This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to...

Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...

The use of corn for ethanol has been the topic of heated discussions in the media and among policy makers. As part of this debate, some observers have argued that the use of corn in the production of ethanol has had adverse effects on corn prices. This paper contributes to this reviving debate...

During its trial phase (Phase I), the EU Greenhouse Gas Emission Trading Scheme (EU-ETS) collapsed because of an over-allocation of emission allowances. We evaluate the progress of this market from the trial phase to the next commitment period (Phase II) from a microstructure angle. We show that...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004–2011 period and the 2009–2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

In this paper we investigate whether the imposition of the unremunerated reserve requirement on capital inflows influences exchange rate volatility and stock prices. Our analysis shows that exchange rate volatility of the Thai baht against four major currencies—the US dollar, the British...

This paper addresses the issue of impacts of central banks’ transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and central bank transparency. By applying panel data analysis on a set of...

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to 30 September 2011), with all...

We investigate the effect of central bank independence on stock market returns in emerging economies. We find evidence for a positive overall effect, but economic independence of the central bank appears to be more relevant than political independence.

Extant research has documented various sources of informational advantages enjoyed by company insiders including firm size, analyst following, dividend payout policy, book-to-market ratio, and the presence or absence of R&D investments. Surprisingly, despite this large body of work, virtually no...