Inflation hedging is an important issue for long-term investors, even during prolonged periods of relatively low inflation. This study analyzes the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the years 1983–2012. Our analysis provides only partial...

The liquidity patterns of investors provide a new common framework to explain the autocorrelation of returns and volumes, as well as some calendar anomalies. Festivities are occasions around which liquidity constraints are particularly relevant, leading to a quot;festivity effectquot;. This...

In this paper we investigate the relation between price impact and trading volume for a sample of stocks listed on the New York Stock Exchange. The parametric VAR-models that have been used in the literature starting with Hasbrouck (1991a, 1991b) impose strong proportionality and symmetry...

In this paper we propose a bivariate model for the trading intensities of two stocks in a particular industry. The model consists of a univariate duration model for the pooled transaction process and a probit-specification for the type of trade. We apply the model to the trading intensities of...

While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are non-negligible: 20 basis points for buys and 26 basis points for sells. Furthermore, we show that (relative) trade size and market capitalization commonly found...

The Panzar-Rosse test has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...

The quiet life hypothesis posits that firms with market power incur inefficiencies rather than reap monopolistic rents. We propose a simple adjustment to Lerner indices to account for the possibility of forgone rents to test this hypothesis. For a large sample of U.S. commercial banks, we find...