We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather tha[...]

We develop an exact and distribution-free procedure to test for quantile predictability at several prediction horizons and quantile levels jointly, while allowing for an [...]

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of s[...]

The aggregate leverage of broker‐dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks [...]

This paper documents stylized facts about the life cycle of trading activity and trading cost (i.e., market liquidity) of Government of Canada (GoC) bonds. Using a unique[...]

We develop a finite-sample procedure to test the mean-variance efficiency and spanning hypotheses, without imposing any parametric assumptions on the distribution of mode[...]

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]

Replication code for peer-reviewed article published in The Journal of Finance. Paper published online December 23, 2024. When citing this dataset, please also cite the a[...]

The data and programs replicate tables and figures from "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and secu[...]

This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of[...]