I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost...

This paper provides the first systematic study of the temporal and cross-sectional variation in the forward premium in very short-term rates. Using a unique and comprehensive data set of European repurchase agreements (repo), we find that the forward premium varies significantly with the (net)...

Using trade repository data at transaction and ID levels, we provide the first systematic study of interest rate swaps traded over the counter in the new regulatory regime. We find substantial and persistent heterogeneity in derivatives prices consistent with a pass-through of regulatory costs...

This supplemental appendix extends the main paper by presenting additional analyses and robustness checks. It also describes the procedure to construct the Monthly TAQ effective spread benchmark.The paper "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices" to which...

We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day quote data, this method generally...

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,...

This financial resilience survey was circulated on behalf of a working group of the Complexity Council of the World Economic Forum comprised of Prof. Eve Mitleton-Kelly of London School of Economics and Prof. Dirk Helbing at ETH Zurich's Risk Center. It was sent to a few dozens of financial...

The Internet Appendix discusses details, additional results and robustness checks on the paper.The paper "Understanding FX Liquidity" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2329738" http://ssrn.com/abstract=2329738