Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...

Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...

Using a novel data set of institutional investors' bond holdings, we study a transmission mechanism that explains the contagion of the financial crisis of 2007-2008 from the securitized bond market to the corporate bond market. We argue that the crisis shock was propagated by the behavior of...

Using a sample of over 9,000 buyback announcements from 31 non-U.S. countries, we find support for the results of studies based on U.S. data: on average, share repurchases are associated with significant positive short-term and long-term excess returns. However, excess returns depend on the...

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. Contrary to most other studies we find that correlations fall in both bull and bear markets, although...

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...

We add to the concerns raised in Ljungqvist, Malloy and Marston, 2009, Rewriting History, Journal of Finance, 64, 1935-1960, about the reliability of the I/B/E/S data provided by Thomson Reuters (TR). Many of the dates reported as earnings announcement dates are not earnings announcement dates;...