The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask spreads in over-the-counter markets. We find that a significant portion of the difference in the bid-ask spread...

This paper addresses several questions about Chapter 11 stocks regarding their trading environment, fundamental value, and performance. First, we show that there exists active trading for Chapter 11 stocks throughout the duration of the bankruptcy process. Second, applying option theory to the...

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS pricing. Using a large sample of firms with both...

Diversification benefits of three ldquo;hotrdquo; asset classes mdash; Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS) mdash; are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents...

This paper studies the rise and fall of “Mini” options that are especially catered to retail investors for popular but high-priced securities. Using transaction-level data, we find that transaction costs of Mini options are much higher than those of standard options and the difference cannot...

Using hedge funds' holdings of IPO stocks, we find that stocks with abnormally high hedge fund holdings, based on stock and deal characteristics, yield abnormal returns. Moreover, hedge funds are able to sell IPO stocks in a timely fashion before long-run underperforming periods start,...

We examine, for various educational characteristics of hedge fund managers, the performance profile of hedge fund portfolios along their managers' professional experience path. We find that during the initial years following their graduation, hedge fund managers who majored in business or...