It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under the assumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Because these conditions are hardly ever met, we extend the standard approaches, based on the fundamental principle of...

We study the effect of the business cycle on optimal capital structure choice and the benefit to leverage. We propose a regime switching model with a state-dependent cash flow process to capture macroeconomic risk in a firm's cash flow. Our model is parsimonious but still realistic and allows...

We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that they are anchoring biased. This irrationality would challenge the results of a wide range of empirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely on survey data to...

This paper analyzes the interday stability of the price process using transaction data. While the vast majority of empirical studies on the microstructure of financial markets rests on the tacit assumption that observed prices are generated by a time-invariant price process, we question this...