View ArticleNeutrinos Lead to Unexpected Discovery in Basic Math | Quanta Magazine
Three physicists wanted to calculate how neutrinos change. They ended up discovering an unexpected relationship between some of the most ubiquitous objects inâ¦
View ArticleCall for Papers: The 2020 International Conference in Banking and Financial...
The Department of Management and Quantitative Studies (DISAQ) of the University of Naples âParthenopeâ is delighted to host the 2020 International Conference in Banking and Financial Studies. The...
View ArticleQuantpedia Premium Update – 14th November 2019
Three new strategies have been added: Two new related research papers have been included into existing strategy reviews. And two short free blog posts about interesting related research papers have...
View ArticleModernizing our Regulatory Framework: Focus on Authority, Expertise and...
Chairman Jay ClaytonâDistinguished Jurist Lecture, November 14, 2019, Modernizing our Regulatory Framework: Focus on Authority, Expertise and Long-Term Investor Interests
View ArticleMore ‘Greater Fools’ After WeWork
The term âgreater fool theoryâ refers to the many circumstances in which speculators buy a (potentially) productive asset, basing their buy decision not on the assetâs operational value, but on...
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