This paper examines the informational efficiency of loans relative to bonds surrounding loan default dates and bond default dates. We examine this issue using a unique dataset of daily secondary market prices of loans over the11/1999-06/2002 period.(...)

We study the impact of Central Bank intervention on the process of price formation in currency markets. We use a unique dataset of tick-by-tick indicative quotes posted by dealers on Reuters terminals and of intraday sterilized spot interventions and customer transactions executed on behalf of...

We propose an explanation for the "disappearing dividend" phenomenon: the decline in the information content of dividend announcements. This reduces the propensity of firms to pay or increase dividends, since dividends are costly.(...)

Emerging equity markets witness occasional surges in the price level (frenzies) and increases in cross-market price dispersion (herds), accompanied by a flood of media coverage. Complementarity in information acquisition can explain these anomalies.(...)

We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. (...)

This paper investigates an important feature of market design: pre-trade transparency, defined as the availability of information about pending trading interest in the market. We look at how the NYSE´s introduction of OpenBook, which enables traders off the exchange floor to observe depth in...

Recent studies have expanded the commercial bank certification hypothesis to include banks acting in an underwriting capacity. This paper further develops that research by focusing on the industrial revenue bond market in which banks have the unique opportunity to simultaneously act as both...

As risk aversion approaches infinity, the portfolio of an investor with utility over consumption at time T is shown to converge to the portfolio consisting entirely of a bond maturing at time T. Previous work on bond allocation requires a specific model for equities, the term structure, and the...