Carlo A. Favero, Alessandro Melone, and Andrea Tamoni ♦ We study the drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they reflect the drift in monetary policy rates. Empirically, modeling the monetary policy drift…
Yiming Qian, Jay R. Ritter, and Xinjian Shao ♦ This article provides a survey of China’s initial public offering (IPO) market, focusing on IPO pricing, bids and allocation, and aftermarket trading. We show that strict regulations result in suppressed IPO offer prices…
Lei Gao, Jie (Jack) He, and Juan (Julie) Wu ♦ We test the signaling view of corporate social responsibility (CSR) engagement using two complementary quasi-natural experiments that impose exogenous negative pressure on stock prices. Firms under such adverse price pressure increase CSR…
Alejandro Bernales, Nicolás Garrido, Satchit Sagade, Marcela Valenzuela, and Christian Westheide ♦ By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced competition among liquidity suppliers and lower picking-off risk of limit orders. Due to these…
Samim Ghamami, Mark Paddrik, and Simpson Zhang ♦ Central counterparty (CCP) default waterfalls act as the last lines of defense in over-the-counter markets by managing and allocating resources to cover payment defaults. This article examines the impact of variations in waterfall design…
Huaizhi Chen ♦ I show that cash distributions through cash mergers, dividend payments, and stock buybacks are, in principle, similar to investor fund flows in generating demand for investable assets. Abnormal returns on certain assets can be forecasted because delegated…
