As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain … after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete … consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or …

impact of time-varying inflation. Consistent with the Modigliani-Cohn hypothesis, we find that the level of inflation … explains almost 80% of the time-series variation in stock-market mispricing …

variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of …-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly … Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We …