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Reputation in an Internet Auction Market
We investigate how market participants possessing varying degrees of anonymity reduce asymmetric information costs in an electronic auction market using a quantifiable measure of reputation. The data… Expand
WHO ARE THE NOISE TRADERS
Closed-end funds often trade at a discount to net asset value. Previous research suggests that the positive correlation in discounts is associated with investor sentiment that causes systematic… Expand
High-Yield Bond Default and Call Risks
This paper empirically investigates high-yield bond default and call behavior using a competing risks hazard model that simultaneously estimates the impact of bond age, issue-specific characteristics… Expand
SHAREHOLDER‐MANAGEMENT CONFLICT AND EVENT RISK COVENANTS
Event risk covenants (ERCs), such as poison puts, can protect bondholders from losses related to highly leveraged transactions. Previous observers argue that managers could use ERCs primarily to… Expand
The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements
This study examines the risk-compensating behavior of REIT market makers. The bid-ask spread is hypothesized to compensate market makers for three costs: asymmetric information, order processing, and… Expand
Does High Short Interest Lead Underperformance?
A popular opinion among investors is that a heavily shorted stock is a prime candidate for an upward move since short-sellers will ultimately unwind their positions and purchase the stock. The… Expand
The Bid-Ask Spread's Cost Components: Theory and Evidence
We develop and test a model that provides improved estimates of the bid-ask spread's cost components: order processing, adverse selection, and inventory control. The model incorporates three unique… Expand
Suspicious trading halts
Abstract Trading halts are designed to protect investors from price fluctuations under conditions of illiquidity, but on the Paris Bourse specific price limits can be used to manipulate prices.… Expand
The default risk of high-yield bonds
This paper investigates the default behavior of original issue rated non-convertible high-yield bonds. Previous studies of high-yield bond defaults provide evidence of an aging effect: the longer… Expand
Does Order Flow Commonality Extend Across Trade Sizes and Securities?
We examine commonality in order imbalances across different types of securities and find that the extent of commonality is greater than previously documented. Order imbalances in portfolios of small… Expand