This paper examines newly-available intraday data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, volume, and bid-ask spreads. By using expectational data we are able to separate out the impact of concurrent announcements. The use...

In a variety of realistic scenarios, some investors trade infrequently rather than continuously, basing their buy or sell decisions on current price levels. A acirc;not;Sprice barrieracirc;not;? is a price level at which a large number of investors either buy or sell securities. We analyze the...

This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain...

We investigate the economic effects of the COVID-19 pandemic and the role played by credit constraints in the transmission mechanism, using a novel survey of expectations and plans of Italian firms, taken just before and after the outbreak. Most firms revise downward their expectations for...

We use high-frequency data to precisely estimate bond price reactions to macroeconomic announcements and the associated compensation for macro risks. We find evidence of a single factor summarizing the reaction of bond prices to different announcements. Prior to the financial crisis, the factor...

We test whether adverse changes to banks' market valuations during the financial and sovereign debt crisis, and the associated increase in banks' cost of funding, affected firms' real decisions. Using new data linking over 3,000 non-financial Italian firms to their bank(s), we find that...

What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We address this central question via the Campbell-Shiller (Campbell and Shiller, 1988) decomposition, with news constructed using survey forecasts. Risk premium news explains most of...

The risk premia assigned to economic (non-traded) risk factors can be decomposed into three parts: i) the risk premia on maximum-correlation portfolios mimicking the factors; ii) (minus) the covariance between the non-traded components of the candidate pricing kernel of a given model and the...

This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a...