We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

"The basic thrust of this eleventh edition of Multinational Financial Management (MFM) is to provide a conceptual framework within which the key financial decisions of the multinational firm can be analyzed. The approach is to treat international financial management as a natural and logical...

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA)...

Credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton (1974) model via hedging. This relationship is monotone increasing when credit quality worsens. Empirical tests confirm this relationship. We theorize and confirm this new channel by means of which...

We develop a theoretical framework of equity returns to hypothesize that average run lengths are related to common measures of liquidity such as trading volume and trade price-impact. This relationship holds irrespective of the observation frequency in the computation of run lengths. Thus,...

In the absence of forward-looking models for recovery rates, market participants tend to use exogenously assumed constant recovery rates in pricing models. We develop a exible jump-to-default model that uses observables: the stock price and stock volatility in conjunction with credit spreads to...