I find strong evidence of economically and statistically significant predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Active management provides U.S. investors in emerging markets with double the buy-and-hold returns at lower...

This paper develops and implements an exact finite-sample test of asset pricing models with time-varying risk premia using posterior probabilities. The strength of our approach is that it allows multiple conditional asset pricing specifications, both nested and nonnested, to be tested and...

The authors analyze the effects of a finite tick size and the practice of 'payment-for-order flow' on market competition. Even if the New York Stock Exchange (NYSE) reservation price is superior to its non-NYSE counterpart, brokers may, because of payment-for-order flow, prefer to execute orders...