The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes...

Incluye bibliografía ; Inflation-linked bond markets have experienced significant growth in recent years. This growth is somewhat surprising, for inflation-linked bonds cannot be considered a financial innovation and their development has taken place in a period of historically low global...

Rationale The current period of high inflation makes it difficult for investors to maintain their profitability targets in real terms. Against this background, it is important to analyse the returns on different types of assets recorded in this and past inflationary episodes. Takeaways •In the...

Essay 1 tests the ability of a commercial structural credit default swap pricing model to predict market spreads. Consistent with several previous studies testing other models, we find our model unable to price credit risk precisely and observe an illiquidity premium reflecting a credit risk...

The first chapter of this dissertation examines the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the...

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional...

Do bank bailouts work? Government aid initiatives implemented to stem the current crisis raise important questions about the role of monetary policy in preventing bank failures. The scale of this bailout program defies comparison with any other aid package implemented in the post-World War II...

Since the start of the financial crisis, various forms of securitization have been criticized for causing the problems experienced. The amount of Asset Backed Commercial Paper outstanding fell drastically in the middle of 2007 drawing our attention to this market. Our study focuses on the use of...

The number of dividend paying firms has been on the decline since the popularity of stock repurchases in the 1980s, and the recent financial crisis has brought about a wave of dividend reductions and omissions. This dissertation examined the U.S. firms and American Depository Receipts that are...

The role played by monetary policy in creating the conditions that culminated in the current crisis and the failure of the Fed’s efforts to end the credit freeze in 2008 are critical components of the analysis needed as a backdrop for reform. This paper argues that the link between excess...