Using a unique dataset including daily and hourly high yield bond transactions prices, we examine the informational efficiency of the corporate bond market relative to the market for the underlying stock. In contrast to previous research utilizing weekly or monthly dealer quotes, we find that...

We use the American Stock Exchange?s May 1997 market-wide adoption of $1/16 ticks to examine several hypothesis relating to tick size reduction. Specifically, we consider volatility, other aspects of market quality, trader behavior, and specialist profits. The hypothesis that volatility is...

This paper examines shifting liquidity in the corporate bond market and illustrates how cross market comparisons can lead to misleading inferences regarding market efficiency when liquidity and trading patterns are ignored. For example, when institutional trade dominance and other bond trading...

What is the incremental information in imagery? This paper introduces the concept of visualattention and proposes a new methodology to identify the effect of information contentprovided in images, above and beyond that of contemporaneous textual information. Ourobjective (non-behavioral)...

The paper investigates the effects of mark-to-market write-downs by financial institutions on market prices and volumes, as well as the prominent role that illiquidity plays in exacerbating the direct and spillover effects of exit valuation on equity and credit default swaps markets. Using a...