The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...

This paper studies predictability of currency returns over the period 1971-2006. To assess the economic significance of predictability, we construct an upper bound on the explanatory power of predictive regressions. The upper bound is motivated by quot;no good-dealquot; restrictions that rule...

We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...

We investigate an index of returns on professionally managed currency funds and asubset of returns from 34 individual currency fund managers. Over the period 1990-2006,excess returns earned by currency fund managers have averaged 25 basis points permonth. We examine the relationship of these...

In this paper, we study a large sample of 507 privatization offerings from 39 countries over the period 1979-1996. Our objectives are twofold. First, we document the extent of short-run underpricing of these privatization offerings and measure their variation across countries, industries, and...

The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...

Microstructure data typically consist of trades and bid and offer quotes for financial securities that are collected at fine sampling intervals (often within the day). This paper reviews approaches taken to modeling these data. The emphasis is on the techniques of stationary multivariate time...

Continuous security markets evolve as a sequence of timed events. This study is adescriptive analysis of NYSE market data in which trades, quote revisions and orders areconsidered to constitute a stationary multivariate point process, which can be analyzed by standard time- and frequency-domain...

This paper is an empirical analysis of trading activity on the Island ECN, an electronic communications network for US equities, which is organized as an electronic limit order book. The approach is cross-sectional across firms. The goal is to characterize the firm-specific determinants of...

The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altered by the advent of exchange-traded funds (ETFs) that mirror the indexes, electronically-traded, small-denomination...