Investors can trade individual agency mortgage-backed securities as specified pools (SPs), or trade them through TBA forward contracts. Sellers in the TBA market deliver the cheapest possible pool that fulfills the contracts, so they are traded on a cheapest to deliver basis. More valuable...

Leveraged buyouts allow for a separate identification of sponsor reputation and underlying firm quality and their effects on capital structure choices. In 616 U.S. LBOs for which we can reconstruct financing activity, we find that the average LBO issues an average of 1.16 additional debt...

This study examines the effect of locally informed investors on market efficiency and stock prices using large power outages, which are exogenous events that constrain trading. Turnover in stocks headquartered in a outage area with 0.5% of U.S. electrical customers drops by 3-7% on the first...

A large literature finds evidence that pricing kernels nonparametrically estimated from option prices and historical returns are not monotonically decreasing in market index returns. We argue that existing estimation methods are inconsistent and propose a new nonparametric estimator of the...

We provide novel evidence supporting the notion that arbitrageurs can contribute to return comovement via ETF arbitrage. Using a large sample of U.S. equity ETF holdings, we document the link between measures of ETF activity and return comovement at both the fund and the stock levels, after...