This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

We analyze the relationship between flows and performance of Chinese mutual funds that trade in a volatile market environment. Consistent with existing literature, we find that the net flow to a fund is positively related to past fund performance. Contrary to previous studies using samples in...

We analyze the history of the equity risk premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to December 2012. The risk premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. While the risk premium sharply...

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen's Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH model. The empirical result confirms...

Since the Fall of 2008, the benchmark West Texas Intermediate (WTI) crude oil has periodically traded at unheard-of discounts to the corresponding Brent benchmark. This discount is not reflected in the price spreads between Brent and other benchmarks that are directly comparable to WTI. Drawing...

We give a set of identifying conditions for simultaneous equation systems (SES) with heteroskedasticity in the framework of the Gaussian quasi maximum likelihood (QML) approach. Our conditions rely on the presence of heteroskedasticity rather than exclusion restrictions. The QML estimators are...

Following the notion that the economy as a whole is the sum of all its individual parts we aggregate individual company information to analyze their macroeconomic content. We find that combined company outlooks predict future macroeconomic developments up to about one year. As a proxy for...

Off-market share buybacks in Australia are often structured with the buyback price comprising a large dividend component (which may carry imputation tax credits) and a small capital component. This unique structure has the consequence that institutions on low tax rates stand to benefit most from...

This article argues that the Third Circuit's 10b-5 materiality doctrine is a bright-line rule, which makes the perceived stock market response to information dispositive. It further argues that any such bright-line rule is contrary to the Supreme Court's edict, reaffirmed in Matrixx Initiatives,...

In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only private values. We characterize and analyze the equilibrium order placement strategies of traders and the conditional execution probabilities of limit orders as a function of traders'...