This paper examines the impact of shifting liquidity and institutional trading in the corporate bond market on inferences regarding informational efficiency. We find that when institutional trade dominance and other bond trading features are accounted for, stock leads evidenced in earlier...

This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of...

The properties of variance ratio tests across trading and non-trading periods are examined using the generalized method of moments. For the case of opening and closing return variances, the joint tests indicate that the null hypothesis that the variance of opening returns equals the variance of...

Using a unique dataset based on daily and hourly high-yield bond transaction prices, we find the informational efficiency of corporate bond prices is similar to that of the underlying stocks. We find that stocks do not lead bonds in reflecting firm-specific information. We further examine price...

We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

We study the relationship between industry-level investments in intangible capital (IC) and three key economic indicators in China. We find that investments in IC are productivity-enhancing among Chinese enterprises—more so in domestically owned than in foreign invested enterprises. Consistent...