With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst...

With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst...

With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst...

We assess the impact of Regulation Fair Disclosure (Reg FD) by examining market and analyst forecast behavior around earnings releases. After the implementation of Reg FD, stocks experience declines in event period return volatility, increases in event period trading volume due to differential...

We develop a simply theory on interest rate swaps based on the difference between bank loans and public debts. While restrictive covenants of bank loans help reduce agency costs, banks also have natural disadvantages in bearing interest rate risk due to their floating liabilities. A firm that...

We develop a simply theory on interest rate swaps based on the difference between bank loans and public debts. While restrictive covenants of bank loans help reduce agency costs, banks also have natural disadvantages in bearing interest rate risk due to their floating liabilities. A firm that...

We propose two nonparametric specification tests for continuous-time models based on transition density, which unlike the marginal density used in the literature, can capture the full dynamics of a continuous-time process. To improve the finite sample performance of nonparametric methods, we...

We characterize the dynamics of the U.S. short-term interest rate using a Markov regime switching model. Using a test developed by Garcia (1998), we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it...