Studies of accounting information value relevance are often based on the scale of R2 value. However, Insukindro (1998) states that a high R2 coefficient does not imply that a model is superior. When linear regression estimation produces a high coefficient of R2 but it is not consistent with the...

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more...

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...

We study the impact of diverse beliefs on conduct of monetary policy. Individual belief is modeled by a state variable that defines an individual's perceived laws of motion. We use a New Keynesian Model that is solved with a quadratic approximation hence individual decisions are quadratic...

A formalism is developed to model time evolution of traders’ expectations in the FX market. The paper proves that the next-period probabilistic perspective follows the path of the fastest growth of subjective uncertainty and new information embodied in the next-period distribution. Time...

Dividend policy has been a puzzle in corporate finance for many decades. So far, the dividend policy continues to be a puzzle in the strategic firm development process. This paper studied the effect of exdividend date for cash-dividend policy in the Taiwan Stock Exchange (TWSE) from 2001 to...

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...