Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...

We analyze transactions by corporate insiders in Germany. We find that insider trades are associated with significant abnormal returns. Insider trades that occur prior to an earnings announcement have a larger impact on prices. This result provides a rationale for the UK regulation that...

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...

Until October 2004 corporate insiders in Germany were required to report trades in the shares of their firm 'without delay'. In practice substantial reporting delays were common. We show that the delays are systematically related to the characteristics of the firm. Delays are longer in...

In the pre-Sarbanes-Oxley era corporate insiders were required to report trades in shares of their firm until the 10th of the month following the trade. This gave them considerable flexibility to time their trades and reports strategically, e.g., by executing a sequence of trades and reporting...

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate, and increases with tick size; providing strong support...

An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

Value premium has been well documented in the finance literature. This paper empirically examines whether the value strategy of buying value stocks and selling growth stocks is profitable after controlling for transaction costs. Using the limited dependent variable estimate of transaction costs...