I build a model of optimal managerial compensation where managers each have a privately observed propensity to manipulate short-term stock prices. It is shown that this i[...]

Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of t[...]

We document the effects of institutional investors on the qualitative information disclosure of firms during earnings conference calls. Using conference call and institut[...]

We show that simple technical trading rule (TTR) strategies substantially reduce investment left tail risk. An investor following a TTR strategy can also avoid a high per[...]

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynam[...]

This paper studies the determinants of the euro exchange rate volatility during the European sovereign debt crisis, allowing a role for macroeconomic fundamentals, policy[...]

Recent work in the market microstructure literature suggests that the speed with which orders arrive in the market impacts traders' order submission decisions. In this st[...]

We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of lagged volatility, lagged[...]

The end result of major sporting events has been shown to affect next day stock returns through shifts in investor mood. By studying intraday data during the soccer match[...]

Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is[...]