Dufour and Engle (2000) have shown that the duration between subsequent trade events carries informational content with respect to the evolution of the fundamental asset value. Their analysis supports the notion that no trade means no information derived from Easley and O'Hara's (1992)...

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book market. Given the discontenting empirical model performance reported in the previous literature, we relax restrictive assumptions of the underlying theoretical model concerning...

Electronic limit order books are ubiquitous in markets today. However, theoretical models for limit order markets fail to explain the real world data well. Sandas (2001) tests the classic Glosten (1994) model for order book equilibrium and rejects it. We reconfirm this result for one of the...

This paper studies the confidential holdings of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Evidence supports private information as the...

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, but caveats concern model solubility and weak identification. We propose a twostep...

This paper studies the 'confidential holdings' of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F. Our evidence supports hiding private information as the dominant motive for hedge...

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...