In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We … follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in …

-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds …, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of … improvements in the spot market BrokerTec platform. Day-to-day variation in price discovery information shares is related to bid …

The author examines the role of collateral in an environment where lenders and borrowers possess identical information … market value of the collateral. Increases in the volatility of the value of the collateral, interest rate, and dividend rate … loan and an implied risk premium. …

idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and … factors help us understand the idiosyncratic volatility puzzle found in Ang, Hodrick, Xing, and Zhang (2006). They reduce the … return difference between portfolios with the smallest and largest idiosyncratic volatility by more than 60%, although the …

Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … that these models provide information on the nature of credit events that is, whether the event is systemic or not and on …