This paper explores the role played by multiple credit rating agencies (CRAs) in the market for corporate bonds. Moody's, Samp;P and Fitch operate in a competitive setting with market demand for both credit information and the certification value of a high rating. We empirically document the...

We derive an equilibrium asset pricing model incorporating liquidity risk, derivative assets, and short-selling due to hedging of non-traded risk. We show that, both for positive-net-supply assets and derivatives, the sign of liquidity effects depends on investor heterogeneity in non-traded risk...

Regulatory Capital requirements for European banks have been put forward in the Basel II Capital Framework and subsequently in the Capital Requirements Directive (CRD) of the EU. We provide a detailed discussion of the capital requirements for private equity investments under the simple risk...

Credit rating actions could discipline management to improve asset allocations, but may also trigger corporate responses to alleviate financial constraints. We investigate which effect (if any) dominates, using corporate asset sales as a laboratory. Our empirical tests are guided by a novel...

We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and informational advantages. Information advantages may restore excessively toxic markets. Speed technology may reduce resource...

We study intraday, market-wide shocks to stock prices, market liquidity, and trading activity on international stock markets and assess the relevance of recent theories on "liquidity dry-ups" in explaining such shocks. Market-wide price shocks are prevalent and large, with rapid spillovers...

In recent years, green bonds have gained popularity as the investment industry is looking for environmentally friendly instruments. Yet, green bonds fragment bond issues, which reduces liquidity and thereby increases financing costs. Moreover, most green bonds are used to refinance existing...

We analyze the performance of volatility targeting strategies. Conventional volatility targeting fails to consistently improve performance in global equity markets and can lead to markedly greater draw-downs. Motivated by return patterns in different volatility states, we propose a conditional...