This paper introduces bond market order flow as a predictor variable in term structuremodels and provides evidence that order flow has forecasting ability over and above thatof forward rates. Both in-sample and out-of-sample forecasts show that models includ-ing interdealer order flow outperform...

This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...

This paper introduces a framework that directly quanti…es information spillovers be-tween …nancial markets. Information spillovers occur when market speci…c information,de…ned as information that directly affects the return or volatility in one market only,indirectly affects returns or...

This note investigates the effects of introducing a transaction tax ondepth and bid-ask spread using a static model where a competitive market makerfaces informed and liquidity traders. When the degree of information asymmetryis low, an increase in the transaction tax can result into a smaller...

We investigate the eect of cap-and-trade regulation of CO2 on rm prots byperforming an event study of a CO2 price crash in the EU market. We examinereturns for 90 stocks from carbon intensive industries and 600 stocks in the broadEUROSTOXX index. Firms in carbon intensive, or electricity...

We interpret cost stickiness, i.e., the manager’s decision to bear the costs of unutilized resources whensales decline, as a risky project and examine its impact on conditional conservatism. We find that coststickiness increases the asymmetric timeliness of earnings by weakening the timeliness...

This study examines empirically whether corporate ratings by the credit ratingagency Standard & Poor’s reflect fundamental and publicly observable shocks tothe credit quality of companies. This serves to assess the degree of informationsensitivity of external ratings, and the timeliness of...

In recent years the market for asset backed securities (ABS) has shown a rapid growth. In an ABS transaction assets are first pooled and then securities backed by this pool are issued. In many cases, several tranches of securities differing with respect to their priority of payment are designed....

This paper documents a relation between the shareholder base and payout policy. Consistentwith the idea that the shareholder base is related to the cost of external financing we find thatfirms with small shareholder bases have lower payout levels and maintain higher cash holdingsthan firms with...

We study a number of large international military conflicts sinceWorld War II where we establish a news analysis as a proxy for theestimated likelihood that the conflict will result in a war. We findthat in cases when there is a pre-war phase, an increase in the warlikelihood tends to decrease...