This paper highlights the previously neglected role of the futures markets in US Treasury price discovery. The estimates of 5and 10-year GovPX spot market information shares typically fail to reach 50% from 1999 on. The GovPX information shares for the 2-year contract are higher than those of the 5and 10-year maturities but also decline after 1998. Relative bid-ask spreads, number of trades, an...

This paper employs bond transaction data from 2002 and 2011 to investigate the trading activity and price dynamics of defaulted corporate bonds, aiming to shed light on the impact of financial distress on trading liquidity and market frictions. We find that, following default, bonds experience more active trading, wider bid-ask spreads, and a sharp drop in prices followed by price reversals. Fu...

This paper examines whether the overall market risk, along with risks re ecting uncertainty related to the long run dynamics of market cash ows (dividends) and discount rates (returns), price average returns on single-sorted portfolios in the Greek stock market. Our results suggest that a two-beta intertemporal capital asset pricing model explains half of the cross-sectional variation in averag...

This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is ...

Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy for differences of opinion, we show that the two effects are complementary. Furthermore, the effect ...

We offer a new explanation for the long-run underperformance of IPO stocks using prospect theory. According to this theory, uncertain outcomes enter an investor’s utility function through a nonlinear transformation of their probabilities. Small probability events are given more weight than in expected utility theory, whereas median and large probability events are given less weight. IPO stocks ...

The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that stock and bond returns tend to move substantially together during periods of lower stock market unce...

The seminal paper by Milgrom and Weber (1982) ranks the expected revenues of several auction mechanisms, taking the decision to sell as exogenous. We endogenize the sale decision. The owner decides whether or not to sell, trading off the conditional expected revenue against his own use value, and buyers take into account the information contained in the owner’s sale decision. We show that reven...

Article history: Received 12 September 2014 Accepted 20 January 2015 Available online 24 January 2015 We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006, to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and th...