Using a new daily dataset for all stocks traded on the New York Stock Exchange between 1905 and 1910, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the market...

Theory says an American call should never be exercised early, except possibly just before an ex-dividend date. But the best market bid is frequently below intrinsic value for an in-the-money short maturity option. An American option can always be exercised to recover intrinsic value, while...

This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...

This paper considers the ramifications of the landmark US Appeals Court decision in USA v Connolly & Black (decided January 27, 2022) to acquit on all charges, 2 former Deutsche Bank trader’s Matthew Connolly and Gavin Campbell Black, who had been accused of conspiracy to defraud and false and...

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....

We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is...