By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French (FF) factors. Macroeconomic announcements had a profound effect on equity returns, the FF factors and momentum. We find that the...

This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic news on time-varying volatility as well as...

By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French Factors. Macroeconomic announcements had a profound effect on equity returns, the Fama-French factors, and Momentum. We find that the...

This study provides new evidence on the market impact of new issues of convertible bonds of U.S. listed firms. We examine on the market reaction surrounding the announcement dates and the issue dates of convertible bonds. The evidence suggests that firms experience negative abnormal returns...

This study examines the effects of trading in Standard and Poor's Depository Receipts on the pricing efficiency of the index options markets. Using the put-call parity model's no-arbitrage arguments, and intra-day Samp;P 500 index option data, three boundary conditions are formulated and tested...

This paper investigates the sources of time-varying risk and risk premia for both the U.S. stock and bond markets. Although a growing literature has emerged that examines the return and volatility characteristics of the U.S. stock and bond markets separately, little work has appeared that models...