This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is...

Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...

We study seasonality in the two-year Treasury Note yields. We find that most anecdotally observed seasonal variations of yields do not pass the more rigorous statistical significance test. In addition, the seasonality findings depend on how me measure yields and what kind of seasonal patterns we...

This article focuses on the LIBOR manipulation scandal officially revealed by the U.S. and U.K. authorities in June 2012. The article indicates that this scandal is in reality an outcome of the financial efficiency problem in the developed markets along with other reasons. LIBOR is a widely used...

This is the first study known to analyze fixed-rate purchase operations by the Bank of Japan (BOJ), as conducted under the policy of Quantitative and Qualitative Easing (QQE) with Yield Curve Control (YCC). On February 3, 2017, the BOJ conducted the first unlimited purchase of 10-year Japanese...

Testing of the expectation hypothesis (EH) for very short interest rates has provided mixed results. My paper seeks to reconcile conflicting evidence on the EH for the US repo market by exploiting the fact that repo rates are affected by the demand/supply of bonds provided as collateral against...

Testing of the expectation hypothesis (EH) for very short interest rates has provided mixed results. My paper seeks to reconcile conflicting evidence on the EH for the US repo market by exploiting the fact that repo rates are affected by the demand/supply of bonds provided as collateral against...

We show that short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. Moreover, short interest is a better predictor of changes in firm fundamentals for stocks that are harder to short and short sellers appear to have information...