Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on or around FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global...

This paper explains the effects of monetary policy surprises on long-term interest rates and stock prices in terms of changes in expected inflation, real interest rate and dividend growth, and relates these effects to markets' perceptions of economic shocks and Fed's information set. We analyze...

We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We...

We investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. Our results deliver insights into the dominating drivers of bond-stock comovements. We find that it is not so much the surprise component of the announcement, but the mere fact...

This paper provides an empirical analysis of the risk-return performance of international convertible bond markets. The research has three main objectives. First, it highlights the specific features of convertible bonds such as a greater downside risk protection relative to equities. Second, it...

This paper argues that the commonly used market indices imply forms of active investment management in disguise. The selection and rebalancing rules make these indices highly exclusive and dynamic regarding their underlying components and significantly bias their performance. Any passive...

I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that traders actively monitor and promptly react to the real-time information flow. The news impact depends on which type of news bulletin is...

This study analyzes the information content of the limit order book in a pure order-driven market. The objective is twofold. First, we analyze how the state of the limit order book affects the trader strategies. Second, we develop a new econometric technique to study order aggressiveness and...

Repo markets play a major role in redistributing liquidity and collateral between financial institutions. A unique transaction-level database reveals how the euro-denominated repo market has performed since the mid-2000s. We find that the market recovered strongly from periods of intense stress,...

We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level,...