We develop a reduced-form model that allows us to decompose bond spreads and CDS premiainto a pure credit risk component, a pure liquidity component, and a component measuring therelation between credit risk and liquidity. CDS liquidity has important consequences for the bondcredit risk and...

We study the impact of the arrival of macroeconomic news on the informational andnoise-driven components in high-frequency quote processes and their conditional variances.Bid and ask returns are decomposed into a common ("ecient return") factorand two market-side-specic components capturing...

The paper explores whether the co-movement of market returns and equity fundflows can be explained by a common response to macroeconomic news. I findthat variables that predict the real economy as well as the equity premium arerelated to mutual fund flows. Changes in dividend-price ratio explain...

Recent empirical research suggests that measures of investor sentimenthave predictive power for future stock returns over the intermediate and longterm. Given the widespread publication of sentiment indicators, smart investorsshould trade on the information conveyed by such indicators and...

This is the first study of corporate-bond mutual fund performance that examines detailedsecurity-level holdings and returns. The new database allows us to decompose the costsand benefits of active management. In contrast to prior research on equity funds thatshows evidence of stock-selection...

This paper investigates the returns and °ows of German money marketfunds before and during the liquidity crisis of 2007/2008. The main¯ndings of this paper are: in liquid times, money market funds en-hanced their returns by investing in less liquid papers. By doing sothey outperformed other...

This paper investigates whether investor sentiment can explain stock returns on theGerman stock market. Based on a principal component analysis, we construct a senti-ment indicator that condenses information of several well-known sentiment proxies. Weshow that this indicator explains the return...