The prices of ETNs often significantly exceed their indicative values. Since ETNs share many features in common with zero-coupon bonds, this empirical finding is unexpected. (Adopting the language of Wright, Diavatopoulos, and Felton (2010), we refer to this as the negative WDFD puzzle.) Using a...

We investigate the information content of the limit order book (LOB) on the Tokyo Stock Exchange, the world's second largest order-driven market. We find that high frequency microstructure parameters, such as the current cost-to-trade 1% of average daily volume and LOB slope, contain information...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

We investigate the effect of CEO hedging on the likelihood and characteristics of M&A decisions. Because of their higher degree of risk tolerance, hedged CEOs are more likely to engage in M&As and are more likely to acquire private and smaller targets. M&A deals by hedged CEOs appear to create...