John D Finnerty, Natalia Reisel, and Xun Zhong ♦ We examine a link between bond ETF creation and redemption processes and the underlying bond market liquidity. Using daily creation and redemption data, we find that including a bond in a…
Hearty congratulations to Joseph Engelberg, R. David McLean, Jeffrey Pontiff, and Matthew C. Ringgenberg, Do Cross-Sectional Predictors Contain Systematic Information? May 2023, Vol. 58, No. 3, pp. 1172-1201 and Andrew Y. Chen, and Mihail Velikov, Zeroing In on the Expected Returns…
Rajesh K. Aggarwal and Mufaddal Baxamusa ♦ “Stealth mergers” are not reported to the government because they fall below the required size threshold. We study stealth mergers involving public targets for which manipulation of transaction sizes is unlikely. These stealth…
Suzanne S Lee and Minho Wang ♦ This paper examines how realized variances predict cryptocurrency returns in the cross-section using intraday data. We find that cryptocurrencies with higher variances exhibit lower returns in subsequent weeks. Decomposing total variances into signed…
Yizhe Deng, Yunqi Wang, and Ti Zhou ♦ Using the macroeconomic forecasts of professional economists, we construct a comprehensive macro condition index that summarizes subjective expectations of output, inflation, and labor and housing market conditions. The index predicts stock returns…
Hui Guo, Qian Lin, and Yu-Jou Pai ♦ We propose a consumption-based model to explain the unstable (sometimes positive and sometimes negative) relations between stock market variance with stock market risk premia and prices. In the model, market risk premia…
