The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events (quot;disastersquot;) allowed for leverage in the form of risky corporate debt which defaulted only in states when the Government defaulted on its debt. The probability of default was...

We analyze the TORQ dataset on the NYSE, breaking down transactions depending on whether the active or passive side was institutional or individual. We find that institutions are best informed, and earn highest returns when trading with individuals as counterparty. We also confirm the results of...

The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events (quot;disastersquot;) allowed for leverage in the form of risky corporate debt which defaulted only in states when the Government defaulted on its debt. The probability of default was...

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...

We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events (quot;disastersquot;) to a two-country world. In this more general setting, both the output risk of rare disasters and the associated risk of a default on Government debt, can be...

This paper uses a nonparametric test based on the Arc-Sine Law (see e.g. Feller (1965)), which involves comparing the theoretical distribution implied by an intraday random walk with the empirical frequency distribution of the daily high/low times, in order to address the question of whether or...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...

This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed despite the differing microstructures, institutional framework and time zones between...