This paper investigates the exposure of industry level portfolios to oil price shocks. Our paper utilizes the Campbell (1991) decomposition of stock returns based on a log-linear approximation to the discounted present value relation while allowing for time varying expected returns. The results...

We analyze the effects of monetary policy announcements on stock market liquidity using intraday data. We show that the impairment in liquidity associated with policy announcements occurs primarily after, rather than before, the announcements, and is relatively short-lived, lasting about 1.5...

The implementation of monetary policy through financial markets is widely believed to be an important factor affecting the return on financial assets, particularly the return on short-term government debt. This paper assesses the effects of shocks to monetary policy on Treasury bill returns by...

This paper provides some empirical evidence on a relatively new and increasingly prevalent form of equity restructuring called tracking stock. Also known as quot;targetedquot; or quot;letteredquot; stock in the financial press, this equity structure has been adopted with increasing frequency,...

We reexamine the volatility of agricultural commodity futures for evidence of fractional integration, providing new empirical results and extending the extant literature in important dimensions. First, we utilize two relatively new estimators based on wavelets, which are generally superior to,...

A firm's announcement that it intends to restructure based on tracking stock is usually associated with a positive and significant stock price reaction, at least in the short-run. Typically, this reaction has been attributed to expected reductions in a diversification discount, via reduced...

This paper investigates the extent to which observable macroeconomic factors can explain the time-varying risk premia in the short-end of the term structure. The empirical model we employ is motivated by a dynamic asset pricing model with time-invariant reward-to-risk measures and time-varying...

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Previous research has been unable to identify a strong link between oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology that we use to estimate jumps in oil prices. We find a surprisingly strong relation between high...

We investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have narrower spreads, higher market quality index, smaller price impact of trades, and lower probability of information-based trading. In addition,...