We study optimal investment decisions for long-horizon investors with industry-specific labor income risks. We find that in addition to the volatility of labor income growth, the correlation between labor income and risky asset returns is another important factor that affects the optimal...

We use comprehensive transaction data from Trade Reporting and Compliance Engine to study the response in corporate bond market to dividend announcements and compare that with the response in stock market. We find that the information content/free cash flow effect dominates the wealth transfer...

We compare the informational efficiency of bond and stock markets. For speculative-grade firms, we find a higher degree of response to earnings surprises from institutional bond trades than from retail bond trades, but we don't see evidence that institutional bond trades react more quickly than...

Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, the authors pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root...

The authors examine the ability of the standard intertemporal asset pricing model and a model of noise trading to explain why the forward foreign exchange premium predicts the future currency depreciation with the 'wrong' sign. They find that the intertemporal asset pricing model is unable to...