Trade signing algorithms that rely on quote data, tick data or both have been used extensively to assign a trade as either a buy or a sell. Leveraging the availability of a large panel of signed trade data in the corporate bond market, we explore machine learning methods to uncover a new trade...

Leveraging the availability of a large panel of signed trade data in the corporate bond market,we explore how machine learning methods can be used to improve upon standard tradedirection classification methods in markets in general, both with and without pre-trade transparency.Using the signed...

We consider whether the market conditions its reactions to an executive's move from an Origin Company to a Destination Company on the executive's past performance and any other information impounded in the market reaction to the executive's emigration from the Origin Company. We also examine...

In this study, we consider whether the market conditions its reactions to a senior executive s (SE) move from an origin company (OC) to a destination company (DC) onthe SE s past performance and any other information impounded in the market reaction to the SE s emigration from the OC. We also...

We revisit the role of the cash and accrual components of accounting earnings in predicting future cash flows using out-of-sample predictions, firm-specific regression estimates, and different levels of aggregation of the dependent variable, with market value of equity as a proxy for all future...