Investors do arbitrage between bonds and stocks. The so-called “Fed model” asserts that comparing the level of the earnings yields of stocks to the nominal government bond yields is relevant when assessing the relative values of the two asset classes, and their prospective returns. A...

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...

Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict the time series of market returns. We extend this literature and limit the data-snooping bias by using a large population of the literature's...

This paper employs a regression-discontinuity (RD) design to ascertain the effects of social-democratic government on fiscal policy (budget deficits) and monetary policy (as reflected in inflation) and on currency and bond prices (i.e., exchange rates and yields). The RD design exploits the...

We have conducted a survey research to measure the perception of the Genevese population regarding the problem of information overload. The sample size is 581. Main findings indicate that information overload is a real concern in Geneva and seems to affect the efficiency of companies. Themes...

We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

This paper analyzes the impact of security offering announcements on stock prices for a sample of 172 issues of securities in the Chilean financial market, during the 1993-2002 period. The sample is composed by 116 equity issues and 56 corporate bond issues. During the same period the SVS...

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using formal cojumping tests this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...