This study investigates whether the Consumption-based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. Empirical results showed that there is a statistical significant relationship between mean excess returns...

This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...

This paper investigates the problem of identifying the strength of the incoming of news in the financial market. With the support of a microstructure model we are able to derive a simple formula that, based only on trade data, estimates the likelihood of having news for any given tradable asset...

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a...