The case of Evergreen Solar (ESLR) suggests counterparty risk exposure be added to the litany of misgivings on the economic efficiency, absolute performance, and governance conflicts of ASRs. Evergreen Solar in July 2008 issues a convertible, enters into an offsetting, broker-backed long...

This paper introduces a new approach to monitoring the daily risk of investing in hedge funds. Specifically, we use low-frequency (monthly) models to forecast high-frequency (daily) hedge fund returns. This approach addresses the common problem that confronts investors who wish to monitor their...

Manipulation in the VIX settlement can cause significant losses to investors. Analysing high-frequency data, we present indications of VIX manipulation accelerating since 2017. Deviations have an upward direction and average at around 6%. Specific effects accompany settlement days. The put/call...

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. Algorithmic traders appear to place proportionately more fleeting orders in optionable stocks on option expiration versus non-expiration days. Since most observed...

The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory, offers an inexpensive way to measure real-time public sentiment. We take advantage of a natural experiment to assess the potential improvement that social media adds to forecast...

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

Reduced-form models of default calibrated to expected default losses and comovements between default losses and an equity-based pricing kernel generate CDS spreads that tend to fall below historical values. In frictionless markets, resolving this credit spread puzzle requires credit-market...

In this paper we explain how Lehman can be simplified.The tendency to date has been to focus on the large number of insolvency cases resulting from Lehman, as it justifies Lehman's supposed uniqueness and the work done to resolve Lehman. And it makes good copy in the financial press.We argue...

This paper ties together recent literature on the forecastability of commodity prices and exchange rates using insights from the study of leveraged financial institutions. I exhibit evidence that the Chen, Rogoff and Rossi (2008) quarterly predictability of commodity returns by changes in...

In 2007-2009 the US financial and capital markets experienced an unprecedented collapse. This paper examines reasons which lead to the economic meltdown from the perspective of mortgage and derivatives trading, occurred in that period of time. It identifies the sources of 2007-2009 economical...