We evaluate the performance of common stock trade classification algorithms including the quote, tick, Lee and Ready (1991), and Ellis, Michaely, and O’Hara (2000) rule to infer the trade direction of option trades. Using a large sample of matched intraday transactions and Open/Close data, we...

Performance manipulation can make a fund more attractive to investors and, more seriously, managers can intentionally misreport returns to enhance performance scores. This paper empirically investigates whether the manipulation-proof performance measure derived by Goetzmann et al. (2007) really...

We introduce an approach to forecast individual bond liquidity and apply it to the U.S. corporate bond market. Our model combines three dynamic prediction models to get the most accurate estimate for future bond liquidity. We compare the new prediction methodology with the literature's current...

We investigate the hypothesis that zero lower bound monetary policy has an effect on the correlations of financial assets. Using an event-study approach, we evaluate the impact of the zero lower bound monetary policies of the Bank of Japan, the Bank of England, and the Federal Reserve on the...

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

The paper studies the impact of firms’ over-indebtedness on innovation. First, we build up an over-indebtedness index which takes account of the firm’s level and structure of the debt as well as of its sustainability. Secondly, we investigate to what extent over-indebtedness explains...

This is the transcription of the American Finance Association's Presidential Address of January 7, 2017. The address is based on the paper "'https://ssrn.com/abstract=2893930' The Scientific Outlook in Financial Economics"

Given the competition for top journal space, there is an incentive to produce “significant” results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In...

Spanish abstract:Recientes avances tecnológicos, como el almacenamiento masivo de datos y la computación en la nube, están dando lugar a un mayor uso de la inteligencia artificial en la economía y las finanzas, y modificando aspectos fundamentales tanto para entidades como para supervisores....

As the operator of a systemically important payment system (SIPS), the Eurosystem has the responsibility of regularly assessing the resilience of the Trans-European Automated Real-time Gross Settlement Express Transfer System (TARGET2) to various types of risks, as set out in the Principles for...