This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures...

Expanded public availability of U.S. banking data has prompted a need to reexamine end-of-quarter window dressing. We find substantial heterogeneity in the pattern of window dressing across banks and products, not all of which can be explained as customerinitiated, and some of which is...

Economic theory predicts that reciprocal brokered deposits, by facilitating an extension of deposit insurance coverage, may exacerbate moral hazard and reduce market discipline for banks, permitting them to take more risk in various dimensions. Using a newly available dataset, this note explores...

This paper examines institutions' portfolio allocation and performance in US securities. We test how information immobility, proxied by market correlation and cultural and geographical distance between the investors' home markets and the US, influences portfolio strategies. Consistent with...