This paper tests for the presence of nonlinear dependence and chaos in real-time returns on four of the world's major stock market indices: the FTSE-100, the Samp;P 500, the Nikkei 225 and the DAX. Our results suggest that GARCH-type models can explain some but not all of the observed nonlinear...

This paper investigates the intra-day pattern of bid-ask spreads, volatility, and volume on the London Stock Exchange. The primary focus of the study is to relate the empirically observed regularities to specific institutional features of the trading system on the Exchange. We also examine the...

In this paper we find that the decline in the momentum profitability is partly driven by option trading. Momentum profits arise from the short leg and therefore on barriers to short selling. We find strong evidence that the presence of stock options creates alternate avenues for short selling,...

We study how macroeconomic, firm-level and higher-order uncertainty affects real corporate investment in firms with different levels of active and passive block ownership. Our ownership data are extracted from statutory SEC filings that block-holders are required to file indicating their active...

In this paper we investigate the empirical performance of unconditionally efficient portfolios strategies for a number of commonly used predictive variables. These strategies, which optimally utilize asset return predictability in portfolio formation were studied by Hansen and Richard (1987) and...

In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the...

In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the Hilbert space framework of Hansen and Richard (1987) to obtain new characterizations of the efficient portfolio frontier...

We use a consumption-based asset pricing model with Epstein-Zin-Weil recursive preferences to explain the cross-section of excess returns on nominal US Treasury bond portfolios. We use a novel approach to extract the model factors from a FAVAR using a large panel; of macro and financial data. We...

We exploit the quasi-natural experiment created by the roll-out of the EDGAR system to study the causal impact of the additional flow of stock-specific information on firms. We find that this information flow to investors resulted in statistically significant and economically essential changes...

We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data. Using value weighted firm-level data we find strong...