Issues in the construction of corporate bond event studies using bond transaction data are explored. We show that the procedures used in studies to date have relatively low power because they fail to control for the substantial heteroskedasticity in bond returns due to differences in...

The Dodd-Frank Act (Section 939B) enacted in 2010 repealed credit rating agencies' (CRAs) exemption from Regulation Fair Disclosure. Testing whether CRAs continue to provide new information to the market after the repeal, we find that the significant pre-repeal stock price responses to rating...

The procedures used in corporate bond event studies to date fail to control for heteroskedasticity due to differences in return volatility by term-to-maturity, rating, and other factors resulting in low test power. Bond return standardization yields considerably more powerful tests. Also, due to...

The impact of the U.S. Employment Report and analyst forecasts of that report's major statistics on Pound/Dollar, Yen/Dollar, and Euro/Dollar exchange rates are explored. While the nonfarm payroll employment figure has the greatest impact, we find that the exchange rates also react to the...

The extraordinary oil price volatility of the 2007-08 period has resulted in special attention being focused on the role of financial market factors in determining physical oil prices. We survey the literature to assess the state of research on this topic. The literature provides substantial...

We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in commodity markets. Using the U.S. crude oil market as our experimental setting, we document substantial economically significant violations of the no-arbitrage futures pricing...