Sovereign CDS spreads have unique predictive power for future stock market index returns, sovereign bond yields, as well as real macroeconomic variables such as GDP and PMI. The predictive power comes almost entirely from the global, rather than country-specific, component of sovereign CDS...

Consistent with information-based theories, ``regular'' ETFs (i.e., those without embedded leverage) are more liquid than their underlyings. Consistent with speculation-based theories, levered ETFs have substantially higher intermediation costs than regular ETFs. The cost difference between...

The sovereign CDS market has been growing rapidly in recent years, with a gross notional amount of around 2 trillion dollars in 2015. We document a strong momentum effect in this market. Its unique feature is that this momentum strategy returns are positively skewed and higher during recessions....

We conduct a survey, on the eve of the 2020 presidential election, of over 3,000 highly experienced and affluent investors about the COVID-19 cases among their social contacts, their political leanings, and expectations. Due to the saturating media coverage on the pandemic at the time of our...

This paper examines the long-term impact of natural disasters on household portfoliochoices. In particular, we study this issue with the Wen Chuan Earthquake thatoccurred in China in 2008 as an exogenous natural disaster event. Previous literaturesfind that natural disasters can cause affected...

This study examines the effect of economic and political uncertainty on sovereign CDS spreads using a novel panel index of world uncertainty. We document that sovereign CDS spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in sovereign CDS spreads....

This paper analyzes financial intermediation chains in a search model with an endogenous intermediary sector. We show that the chain length and price dispersion among inter-dealer trades are decreasing in search cost, search speed, and market size, but increasing in investors’ trading needs....

This paper analyzes financial intermediation chains in a search model with an endogenous intermediary sector. We show that the chain length and price dispersion among interdealer trades are decreasing in search cost, search speed, and market size but increasing in investors' trading needs. Using...

We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and...

We show that Treasury security prices in the secondary market decrease significantly before auctions and recover shortly after. Hence, Treasury security prices tend to be lower on auction days, implying a large issuance cost for the Treasury Department, which is estimated to be 9-18 basis points...