The slope of the implied volatility term structure is positively related to future option returns. We rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform...

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity...

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

This paper investigates how stock-specific and market-wide news sentiments, obtained from Thomson Reuters News Analytics, affect abnormal returns of S&P 500 stocks. It is well-known that the relationships between the stock-specific news sentiment and raw stock returns are rather weak. This can...

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five hundred bonds from six largest euro area sovereign bond...

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant -...