This study provides a comprehensive analysis of the effects of Computer-based Trad-ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the...

Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...

We examine the performance of mutual funds whose managers simultaneously manage portfolios with performance-based incentive fees for three account types: mutual funds, hedge funds, and separate accounts. Importantly, our dataset is free of selection bias because it is hand collected from...

This study examines a market-wide liquidity measure based on the systematic deviations from Put-Call parity in the U.S. equity option markets. We show that this implied liquidity measure provides forward-looking information about market returns and significantly explains the cross-sectional...

We analyze four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platform. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We find not only strong evidence of information asymmetry in...