This article investigates the effects of mortgage-backed security (MBS) hedging activity on interest rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBSs considerably improves model performance...

This study explores a number of alternative explanations for the relation between credit spreads and governance. These include the overinvestment story in Li (2007), the information quality story of Duffie and Lando (2001) and an information asymmetry hypothesis based on the findings in Ferreira...

We analyze the volatility risk premium by applying a modified two-pass Fama-MacBeth procedure to the returns of a large cross section of the returns of options on individual equities. Our results provide strong evidence of a volatility risk premium that is increasing in the level of overall...

Recent empirical work suggests that a proxy for the probability of informed trading (PIN) is an important determinant of the cross-section of average returns. This paper examines whether PIN is priced because of information asymmetry or because of other liquidity effects that are unrelated to...

This paper argues that liquidity events in short selling, such as short squeezes, margin calls, and stock specialness, may be an important part of short-selling constraints. We gauge the importance of liquidity events by utilizing a market-based measure, which is the cost of using options to...

We conduct an analysis of the risk and return characteristics of a number of widely used amp;#64257;xed income arbitrage strategies. We amp;#64257;nd that the strategies requiring more quot;intellectual capitalquot; to implement tend to produce signiamp;#64257;cant alphas after controlling for bond and equity...

This paper argues that liquidity events in short selling, such as short squeezes, margin calls, and stock specialness, may be an important part of short-selling constraints. We gauge the importance of liquidity events by utilizing a market-based measure, which is the cost of using options to...

This paper investigates the effects of mortgage-backed securities (MBS) hedging activity on interest-rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBS considerably improves model performance...

Existing evidence suggests that the Sarbanes-Oxley Act (SOX) may be beneficial to U.S. investors, but that foreign firms are perhaps less likely to list in the U.S. after SOX. This raises the question of whether foreign firms avoid listing in the U.S. after SOX because the Act imposes...

We show that microstructure biases in the estimation of expected option returns and risk premia are large, in some cases over 50 basis points per day. We propose a new method that corrects for these biases. We then apply our method to real data and produce three main findings. First, the...