Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

This paper develops a theory of medium term share price movements under slow adjustment in the labour market relative to the share market and perfect foresight in the share market. The model seeks to explain the slow movements in real share prices that have been observed in the OECD countries...

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...

We provide a measure of sparsity for expected returns within the context of classical factor models. Our measure is inversely related to the percentage of active predictors. Empirically, sparsity varies over time and displays an apparent countercyclical behavior. Proxies for financial conditions...

This paper investigates high frequency movements of the yield curve around macroeconomic announcements by combining event studies and a no-arbitrage affine term structure model in a new Keynesian model with partial (or imperfect) information. I show that the model fits bond yields and...

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...

In this paper, we provide evidence on the response of stock market returns to monetary policy shocks but condition the analysis on both the direction of monetary policy surprises and business conditions. We follow a two-step approach: First, we use an structural vector autoregressive (SVAR)...

This paper studies the US equity market during the COVID-19 period in the first half of 2020. There is a record rise, then a record fall in prices and then a record recovery. Throughout the period there was extreme volatility and much short term momentum with fear and greed alternating. The VIX...