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The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in… (More)
This paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find… (More)
Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash f low matching portfolios of similar securities and look for… (More)
This paper examines the effect of incentive fees on the behavior of mutual fund managers. Funds with incentive fees exhibit positive stock selection ability, but a beta less than one results in funds… (More)
- Edwin J. Elton, Martin Jochen Gruber, Christopher R. Blake, Joel Krasny, Sadi Ozelge
- 2011
A number of articles in financial economics have used quarterly or semi-annual mutual fund holdings data to test hypotheses about investment manager behavior. This article reexamines four well-known… (More)
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of… (More)
This paper examines newly-available intra-day data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask… (More)
This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database ~CRSP, 1998! and compares returns contained in it to those in Morningstar. The CRSP database has an omission bias… (More)
Empirical studies of the modern theories of bond pricing typically choose proxies for the state variables in a rather arbitrary fashion. This paper empirically analyzes the question of the optimal… (More)