We show that existing metrics of CDS returns poorly approximate cash flow-based CDS returns. Given the complexities involved in computing CDS returns correctly, we provide a simple closed-form approximation that bears a correlation of no less than 99% with the true return series. Our work...

An increasing number of studies extract credit spreads using equity options data. This inference relies on the assumption that option and credit markets are integrated. I empirically test this assumption using firm level option implied credit spreads (IS) and CDS spreads. While the IS and CDS...

This paper provides an empirical overview of the largely unexplored public blockchain ecosystem. Our overview highlights that only a few blockchains dominate the ecosystem although no single blockchain, not even Bitcoin, dominates uniformly. We explain our empirical findings with a simple...

Proof-of-Work (PoW) blockchains possess at least two undesirable characteristics: exceptional price volatility and welfare impairment. Exceptional price volatility arises because PoW implements a passive monetary policy that fails to modulate cryptocurrency demand shocks. Welfare impairment...

We demonstrate theoretically that Bitcoin's limited adoption arises as an equilibrium outcome rather than as a short-lived property. Our results are driven by negative network effects which arise due to Bitcoin's need for consensus and the existence of network delay. As the Bitcoin network...

The price of equity equals the risk-adjusted present discounted value of cash-flows. Discount factors depend upon the short rate process. As such, a link exists between bond and equity returns. This link implies a relationship between volatilities and the stock-bond correlation. I show that the...