bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo … BrokerTec. In general, we find that relatively more price discovery occurs in the futures markets than the cash markets in both … the sizes of their markets and in their characteristics, particularly on the cash side. These overall results, however …

market return. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when …

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions …) investor sophistication matters for performance in both public equity and private off-market investments. A quantitative model … with these assumptions delivers a unified explanation for three stylized facts about U.S. investors’ international equity …

Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price …

. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets … spreads across European and Canadian short-term government bond markets is examined via a reduced-form vector autoregression … model. In European markets, dealers are able to quickly absorb private information elsewhere in the market. Consequently …

.S. interest rates and equity returns. High-frequency private and public information shocks help forecast domestic money and equity …