In this paper, we examine the use of book-to-market equity (BE/ME) as a determinant of asset correlations in the Basel Accord on regulatory capital requirements. Utilizing an international sample from 38 countries during 1989–2017, we discover that asset correlations, controlling for firm size...

This paper employs Hasbrouck's (2003) information share method to analyze the flow of information in equity markets. In particular we compare trading in Index ETFs with that of their underlying securities. Surprisingly, ETFs seem to play a significant role in the price discovery process, rather...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

We study the day-end effect on the Paris Bourse, a computerized order-driven market with competing dealers. The day-end return is approximately double the magnitude found in U.S. data and is nearly four times larger for stocks trading with a registered dealer. However this is largely explained...