The slope of the portfolio return and consumption growth cospectrum contains predictive information about future real economic activity, future recession probabilities, the risk aversion coefficient, as well as future expected returns. Commonly used economic variables do not subsume the...

I identify intraday jumps and cojumps in exchange rates controlling for volatility patterns and relate these events to pre-scheduled macroeconomic news and market conditions. Event study results show that preceding jump and cojump events, exchange rate quote volume, illiquidity, signed order...

Exchange traded funds (ETF) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to NAV as well as the life-cycle pattern in premiums. ETFs with larger...

We systematically examine how bank characteristics are related to a bank's financial contagion exposure. Examining capital requirements, we find evidence that while tier 1 capital requirements are negatively related to a bank's contagion exposure, the sum of tier 1 and tier 2 capital ratios are...

This paper examines an alternative avenue through which trading in options can expand investors' opportunity sets, unrelated to private information, differing opinions, endowments, or trading restrictions in the stock market. Investors can synthetically replicate the return profile of optionable...

We systematically study the value of the information contained in closed-end fund (CEF) premiums. We parametrically estimate CEF expected returns as a function of the history of CEF premiums, in addition to the current premium, and buy the quintile of funds with the highest expected returns and...

I provide evidence that financial contagion risk is an important source of the equity risk premium. Banks' contributions to aggregate financial contagion are estimated in a state space framework and linked to systemic risk. Greater bank connectedness today leads to increased systemic risk 3-12...

Pricing errors in exchange rates are largest during Asian trading hours and decrease until European-New York overlapping trading hours at which point the cycle begins again. Substantial heterogeneity exists in this pattern across exchange rates. Currencies have smaller pricing errors during...

I examine the effect that the precision of securitization has on the marketquality of the underlying asset, as well as focus on the market quality of thederivative asset. With securitization, the underlying portfolio has improved liquidity, the trading intensity of an informed trader is...

I examine the optimal portfolio allocation for investors with risk frequency preferences. As an implication, the portfolio opportunity set can be uniquely constructed from a set of basis frequency structures. Factor model representations represent restrictions on the frequency structure space,...